Accrual Interest Calculated For 'Bond' 'Buy' Deal
Hi,
There is the deal (BOND, BUY).
Bond issue:
Start Date = 10.09.2010
Maturity Date = 30.03.2012 (Days = 567)
Basis = Act/Act (and Day Count Basis, and Accrual Basis)
Rate = 8 %
Interest Includes = Last
Deal:
Principal = 5 000 000,00
Accrual Amount = 621 100,38 = 5 000 000,00 * 8% (112/365+365/365+90/ 366 ). I agree.
Accrualls:
Batch Start = 01.10.2010
Batch End = 31.10.2010 (Days from Batch Start to Batch End = 30)
Adjustment =32 862,72
How do you think, how to calculate this value?
thx
UPD:
Bond issue:
Coupon Type = Floating-Irregular
Coupon Frequency = Annual.
Create a single coupon. Coupon Date = Due Date = 30.03.2012 = Maturity Date.
There is the deal (BOND, BUY).
Bond issue:
Start Date = 10.09.2010
Maturity Date = 30.03.2012 (Days = 567)
Basis = Act/Act (and Day Count Basis, and Accrual Basis)
Rate = 8 %
Interest Includes = Last
Deal:
Principal = 5 000 000,00
Accrual Amount = 621 100,38 = 5 000 000,00 * 8% (112/365+365/365+90/ 366 ). I agree.
Accrualls:
Batch Start = 01.10.2010
Batch End = 31.10.2010 (Days from Batch Start to Batch End = 30)
Adjustment =32 862,72
How do you think, how to calculate this value?
thx
UPD:
Bond issue:
Coupon Type = Floating-Irregular
Coupon Frequency = Annual.
Create a single coupon. Coupon Date = Due Date = 30.03.2012 = Maturity Date.
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