http://quantlib.414.s1.nabble.com/Different-DayCounter-for-Coupon-and-Accrued-Amount-tp15261p15267.html
> Oh wait, if the bond goes ex-coupon, it just changes the ownership, so I
> think you're still right in that the accrued interest can be more than the
> halfyearly coupon. How do things work over there?
>
> Francois Botha
>
>
> On 8 May 2014 17:33, Francois Botha <
[hidden email]> wrote:
>>
>> Yes, you're right. For instance if the last coupon was on 2014/03/15 and
>> the next coupon is on 2014/09/15, the accrued interest on 2014/09/14 would
>> be slightly more than the halfyearly coupon.
>>
>> But our bonds go ex-coupon 10 days before the coupon date, so in practice
>> that will never be an issue. In fact, the whole ex-coupon issue something
>> I'll bring up in a separate email.
>>
>> And thanks for everyone's help. I'll buy you all beers if you're ever in
>> South Africa.
>>
>> F
>>
>> Francois Botha
>>
>>
>> On 8 May 2014 17:29, Luigi Ballabio <
[hidden email]> wrote:
>>>
>>> Doesn't this make it possible that the accrued amount at the end of
>>> the coupon does not equal the total coupon amount? I don't have an
>>> example ready, but I'm pretty sure that there are some combinations of
>>> dates and holidays for which the amount accrued the day before
>>> maturity would be greater than the coupon...
>>>
>>> Luigi
>>>
>>>
>>> On Thu, May 8, 2014 at 5:19 PM, Francois Botha <
[hidden email]> wrote:
>>> > Hi,
>>> >
>>> > I'm fairly sure that fixed rate bonds here in South Africa follow the
>>> > UK (or
>>> > Europe) convention. I don't think we do things differently here. But I
>>> > hope
>>> > you can confirm that.
>>> >
>>> > For me to reconcile the FixedRateBond calculations with our internal
>>> > models,
>>> > I have to use the ActualActual.Convention.Bond daycounter for
>>> > calculating
>>> > the coupons. As far as I can tell, that's the only way to get exactly t
>>> > =
>>> > 0.5 for half-yearly coupons (please correct me if I'm wrong).
>>> >
>>> > However, for the accrued amount, we calculate the number of days
>>> > elapsed
>>> > since the last coupon date and express that as a fraction of 365. So I
>>> > have
>>> > to use Actual365.
>>> >
>>> > So, firstly, is the standard convention for how fixed rate bonds
>>> > operate in
>>> > Europe / UK?
>>> >
>>> > Secondly, is it possible to send the two different daycounters to
>>> > FixedRateBondHelper or what other solution is there?
>>> >
>>> > regards
>>> > Francois Botha
>>> >
>>> >
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>>> <
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>>
>>
>