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Referencing : Bloomberg SWPM: Day count to calculate discount factor for US0003M

SWPM XCCY Legs

SWPM XCCY CFs

Hi,

I have a hard time reproducing the conversions between Discount factors and zero rates for an XCCY Swap I have found in the question referenced.

For rates up to (including) a year, they seem to be simple interest on an Act/360 basis, matching the USD Libor conventions.

Beyond a year though, I can't reproduce the zero rates from the discount factors and vice versa. Neither annual-, S/A-, quarterly-, continuous- compounding, nor simple interest works. I have tried ACT/360 and ACT/ACT for that matter.

Also, it is not a rounding problem.

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  • $\begingroup$ Nevermind.... It is actually Bond Basis: 30/360, s/a compounding... $\endgroup$ – gosymmetry.de Dec 29 '19 at 14:12

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