债券票据3F定价日计数惯例定义.pdfVIP

DayCountConventions

Definitions

•Interest:Amountofinterestaccruedonaninvestment.

•CouponFactor:TheFactortobeusedwhendeterminingtheamountofinterestpaidby

theissueroncouponpaymentdates.Theperiodsmayberegularorirregular.

•CouponRate:Theinterestrateonthesecurityorloan-typeagreement,e.g.,5.25%.In

theformulasthiswouldbeexpressedas0.0525.

•Date1(Y1.M1.D1):Startingdatefortheaccrual,i.e.,thelastcoupondate.Coupon

paymentdateprecedingDate2,thesettlementdate.

•SettlementdateorDate2(Y2.M2.D2):Datethroughwhichinterestisbeingaccrued,i.e.,

thesettlementdate.Youcouldwordthisasthetodate,withDate1asthefromdate.

•Date3(Y3.M3.D3):ThecouponpaymentdatefollowingDate2,i.e.,thenextcoupondate.

•EOM(EndofMonth):Indicatesthattheinvestmentalwayspaysinterestonthelastday

ofthemonth.IftheinvestmentisnotEOM,itwillalwayspayonthesamedayofthe

month(e.g.,the10th).

•Factor:FigurerepresentingtheamountoftheCouponRatetoapplyincalculating

Interest.Itisoftenexpressedasdaysintheaccrualperiod/daysintheyear.IfDate2

isacouponpaymentdate,Factoriszero.(Ifthecompoundingperiodissemiannual,the

couponrateisthesemiannualcouponrateandthefactorisdaysintheaccrualperiod/

daysweenthelastcoupondateandthenextcoupondate

•Freq:Thecouponpaymentfrequency.1=annual,2=semi-annual,4=quarterly,12=

monthly,etc.

•Principal:Parvalueoftheinvestment.

Date1Date2Date3

Lastcoupondat