Question: Consider a 4.75% coupon, 10-year U.S. Treasury note that matures on August 15, 2017. Calculate the accrued interest for a $1 million par value position

Consider a 4.75% coupon, 10-year U.S. Treasury note that matures on August 15, 2017. Calculate the accrued interest for a $1 million par value position assuming a settlement date of October 16, 2007. Assume that interest starts accruing on August 15, 2007. (There are 62 days in the accrued interest period and 184 days in the entire coupon period.)

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