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 underneath are not. This package does both, and its default convention reproduces the US Treasury's own published numbers.

import { accruedInterest, accruedDays, couponPayment } 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
• settlement — must lie within the period
• convention — default "ACT/ACT-ICMA"

ACT/ACT-ICMA computes coupon × accruedDays / periodDays; other conventions compute face × rate × yearFraction(periodStart, settlement). 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.

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 period's coupon: face × rate / frequency.

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