The bonds mature on 21-Apr-2025, the fixed coupon rate is 3.25% pa and coupons are paid semi-annually on the 21st of April and October of each year. Each bond's face value is $1,000.
At market close on Friday 11-Sep-2015 the bonds' yield was 2.736% pa.
At market close on Monday 14-Sep-2015 the bonds' yield was 2.701% pa. Both yields are given as annualised percentage rates (APR's) compounding every 6 months. For convenience, assume 183 days in 6 months and 366 days in a year.
What was the historical total return over those 3 calendar days between Friday 11-Sep-2015 and Monday 14-Sep-2015?
There are 183 calendar days from market close on the last coupon 21-Apr-2015 to the market close of the next coupon date on 21-Oct-2015.
Between the market close times from 21-Apr-2015 to 11-Sep-2015 there are 143 calendar days. From 21-Apr-2015 to 14-Sep-2015 there are 146 calendar days.
From 14-Sep-2015 there were 20 coupons remaining to be paid including the next one on 21-Oct-2015.
All of the below answers are given as effective 3 day rates.