Assume the following par yields for the on-the-run Treasury yield curve.
Date Period Years Par Yield = coupon rate
2/15/2014 1 0.5 2.10% (BEY of 6-month T-bill)
8/15/2014 2 1.0 2.30% (BEY of 1-year T-bill)
2/15/2015 3 1.5 2.50%
8/15/2015 4 2.0 2.70%
2/15/2016 5 2.5 3.00%
8/15/2016 6 3.0 3.40%
Calculate the accrued interest for a 4% coupon FNMA bond that pays interest (30/360) on 5/31 and 11/30 of each year, matures on 5/31/2025 and settles on 9/29/2015. Show all calculations and include six decimal places.