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Bond coupon payments at the valuation date

Posted: March 26th, 2014, 8:28 am
by mwestra88
Dear all,Suppose I want to value a coupon bearing bond at the 31st of September 2013. Let's assume that a coupon payment is also scheduled at that date. Is there any rule/market consensus on whether the coupon should be regarded as being paid in my valuation? In other words, if I value the bond should I assume that the coupon is already paid out to me, or should I assume that it still has to be paid. Depending on the number of units you own, this can affect accrued interest significantly. Thanks in advance!

Bond coupon payments at the valuation date

Posted: March 26th, 2014, 8:58 am
by daveangel
no - you only pay for the coupons that you receive.

Bond coupon payments at the valuation date

Posted: March 26th, 2014, 11:43 am
by Martinghoul
Isn't this what the ex div day conventions are for?

Bond coupon payments at the valuation date

Posted: March 26th, 2014, 1:18 pm
by cemil
QuoteOriginally posted by: mwestra88Dear all,Suppose I want to value a coupon bearing bond at the 31st of September 2013. Let's assume that a coupon payment is also scheduled at that date. Is there any rule/market consensus on whether the coupon should be regarded as being paid in my valuation? In other words, if I value the bond should I assume that the coupon is already paid out to me, or should I assume that it still has to be paid. Depending on the number of units you own, this can affect accrued interest significantly. Thanks in advance!31st of september don't existSecondly, the coupon payment rule depend on the bond and country. Some bonds have a coupon payment different from the principal (ex-dividend or other style -where the payment is made n days after the principal) .

Bond coupon payments at the valuation date

Posted: March 27th, 2014, 2:53 pm
by mwestra88
Thanks for commenting! Indeeed the 31st of September does not exist, hehe