英国论坛
到这里来求教各位专业的大神，英国有些国债这两天dirty price低于clean price是个甚么状况？accrued interest竟然是正数。有个国债原本很正常的，dirty price等于clean price加之accrued interest。accrued interest缓缓累加，到下个月就要分成了。忽然前两天累加利息变负，dirty price低于净值。迫害本人的脑细胞良久都搞不明确，请教！十分感激！
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Negative Accrued Interest Amount on Bonds
bond pays out interest on a regular basis, let’s say once a year at 30/06.
In a normal situation, e.g. when you buy a bond in May you will receive the full interest on 30/06.
However since you bought that bond only in May the seller also has a right for a part of the total interest, being the time that he was the owner of the bond.
This is solved by adding that interest (the part of the seller) to the trade amount we have to pay when we buy the bond.
So in the end the seller gets his part, and we receive the total amount, thus in total we only receive our part of the interest (total received minus seller part paid).
The date on which it is determined who will get the interest is called the ex-coupon date, this date lies some days before the actual payment date of the interest.
The one that is owner on that ex-coupon day will receive the interst even in the case where we buy the bond between those two days.
This would mean that the owner on ex-coupon date (the seller) would receive the total interest on the payment date, which is too much because we own the bond also some days; an opposite situation to the ‘normal’ one described above. Therefore a correction should be made, this time in favour of us, meaning that we should pay less for the bond, less being the interest for the days we own the bond (the time from the settlement date to the actual coupon payment date).
http://learningfinancial.blogspot.co.uk/2010/07/negative-accrued-interest-amount-on.html
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