Index method

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.

See also

• Accrued interest
• Bank of England
• Coupon
• ICE Benchmark Administration
• Index
• Interest rate
• LIBOR
• SONIA
• Statistics