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"Act/Act Bond" - Monthly Compound Interest
How to apply the "Act/Act Bond", or "Actual/Actual Bond" Day Count Convention to Monthly, Quarterly, Semiannually or Annually Compound Interest method?
✍: FYIcenter.com
Monthly, Quarterly, Semiannually or Annually Compound Interest
do not normally using the Act/Act Bond
convention. But if it happens, the Day Count Factor formula is still
valid if the Accrual Range is inside a single Accrual Period:
Accrual_Range = [T1, T2)
Accrual_Period = [T1, T3), where T3 > T2
DiR(T1,T2) = Calendar_Days(T1,T2)
DiY(T1,T2)
= Accrual_Frequency × Calendar_Days(T1,T3)
Day_Count_Factor(T1,T2)
= Calendar_Days(T1,T2)
/ Accrual_Frequency × Calendar_Days(T1,T3)
Accrued_Interest(T1,T2)
= Principal × Interest_Rate × Day_Count_Factor(T1,T2)
For Accrual Range that crosses Accrual Period boundaries must be split into multiple smaller parts along the boundaries.
[T1,T2) = R1+R2+... R1 in Accrual Period 1 R2 in Accrual Period 2 ... Accrual_Frequency(R1) = Calendar_Days(Accrual_Period_1) Accrual_Frequency(R2) = Calendar_Days(Accrual_Period_2) ...
⇐ "Act/Act Bond" - Daily Compound Interest
2026-02-04, ∼335🔥, 0💬
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