Accrued interest in duration questions

[trivzca]

Hi David,

What is the use of accrued interest provided in questions to calculate duration and convexity ?

Thanks in advance.

 

[David Harper CFA FRM]

Hi @trivzca In terms of exam questions, AI rarely has any use for duration or convexity (e.g., I can't recall a single example). The only thing i can think of is that when calculating effective duration we really do want the full price (aka, quoted or clean price plus the AI) because we want the present value of cash flows. But i don't think i've ever seen a question try to "sneak in" AI to the duration/convexity calc. Thanks,