Coupon on Discounted Security
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coupon discount

Q:  Is calc code 05 Bills ACT/360 the only fixed income bond calc code that does not store the coupon created on the ticket (when a new security is created via a trade ticket) on the product table as well?  I've also noticed that calc code 05 doesn't save coupon on the product table - it's always zero.

A: Discounted securities don't have a coupon. By definition, the coupon is zero.

On tickets, AFSTrade uses the coupon field to store the discount rate at which this particular trade was executed, and yield stores the CD-equivalent. But these values do not translate to the product table, because each trade is executed at a different rate.

Last updated: 04/28/05

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