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  Forum  Risque Support  Instruments  Accrued interests vs accrued coupon
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New Post 8/19/2008 9:33 AM
  Philippe Bonneau
254 posts
www.ebsys.fr
1st Level Poster


Accrued interests vs accrued coupon 

Hi,

The formula between the accrued interests - in amount - and the accrued coupon calculated by Sophis Risque, for instance on bonds, is the following one:

AccruedInterest = AccruedCoupon x InterestRate ( possibly divided by 100) x Notional.

In case of floating rate, the interest rate can be retrieved using the CSRInstrument::GetLast method for instance. 

 
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