## Coupon Interest

Key

**of function Fwd Clean Price 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.**

*Coupon Interest*This setting affects the calculated forward price and therefore the carry of a bond, as well.

The default is

**, which means the following:**

*TRUE*For simplicity, assume a single coupon amount

**being paid to the bond holder at time**

*c***between the settlement date**

*T***and the horizon date**

*Tˢ*

*Tʰ*Assume an initial spot settlement amount

**as of**

*Sˢ*

*Tˢ*Then the corresponding

*terminal invoice amount***is calculated as:**

*Sʰ***, where**

*Sʰ = Sˢ(1+rΔ) - c(1+rδ)***and**

*Δ = Tʰ - Tˢ***in annual units according to the daycount convention of the repo rate**

*δ = Tʰ - T*

*r*A

**setting is equivalent to assuming**

*FALSE***in the above formula.**

*r = 0*