When calculating accrued interest for Treasury bonds, which days are actually used?

When calculating accrued interest for Treasury bonds, calendar days are used. This approach takes into account every day on the calendar, including weekends and holidays, rather than limiting the calculation to just business days or trading days.

The use of calendar days aligns with how interest accrues on the bond over the period leading up to the settlement date. Treasury securities typically have a semiannual interest payment schedule, and the accrued interest is calculated from the last coupon payment date up to, but not including, the settlement date when the bond changes hands.

In this context, using calendar days provides a consistent and accurate measure of the time lapse for which interest is being calculated, thereby ensuring that both buyers and sellers receive the correct proportion of interest due on the bond.