Let’s say I have a daily debit charge of Fed Fund + 50 bps that my prime broker charges for long positions in excess of account equity.
Assume Fed Funds is 1.00% for simplicity, therefore my annual interest is 1.5%. My long position and account value changes each day, so I need to accrue the interest charge using the daily effective interest rate.
I believe I calculate this using the geometric root of 1.5%?
Specifically, daily interest = (1.5% + 1)^(1/250 trading day) - 1
Alternatively, do I calculate daily interest as simply = 1.5%/250?
Thanks!
Is that correct, or do I simply assume 1.作者: scruge 时间: 2013-4-28 10:09
is your annual interest rate of 1.5% compounded daily or annually? from your description it says ‘daily debit charge’ so I’d assume that Fed + 50bps per year, compounded daily. so then your daily rate would be 1.5%/250.
if the 1.5% was an annual charge, then you’d use method 1.
