|
>
|
|
|
>
|
|
|
>
|
|
|
| (1) |
|
>
|
![Settings([compounding = Continuous, settlementdays = 0, businessdayconvention = Unadjusted])](/support/helpjp/helpview.aspx?si=8823/file01569/math111.png)
|
|
![[compounding = Continuous, settlementdays = 0, businessdayconvention = Unadjusted]](/support/helpjp/helpview.aspx?si=8823/file01569/math114.png)
| (2) |
Consider a 3-year bond with face value of 100 that pays a fixed coupon of 3 percent issued on March 15, 2005.
|
>
|
|
|
>
|
|
|
>
|
|
Here is the same bond but using the ISDA convention.
|
>
|
|
Here is the interest accrued before the first coupon payment.
|
>
|
|
|
| (3) |
|
>
|
|
|
| (4) |
Compare this to
|
>
|
|
|
| (5) |
|
>
|
|
|
| (6) |
This shows the interest accrued right after the first coupon payment.
|
>
|
|
|
| (7) |
|
>
|
|
|
| (8) |
Here is the interest accrued two months after the first coupon payment.
|
>
|
|
|
| (9) |
|
>
|
|
|
| (10) |
Compare accrued interest and the difference between the clean price and the dirty price of a bond.
|
>
|
|
|
>
|
|
|
| (11) |
|
>
|
|
|
| (12) |
|
>
|
|
|
| (13) |
|
>
|
|
|
| (14) |
|
>
|
|
|
| (15) |
|
>
|
|
|
>
|
|
|
| (16) |
|
>
|
|
|
| (17) |
|
>
|
|
|
| (18) |
|
>
|
|
|
| (19) |
|
>
|
|
|
| (20) |
|
>
|
|
|
>
|
|
|
| (21) |
|
>
|
|
|
| (22) |
|
>
|
|
|
| (23) |
|
>
|
|
|
| (24) |
|
>
|
|
|
| (25) |
