Accrued interest rate of an inflation-indexed bond formula
Financial acronyms
The entire acronym collection of this site is now also available offline with this new app for iPhone and iPad.
Description of the Accrued interest rate of an inflation-indexed bond formula
Formula for the calculation of the accrued interest rate of an inflation-indexed bond.
Formula
\[ CC=CN \cdot \frac {nbj_{pcd \to vd}} {nbj_{ncd \to pcd}} \cdot ci_{v} \ \]
Symbols
\(ci_{v}\ \)
Indexation factor at value date
\(CN\ \)
Nominal coupon rate
\(d_{p→v}\ \)
Number of days between the last coupon date and the value date
\(nbj_{pcd→ncd}\ \)
Number of days between the last coupon date and the next coupon date