on 2023 Jun 28 11:23 PM
Dear Treasury Experts,
We have a variable interest rate bond issue (product category 40/product type 04Y) for the nominal amount of $11,665,000 with a start date of 06/22/2023 and end of term 08/15/2034 (or 4,072 days of interest). The interest rate changes daily, pays monthly the day following month end, and we are using a reference interest rate. The struggle that I am having is that that one interest rate condition does not seem to cause the system to recognize the daily change (I have used FWUP) in interest rates and need your help to understand if the interest condition setup is wrong.
Initial setup/test is below but the interest amount calculated for 9 days is $8,916.53 and not the expected amount which is $8,980.49 based on the rates entered for each of the 9 days (see daily rates below):
IF I alter the setup to have a DAILY condition, it works. But that is burdensome for the life of this bond which will have 4072 days of interest. Is there another way to more efficiently handle a daily change in interest rate?
Thank you,
Lisa
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