Previous Topic

Next Topic

South Africa Special Pricing Conventions

Pricing Feature

Treatment

.

Accrued Interest

Accrued interest is calculated as:

Equation Template

where the coupon is expressed as an annual amount. This convention is different from that used in the broken period discounting which is actual/actual.

 

 

Return to www.derivativepricing.com website

Copyright 2013 Hedgebook Ltd.