7. (9 pts) A semi-annual coupon U.S. Treasury bond was purchased for settlement

Question

7. (9 pts) A semi-annual coupon U.S. Treasury bond was purchased for settlement on November 12, 2017. The last coupon was paid on October 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?

8. (9 pts) A semi-annual coupon U.S. Treasury bond was purchased for settlement on January 5, 2013. The last coupon was paid on September 15, 2012. 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?

9. (9 pts) A semi-annual coupon Corporate bond was purchased for settlement on November 12, 2017. The last coupon was paid on October 15, 2017. Using the 30/360 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?

Explanation / Answer

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Q - 7 -

Semi - Annual coupon US Treasury Bond was purchased on November 12, 2017 with last coupon payment on 15 October 2017, hence, coupon payment dates are 15 October and 15 April.

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

(b) Coupon was paid on 15th October 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 (16 days of October + 12 Days of November) = 28 days.

(c) The next coupon date is 15th April 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 + 31 days of March + 15 days of April ) = 154 days

I hope this solves your doubt.

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