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Given that settlement date of a bond is July 3, 2018 and the previous coupon date...

Given that settlement date of a bond is July 3, 2018 and the previous coupon date was June 30, 2018 and maturity date is June 30, 2020. What would be the fraction (f) to use to find the bond's dirty price on August 1, 2018?

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Answer #1

Fraction (f) in calculation of dirty price is the time period that has passed since the date of last coupon payment divided by 360 days.

In the above case, previous coupon date was June 30, 2018 and dirty price is to be calculated on August 1, 2018. Thus total days since last coupon payment are 32 days.

Therefore, fraction (f) = 32 days 360 days = 0.0889 (approx)

Incase of any doubt, please comment below. I would be happy to help.
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