Say that I have a portfolio of corporate bonds, maturing in 10 years with a 5% coupon rate. Suppose that the day count convention for these bonds is 30/360. If I were to create a batch process ...
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, ...
I know the algorithm used by Excel to calculate the YEARFRAC(startDate, endDate, basis) for basis=1. Excel calls the method "act/act". A Java re-implentation of Excel's algorithm can be found at ...