M
M Welinder
Consider the following sheet:
A1=14-Sep-2000 [issue]
A2=22-Mar-2001 [first interest]
A3=21-Dec-2000 [settlement]
A4=1% [rate]
A5=$1000 [par]
A6=4 [frequency]
A7=1 [basis ACT/ACT]
A10=ACCRINT(A1,...,A7)
A11=A10/(A4*A5/A6)
A11 comes out as 1.075845... which is precisely 8/92 + 89/90.
There are quasi-coupon dates at 22-Jun-2000 and 22-Sep-2000 which are 92 days
apart, so the 8/92 part is clear. The next quasi-coupon date is 22-Dec-2000
(91 days later), so I claim the last part should be 90/91.
There are 98 days from 14-Sep-2000 to 21-Dec-2000, so how can Excel claim that
there are just 8 + 89 = 97?
M.
A1=14-Sep-2000 [issue]
A2=22-Mar-2001 [first interest]
A3=21-Dec-2000 [settlement]
A4=1% [rate]
A5=$1000 [par]
A6=4 [frequency]
A7=1 [basis ACT/ACT]
A10=ACCRINT(A1,...,A7)
A11=A10/(A4*A5/A6)
A11 comes out as 1.075845... which is precisely 8/92 + 89/90.
There are quasi-coupon dates at 22-Jun-2000 and 22-Sep-2000 which are 92 days
apart, so the 8/92 part is clear. The next quasi-coupon date is 22-Dec-2000
(91 days later), so I claim the last part should be 90/91.
There are 98 days from 14-Sep-2000 to 21-Dec-2000, so how can Excel claim that
there are just 8 + 89 = 97?
M.