Question

A semi-annual coupon U.S. Treasury bond was purchased for settlement on November 12, 2017. The last coupon was paid on September 15, 2017. Using the ACT/ACT day count convention, answer the following questions: a. on what date will the next coupon be paid? b. how many days passed between the last coupon paid and the settlement date? c. how many days are there in the current coupon period?

Answer 1

a) 15 March 2018

b) 58 days passed between the last coupon paid and the settlement date

c) There are 123 days in the current coupon period.

Step-by-step explanation:

a) So, next coupon will be paid on 15 March 2018.

(b) Coupon was paid on 15th September 2017 and settleent date is November 12, 2017, hence using the ACT/ACT day count convention, the number of days passed between the last coupon paid and the settlement date is (15 days of September + 31 Days of October + 12 days of November) = 58 days.

(c) The next coupon date is 15th March 2018. Hence, the number of days in current coupon period is (18 days of November + 31 days of December + 31 days of January + 28 days of February + 15 days of March ) = 123 days