Coupon Interest


Key Coupon Interest of function
Carry in Bond refers an optional boolean that determines whether any intermediate coupons between the settlement and horizon dates are assumed to earn interest or not.
This setting affects the calculated forward price and therefore the carry of a bond, as well.
The default is TRUE, which means the following:

For simplicity, assume a single coupon amount c being paid to the bond holder at time T between the settlement date and the horizon date
Assume an initial spot settlement amount as of
Then the corresponding terminal invoice amount is calculated as:
Sʰ = Sˢ(1+rΔ) - c(1+rδ), where
Δ = Tʰ - Tˢ and δ = Tʰ - T in annual units according to the daycount convention of the repo rate r

A FALSE setting is equivalent to assuming r = 0 in the above formula.