28.4.1 Illustrations
The following set of parameters will be considered in the examples given below:
Table 28-6 Annualizing Compound
| Term | Description |
|---|---|
|
Security Code |
XXXX-BOND-01 |
|
Face Value |
USD 100 |
|
Quantity Quotation Method |
Unit |
|
Redemption Date |
01-July-2003 |
|
Redemption Price |
USD 105 |
|
Numerator Day count method |
Actual |
|
Denominator Day count method |
365 Days |
|
Annualizing Method |
Simple |
|
Coupon Rate |
5% |
|
Coupon frequency |
Monthly |
The coupon cash flows for a single bond are:
Table 28-7 Cash Flow table
| Coupon Event Date | Coupon |
|---|---|
|
01-Jan-2003 |
USD 0.42 |
|
01-Feb-2003 |
USD 0.42 |
|
01-Mar-2003 |
USD 0.38 |
|
01-Apr-2003 |
USD 0.42 |
|
01-May-2003 |
USD 0.41 |
|
01-Jun-2003 |
USD 0.42 |
|
01-Jul-2003 |
USD 0.41 |
Parent topic: Unrealized Revaluation for Unsettled Buy and Sell Deals