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JBRX Interest ParCoupon Rate calculation

May 31, 2017 at 04:49 AM

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Hi all,

Would any of you be able to explain the detailed calculation logic of Interest ParCoupon Rate calculation in JBRX transaction for Securities.

We have interest curves (Par-rate type) with Read Back procedure and execute it as key date = 31.03.2017, it shows a rate of 1.6600348 for all the dates in the Detailed log

I know there is an OSS note: 184062 Interpolation of yield and trying to understand embedded formula, but not able to work out how the calculation is actually being done.

Thanks in advance

Taro

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