The May edition of Canadian Moneysaver contained my review of bond and strip yield calculations. The interplay between the two create some relationships of which every investor should be aware … and most aren’t.
Look for the research link!
Update, 2012-1-18: Assiduous Reader HK points out that in the section “Accrued Interest Calculation Conventions”, my explanation of accrued interest calculations is precisely reversed: in fact, according to the IIAC Conventions, Settlement is calculated according to Actual / 365 and Yield is calculated using Actual / Actual. Oops!