Filter by Categories
Accounting
Banking

Derivatives




Actual/Actual


A day count convention that is used to determine the actual number of days that have elapsed relative to the actual number of days in the reference period (the period between coupon payments). This method is used for Treasury bonds (in the Unites States). For example, suppose a bond with coupon dates: March 1 and September 1. If interest between those two dates is USD6, then the interest earned between, say, March 1 and July 20 would be:

(actual number of days / actual number of days in the reference period) x interest coupon

That is: (141/ 184) x 6 or 4.5978



ABC
Derivatives have increasingly become very important tools in finance over the last three decades. Many different types of derivatives are now traded actively on ...
Watch on Youtube
Remember to read our privacy policy before submission of your comments or any suggestions. Please keep comments relevant, respectful, and as much concise as possible. By commenting you are required to follow our community guidelines.

Comments


    Leave Your Comment

    Your email address will not be published.*