Here are some conventions used in building the EUR/USD volatility surface. I need to validate these fields: Base Currency: EUR Term Currency: USD Spot Lag: 2bd Interpolation Variable: ...
I am looking for a list of day count conventions. Is the list on Wikipedia complete or do you know others? Which rules of thumb are there to choose day count conventions when none is specified, ...
ISDA: Interpreting a date specified as x business days prior to another date with a business day convention of 'NONE'
I've got an interest rate swap, it has a right-to-break with a bermudan exercise schedule. For each exercise, the settlement date is specified as an already-adjusted business day. The "last ...
If a trade (lets say for example a 'simple' interest rate swap) is using IMM rolls (so the interest calculation periods start and end on IMM Wed dates), are there particular/special business day ...