Accrued interest rate of an inflation-indexed bond formula
Description of the Accrued interest rate of an inflation-indexed bond formula
Formula for the calculation of the accrued interest rate of an inflation-indexed bond.
Formula
\[ CC=CN \cdot \frac {nbj_{pcd \to vd}} {nbj_{ncd \to pcd}} \cdot ci_{v} \ \]
Symbols
\(ci_{v}\ \)
Indexation factor at value date
\(CN\ \)
Nominal coupon rate
\(d_{p→v}\ \)
Number of days between the last coupon date and the value date
\(nbj_{pcd→ncd}\ \)
Number of days between the last coupon date and the next coupon date