accrued-interest

Bond accrued interest between coupon dates — ACT/ACT-ICMA (US Treasuries), 30/360 (US corporates/munis), 30E/360, ACT/360, ACT/365F, ACT/ACT-ISDA. Zero dependencies.

npm install accrued-interest

Why

Accrued interest is on every bond ticket and in every fixed-income P&L, yet npm had no package that computes it. The formula is one line — the day-count conventions and odd coupon periods underneath are not. This package does both, and its default convention reproduces the US Treasury's own published numbers.

import { accruedInterest, bondAccruedInterest } from "accrued-interest";

// T 4.375% — TreasuryDirect publishes accruedInterestPer1000 = 7.25204
// for this exact security (CUSIP 91282CQQ7, issued 2026-07-15):
accruedInterest({
  face: 1000,
  rate: 0.04375,          // annual coupon, decimal
  frequency: 2,           // semiannual
  periodStart: "2026-05-15",  // last coupon (dated date)
  periodEnd: "2026-11-15",    // next coupon
  settlement: "2026-07-15",
}); // 7.252038043478261

// A 30/360 corporate:
accruedInterest({
  face: 100_000,
  rate: 0.06,
  frequency: 2,
  periodStart: "2026-01-31",
  periodEnd: "2026-07-31",
  settlement: "2026-03-31",
  convention: "30/360",
}); // 1000

API

accruedInterest(params) → number

• face — par amount
• rate — annual coupon as a decimal (0.04375; passing 4.375 throws with a helpful message)
• frequency — coupon payments per year (2 for Treasuries and most corporates)
• periodStart / periodEnd — the coupon period bracketing settlement (for an odd first coupon: the dated date and the first coupon date)
• settlement — must lie within the period
• convention — default "ACT/ACT-ICMA"
• oddPeriod — ACT/ACT-ICMA only: "first" (default) or "last", where an irregular period sits (see below)
• eom — ACT/ACT-ICMA only: end-of-month rule for quasi-coupon dates; default true when the anchor date is a month end
• exCouponDate — for markets with an ex-coupon (ex-dividend) period; from this date on, accrued interest is negative

ACT/ACT-ICMA computes coupon × accruedDays / periodDays for a regular period. For an irregular period — a short or long odd coupon — it follows ICMA Rule 251 and Treasury's own rule (31 CFR 356 Appendix B): the period is split into quasi-coupon periods, and each part is counted against the length of its own quasi period. By default quasi-coupon dates are counted back from periodEnd (an odd first coupon); pass oddPeriod: "last" to count forward from periodStart (an odd final coupon). Other conventions compute face × rate × yearFraction(periodStart, settlement), which already handles odd periods.

// Long first coupon — bond 912810DB1, dated 1982-11-15, first coupon 1984-05-15.
// TreasuryDirect publishes accruedInterestPer1000 = 26.36740 at issue:
accruedInterest({
  face: 1000, rate: 0.10375, frequency: 2,
  periodStart: "1982-11-15", periodEnd: "1984-05-15", settlement: "1983-02-15",
}); // 26.367403…

With exCouponDate and settlement on or after it, the buyer doesn't receive the coupon, so the result is minus the interest from settlement to periodEnd.

Returns the exact unrounded amount — round per your market's convention. Dates are "YYYY-MM-DD" strings (recommended) or Date objects read as UTC calendar dates; impossible dates throw.

bondAccruedInterest(params) → number

Accrued interest straight from the bond's terms — no need to work out the coupon period yourself:

// 2-year note 91282CNV9: dated 2025-08-31, issued 2025-09-02.
// TreasuryDirect: accruedInterestPer1000 = 0.20028
bondAccruedInterest({
  face: 1000, rate: 0.03625, frequency: 2,
  maturity: "2027-08-31",
  datedDate: "2025-08-31",
  settlement: "2025-09-02",
}); // 0.2002762…

Takes face, rate, convention plus the couponPeriod parameters below.

couponPeriod(params) → { periodStart, periodEnd, regular }

The coupon period containing settlement. Coupon dates are generated backward from maturity (unadjusted for holidays, as accrual dates are for Treasuries), with the end-of-month rule when maturity is a month end (eom: false to turn it off). frequency must divide 12. Optional datedDate and firstCouponDate describe an odd first coupon; without firstCouponDate, the first period runs from datedDate to the first regular coupon date after it. Dates come back as "YYYY-MM-DD" strings.

periodCoupon(params) → number

The coupon actually paid for the period (same parameters as accruedInterest): the regular face × rate / frequency, prorated for a short or long ACT/ACT-ICMA period.

accruedDays(params) → number

The day count from periodStart to settlement under the convention (actual days for ACT, 360-basis count for the 30/360 family).

couponPayment(face, rate, frequency) → number

One regular period's coupon: face × rate / frequency.

Conventions

| Convention | Rule | | --- | --- | | ACT/ACT-ICMA | ICMA Rule 251 — US Treasuries, most government bonds | | 30/360 | ISDA 2006 §4.16(f) "Bond Basis": D1 31→30; D2 31→30 only if D1 is 30/31. No end-of-February adjustment | | 30E/360 | ISDA 2006 §4.16(g) "Eurobond Basis": any 31st → 30 | | ACT/360, ACT/365F | actual days ÷ 360 or 365 | | ACT/ACT-ISDA | actual days in each calendar year ÷ that year's length |

Verification

• TreasuryDirect: bondAccruedInterest reproduces the published accruedInterestPer1000 of 1,664 of the 1,666 note and bond auctions that report it (1980–2026), including every short and long first coupon and month-end schedule. The two exceptions are a 1986 auction whose figure doesn't follow ACT/ACT, and an exact half-way case (2.421875) that Treasury shows as 2.42187.
• QuantLib 1.43 (FixedRateBond.accruedAmount): 105,121 comparisons over random bonds — every convention, frequencies 1/2/4/12, regular, short-first, long-first, non-EOM, and ex-coupon schedules — agree to 1e-9 except 17 cases. All 17 are odd first coupons on bonds paying on the 29th or 30th whose quasi period crosses February: QuantLib rolls quasi-coupon dates from the clamped Feb 28 (or a 30-day month end) while this package keeps the schedule's own day (e.g. Aug 30, not Aug 31).

A sample of both data sets is committed as test fixtures.

Related

Part of a small fixed-income toolkit: 32nds (Treasury quote notation) · day-count (the conventions, standalone) · sifma-holidays (bond-market calendar) · treasurydirect (auction data client).

Author

Built by Moshe Malka — engineering leader in New York City. Studio work at Quentin.Code.

MIT © Moshe Malka