Explanation:
US Treasury bonds use an actual/actual (ACT/ACT) day count convention.
Per $100 face value, accrued coupon is:
$8% \times \frac{100}{2} \times \frac{35}{184} = 0.760870$
For $1 million face value:
$0.760870 \times \frac{1,000,000}{100} = 7,608.70$
So the accrued interest is approximately $7,609.
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Q-168.1. A United States (U.S.) Treasury bond pays an 8.0% semi-annual coupon on January 1st and July 1st. If an investor owns $1 million in face value of the Treasury bond, what is the accrued (coupon) interest as of August 5th, 2010?
A
$7,391
B
$7,556
C
$7,609
D
$7,778