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zzdd
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Posts: 4
Joined: August 21st, 2008, 9:10 pm

What does accrual period mean?

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.
 
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ppauper
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Joined: November 15th, 2001, 1:29 pm

What does accrual period mean?

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"
 
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cemil
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Joined: September 16th, 2005, 7:44 am

What does accrual period mean?

August 25th, 2008, 1:08 pm

Last edited by cemil on August 24th, 2008, 10:00 pm, edited 1 time in total.
 
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cemil
Posts: 221
Joined: September 16th, 2005, 7:44 am

What does accrual period mean?

August 25th, 2008, 1:08 pm

Last edited by cemil on August 24th, 2008, 10:00 pm, edited 1 time in total.
 
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cemil
Posts: 221
Joined: September 16th, 2005, 7:44 am

What does accrual period mean?

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.
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