User Rating 0.0 ★★★★★

Total Usage 0 times

Category Finance & Calculations

Bond Parameters

Face Value ($) Par value of the bond

Annual Coupon Rate (%) Fixed annual interest rate

Payment Frequency

Day-Count Convention

Dates

Issue Date

Maturity Date

Settlement Date (optional) For accrued interest calculation

Pricing (Optional)

Clean Price (% of par) Quoted market price as % of face value

Enter bond parameters and click Calculate

Is this tool helpful?

Your feedback helps us improve.

★ ★ ★ ★ ★

About

Miscalculating a bond coupon payment by even one day under the wrong day-count convention can produce settlement errors of several basis points on large notionals. This calculator computes periodic coupon payments using C = FV × rn, generates a full payment schedule from issue to maturity, and derives accrued interest under four ISDA-standard day-count conventions: 30/360, Actual/360, Actual/365 Fixed, and Actual/Actual. It distinguishes clean price from dirty price so you can reconcile trade confirmations against counterparty statements.

The tool assumes a fixed-rate, non-callable bond with no embedded options. Amortizing structures and step-up coupons are outside scope. Day-count fractions follow ISDA 2006 Section 4.16 definitions. Pro tip: for USD corporate bonds the market standard is 30/360, while US Treasuries use Actual/Actual. Applying the wrong convention to a 10-year bond with $10M face value can shift accrued interest by thousands of dollars on settlement day.

Formulas

The periodic coupon payment C for a fixed-rate bond is computed as:

C = FV × rn

Where FV = face (par) value of the bond, r = annual coupon rate (decimal), and n = number of coupon payments per year.

Accrued interest AI from the last coupon date to the settlement date is:

AI = C × D_accD_period

Where D_acc = days from last coupon to settlement (computed per day-count convention), and D_period = total days in the coupon period. For the 30/360 convention, each month is treated as 30 days and each year as 360 days.

The dirty price (invoice price) paid at settlement equals:

P_dirty = P_clean + AI

Where P_clean is the quoted market price and AI is the accrued interest. The total coupon income over the life of the bond is C × N, where N is the total number of coupon periods from issue to maturity.

Reference Data

Day-Count Convention	Abbreviation	Days in Year	Typical Use	Accrued Fraction Formula
30/360 (Bond Basis)	30/360	360	USD Corporate Bonds, Euro-denominated bonds	360 × (Y₂ − Y₁) + 30 × (M₂ − M₁) + (D₂ − D₁)360
Actual/360	ACT/360	360	Money markets, FRNs, Euro LIBOR	Actual Days360
Actual/365 Fixed	ACT/365F	365	GBP Sterling bonds, some AUD bonds	Actual Days365
Actual/Actual (ISMA)	ACT/ACT	Variable	US Treasuries, Euro government bonds	Actual Days in AccrualActual Days in Coupon Period
Common Bond Payment Frequencies
Annual	-	1 payment per year		n = 1
Semi-Annual	-	2 payments per year (most common)		n = 2
Quarterly	-	4 payments per year		n = 4
Monthly	-	12 payments per year		n = 12
Reference: Coupon Rates by Bond Type (Indicative)
US Treasury 10Y	UST	Semi-Annual, ACT/ACT		4.00% - 4.50% (2024)
US Investment Grade Corp	IG	Semi-Annual, 30/360		4.50% - 5.50%
US High Yield Corp	HY	Semi-Annual, 30/360		6.00% - 9.00%
German Bund 10Y	DBR	Annual, ACT/ACT		2.00% - 3.00%
UK Gilt 10Y	UKT	Semi-Annual, ACT/365F		3.50% - 4.50%
Japanese JGB 10Y	JGB	Semi-Annual, ACT/365F		0.50% - 1.00%
Eurobond (EUR Corp)	EMTN	Annual, 30/360		3.00% - 5.00%
Municipal Bond (US)	MUNI	Semi-Annual, 30/360		2.50% - 4.00%
Australian Gov Bond	ACGB	Semi-Annual, ACT/ACT		3.00% - 4.50%

Frequently Asked Questions

The day-count convention determines how many days are counted between two dates. Under 30/360, February has 30 days and a year has 360 days, which simplifies computation but deviates from calendar reality. Under Actual/Actual, every calendar day counts, and the denominator equals the exact days in the coupon period. On a $1,000,000 face value bond with a 5% semi-annual coupon, the difference between 30/360 and ACT/ACT accrued interest can exceed $200 depending on settlement timing relative to February or leap years.

Bonds are quoted at the clean price (excluding accrued interest) but settled at the dirty price (clean price plus accrued interest). The buyer compensates the seller for interest earned since the last coupon date. If you only track the clean price, your cash flow projections will be incorrect. Enter a clean price in the optional field to see the exact settlement amount including accrued interest.

This calculator generates coupon dates based on calendar arithmetic without business-day adjustment. In practice, if a coupon date falls on a weekend or holiday, payment is typically rolled to the next business day under the Modified Following convention. The accrued interest calculation remains anchored to the unadjusted dates per ISDA standards. Adjust settlement dates manually if you need business-day precision.

The schedule generator creates regular periods by stepping backward from the maturity date. If the issue date does not align with a regular coupon interval, the first period will be a short (or long) stub. The accrued interest calculation for the stub period uses actual elapsed days divided by the notional regular period length, consistent with ISMA conventions.

Under 30/360 (ISDA variant), if the start date falls on the 31st, it is moved to the 30th. If the end date falls on the 31st and the start date is the 30th or 31st, the end date is also moved to the 30th. This means a period from January 31 to March 31 counts as 60 days (not 59). This convention is codified in ISDA 2006 Section 4.16(f) and matches Bloomberg's 30/360 implementation.

No. Total nominal coupon income equals face value multiplied by coupon rate multiplied by years to maturity, regardless of frequency. However, higher frequency means you receive cash earlier, which increases reinvestment income. A semi-annual 5% bond pays $25 per $1,000 twice a year. An annual 5% bond pays $50 once. Both total $50 per year, but the semi-annual holder can reinvest the first $25 six months sooner.