Accrued Interest Calculation Method

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1

Imported from previous forum

2

Hi,

In Europe, we have different methods of calculating accrued interest on a bond. The most common methods are:
Flat (no accrued interest)
German (30 days per month, 360 days per year)
English (days as in actual month, 365 days per year)
French (days as in actual month, 360 days per year)
ISMA-99 Normal (days as in actual month, days per year 365, depending on interest period length)

I can’t find a FIX standard or user defined field to convey this informaiton, and am therefore considering creating a user defined field for this purpose - AccruedInterestCalcMethod

Any suggestions / objections?

Cheers,
George.

3

[ original email was from Dean Kauffman - dean.kauffman@tradeweb.com ]
Hello George,

This would be a welcome addition to FIX, but in the absence of an alternative I urge you to adopt ISDA standard terminology. The name of the element in FpML is “dayCountFraction” and while the element is not restricted by an enumeration the documented values include:

1/1
30/360
30E/360
ACT/360
ACT/365.FIXED
ACT/ACT.AFB
ACT/ACT.ISDA
ACT/ACT.ISMA

Dean Kauffman
Tradeweb LLC

Hi,

In Europe, we have different methods of calculating accrued interest on
a bond. The most common methods are: Flat (no accrued interest) German
(30 days per month, 360 days per year) English (days as in actual month,
365 days per year) French (days as in actual month, 360 days per year)
ISMA-99 Normal (days as in actual month, days per year 365, depending on
interest period length)

I can’t find a FIX standard or user defined field to convey this
informaiton, and am therefore considering creating a user defined field
for this purpose - AccruedInterestCalcMethod

Any suggestions / objections?

Cheers, George.