Accrued Interest

I was thinking that issue should be the date of the last interest
payment, settlement should be the date of the next interest payment,
first_interest should be the date that you are accuring on, and
frequency would be the number of interest payments in the year.

Watch out on the settlement date--that should be the date the bond is
actually paid for (a couple days after the trade date). Fabozzi's
"Handbook of Fixed Income Securities" is a good ref. So is his shorter
"Bond Markets...".

Mark Copper

[Date Prev][Date Next]   [Thread Prev][Thread Next]   [Thread Index] [Date Index] [Author Index]