accrued-interest

  1. Nicole Seaman

    YouTube T3-22: Accrued interest depends on the bond's day count convention

    The day count convention can be ACT/ACT (eg, US Treasury bonds), 30/360 (eg, US Corporate and municipal bonds), or ACT/360 (eg, money market instruments). The Cash Price = Quoted Price - Accrued Interest. David's XLS is here: https://www.dropbox.com/s/qag61f16fq1t3jw/072318-daycount.xlsx
  2. O

    Bond Accrued Interest

    Hi All, when selling bond do i need to discount the my Accrued interest amount.(Assuming Bond Pays coupon annually & sales happen in after six month, why buyer will pay me the accrued interest amount Full, in advance six month) Thanks, Om
  3. Nicole Seaman

    P1.T4.901. Exploiting arbitrage opportunities with a replicating bond portfolio (also: clean versus dirty, and day-count conventions) (Tuckman Ch.1)

    Learning objectives: Construct a replicating portfolio using multiple fixed income securities to match the cash flows of a given fixed income security. Identify arbitrage opportunities for fixed income securities with certain cash flows. Differentiate between “clean” and “dirty” bond pricing and...
    • Nicole Seaman
    • Thread
    • accrued-interest arbitrage-opportunities clean-price day-count-conventions dirty-price fixed-income-securities replicating-portfolio
    • Replies: 0
    • Forum: FRM® Practice Questions
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