How is the accreted call price calculated?
Each six months, the accreted value of a ZCD increases by an amount equal to the previous accreted value times the accretion rate (yield) times the number of days in the semi-annual period divided by 365. For example, a ZCD issued on 7/1/2002 with a 15-year maturity and a one-year non-callable period that has a yield of 7.00% would have an original issue price of 35.60148. The example below shows the calculation of the accreted call price on the first call date (7/1/2003).
