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Appendix C
Extended Bond Calculations
Computing Time to Maturity
(Using
Traditional Trade Custom)
Time
to maturity
for
calculation
of
basis
prices
is computed
in
years,
months and days. The
time
from settlement date
to the
next coupon
date is
always
the remainder of the coupon period after calculation of
time for
accrued
interest. For example, if accrued
interest
is
for
3
months and 17 days,
time
to the
next coupon
date would be 2
months,
13
days.
In
computing time
to
maturity,
the
31st of a
month
is
always
con-
sidered
the
same as
the
first of
the
following month. For example,
if
the settlement date is 11
/
15/72 and maturity is on
1/1/81,
the time
to maturity is 8
years,
1 month and 15 days.
Calculation of Time for Accrued Interest
Accrued interest on
bonds
is to
be added to
principal-computed for
elapsed months and
days
on a 360-day year basis.
In
this
computation
a month is considered
to
be
1/
12th of 360
days,
or
30
days,
and each
period from a date in one month
to the
same
date in
the following
month shall
be
considered to be 30
days.
In
the
calculation,
the
first
day of
the
accrual period should
be
counted,
and
the last
or settlement
date omitted.
The number of elapsed days should be computed in accordance with
the
examples given below:
•
1st to the
30th of
the same month is figured
as 29
days
•
1 st to the
31 st
of the
same month
is figu red
as 30
days
•
1st to the 1st of the following month is figured
as
30 days
•
1st to
the 28th of
February
is
figured
as 27
days
Where interest is payable on the 30th or 31st of
the
month:
•
30th
or 31st
to the 1st of the following month is
figured
as
1
day
•
30th or 31st to
the 30th
of the
following month is figured as
30
days
•
30th or 31st to
the
31st of the
following month is figured
as 30
days
60
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