Accrued Interest for Bonds

Strata
3

Hi

Good news! I was wrong, we do have support for accrued interest on bonds, but only on our lower-level pricer API:

LocalDate settlementDate = LocalDate.of(...);
FixedCouponBond bond = ...; // create the bond
ResolvedFixedCouponBond resolvedBond = bond.resolve(ReferenceData.standard());
double accruedInterest = DiscountingFixedCouponBondProductPricer.DEFAULT.accruedInterest(resolvedBond, settlementDate);

It is also worth looking at the test case for this code:

DiscountingFixedCouponBondProductPricerTest.test_accruedInterest

Regards
Chris