Accrued interest BAii Plus Professional input question

CFA Level I Fixed Income
#1

Example: Accrued interest

An investor buys a $1,000 par value, 4% annual-pay bond that pays its coupons on May 15. The investor’s buy order settles on August 10. Calculate the accrued interest that is owed to the bond seller, using the 30/360 method and the actual/actual method.

Answer:

The annual coupon payment is 4% × $1,000 = $40.

Using the 30/360 method, interest is accrued for 30 – 15 = 15 days in May; 30 days each in June and July; and 10 days in August, or 15 + 30 + 30 + 10 = 85 days.

accrued interest (30/360 method) = 85/360 × $40 = $9.44

Using the actual/actual method, interest is accrued for 31 – 15 = 16 days in May; 30 days in June; 31 days in July; and 10 days in August, or 16 + 30 + 31 + 10 = 87 days.

accrued interest (actual/actual method) = 87/365 × $40 = $9.53

My calculator inputs into the Bond worksheet:
SDT= 8-10-2021
CPN= 4.00
RDT= 5-15-2022
RV= 1,000
ACT
1/Y
YLD= 138,128.33
PRI= 1.962-13
AI= 0.9534

Why am I not receiving the correct answer for AI in the calculator’s Bond worksheet?

#2

I used all the same inputs you did, except I made CPN 40: AI is now 9.534247.

However, the results for YLD and PRI look waaaay odd. You should do a 2nd CLR WORK and try your question again.

#3

There we go, now I get 9.53 for AI.

YLD = 14,190.42
PRI = -4.47-13

Those look strange.

#4

I think it’s just because PRI is 0 if you do 2nd CLR WORK. YLD and PRI can be either entered or computed.

#5

Got it.

1 Like
#6

Try this method: 2ND 9 and 2ND CLR WORK
SDT: 8-10-2000
CPN: 4
RDT: 5-15-2001
RV: 100
360, 1/Y
YLD: 4
CPT PRI:…
CPT AI: 0.944444