The actual number of days between the settlement date and the previous coupon date.
Please fix these errors:
So what does this mean? The actual/actual day count convention is typically used
to determine the actual number of days between the last coupon payment and the
settlement date for a Treasury security. This day-count figure is then used in
the accrued interest calculation to determine the additional amount the buyer
would pay in order to compensate the seller for his or her portion of lost
Advanced Bond Concepts - This
detailed tutorial explains some of the more complex concepts and calculations
you need to know for
trading bonds, including bond pricing, yield, term structure of interest rates,
duration, and much more.
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