Index method
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Interest rate calculation.
Calculation of an interest amount by reference to a published index.
- Use the index method
- "With an index, you need only two data points per coupon period – one at the beginning and one at the end.
- The ratio of these two numbers will give you enough information to know your coupon.
- For reporting accrued interests, you do the same but observe the second index data point on the day of reporting.
- ... All paths lead to the index method, we have an opportunity to make SONIA almost simpler to use than LIBOR was."
- The Treasurer, April 2021 - François Jarrosson, director, derivatives and hedging advisory at Rothschild & Co.
