What does accrual period mean?

zzdd · August 24th, 2008, 2:29 pm

Hi, I saw several LMM implementations touched a concept of accrual period, but not sure of its meaning. Does it mean the start valuation date of the bond from today? If so, can I assume an accrual period of 0 if I valuate the bond today?Also does anyone know some one-factor LMM (in C or VBA) which has been tested and can be used right away?Many thanks.

ppauper · August 25th, 2008, 12:25 pm

>> accrual periodthe interest on coupon bonds is calculated daily but only paid every 6th months.The period between those pay-out dates is the "accrual period"

cemil · August 25th, 2008, 1:08 pm

cemil · August 25th, 2008, 1:08 pm

cemil · August 25th, 2008, 1:08 pm

--------------------the interest on coupon bonds is calculated daily but only paid every 6th months.------------------------------------------the periodicity of the coupon depend on the bonds et countries. For exemple, for italian BTPS the periocity is semestrial but a french OAT is annual.