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Part 08

Part 08

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Published by: api-3848722 on Oct 18, 2008
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03/18/2014

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Part-08
1
Prices & Yields:
Advanced Perspectives
Valuation in between
Coupon Dates
2
\ue000While valuing a bond we assumed
that we were standing on a coupon
payment date.
\ue000This is a significant assumption
because it implies that the next
coupon is exactly one period away.
\ue000What should be the procedure if
the valuation date is in between
two coupon payment dates?
The Procedure
for Treasury Bonds
3
\ue000Calculate the actual number of
days between the date of valuation
and the next coupon date.
\ue000Include the next coupon date.
\ue000But do not include the starting
date.
\ue000Let us call this interval N1.

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