V******t
发帖数: 35 | 1 For US treasury, suppose the previous coupon date and the next coupon date
is t1, t2. The settlement date of Today is t (plus one business day).
Coupon payment per period is C. The accrued interest is c*(t-t1)/(t2-t1).
My question is if either t1 or t2 is a US holiday, should I adjust the
date to the next business day to calc the accrued interest? Or just use
the original date?
Thanks a lot! | g*****1
发帖数: 18 | 2 I think you should use the original dates. The holidays only make cash flows
(coupon payments) delayed. |
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