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roll convention on 1 week instrument on LIBOR curve

I am looking at an AUD LIBOR PROJ curve I want to bootstrap, the business day convention for LIBOR is MOD_FOLLOWING, which seems logical for +1M instrument, however for a 1 week instrument should that ...
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FX Strangle Market Conventions

Info on Risk Reversals for context In the FX vanilla options market buying risk reversal involves selling a lower strike put and buying a higher strike call. The price of such a structure is a ...
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FX-swap market convention question for o/n

Can someone enlighten me regarding the market convention for quoting an overnight fx swap where one leg is USD and today is a USD-holiday (but not a holiday in the other currency)? An example is ...
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FX Option Vol Quotes (Days or Days+Time to Expiry)

I understand FX Options are often quoted via ATM, RR, BF for 10/25 deltas. There are many resources that outline how to convert those quotes back into absolute strike space (using spot delta or ...
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Which Day Count Convention applies in a Cross Currency Swap

What is the rule (assuming there is one) specifying which day count convention should prevail in a cross-currency swap? For example, where EUR follows ACT/360 and GBP follows ACT/365, which of the two ...
error404's user avatar
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1 answer
447 views

Actual360 convention in quantlib schedule

I'm trying to make a payment schedule for different bonds in quantlib. For example, I made such a schedule: ...
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Conventions for FX Options

I am looking for conventions (delta, atm, premium adjusted) related to FX Options. For popular currency pairs (e.g. USD EUR) they should be found in Ian Clark's Foreign Exchange Option Pricing. But ...
user58565's user avatar
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Mechanics of index CDS options

I am looking at some documents regarding pricing approaches for index CDS options but none of them give much detail on the mechanics of trading the product. I have looked at the CDX UNTRANCHED ...
Francis's user avatar
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1 answer
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Difference b/w Spot Premium and Forward Premium for FX Options

Can someone elaborate the difference between the two, and what is the typical convention used in markets? If there is a mathematical relationship. Any helpful links/guides would be appreciated as well,...
user23564's user avatar
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1 vote
0 answers
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What is the market convention for the stub floating payment on a vanilla swap?

Let's say I have a plain vanilla "broken date" swap (Annual fixed, 6m float) that I enter into today (10th Nov 20 for settle T+2, 12th Nov 20) and which ends on 16th August 2023. The swap is ...
DS_London's user avatar
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4 votes
1 answer
841 views

Accrued interest calculation for floaters linked to O/N rates (such as SOFR)

It is known that between 2021 and 2022, LIBOR rates will cease to exist. Therefore bond issuers started to link their newly issued floaters to O/N rates based on actual trades such as SOFR for USD or €...
Martin Vesely's user avatar
1 vote
1 answer
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Determining parent issuer from ISIN

What digits/letters of a bond's ISIN correspond to its parent company issuer? I have noticed that for many bonds, the first two digits stand for the country of issuance and oftentimes there is ...
quant_zero's user avatar
4 votes
1 answer
10k views

CDS Quote Conversion - Quoted vs Par

Just to be on the same page, let me start with some nomenclature: Par Spread = Coupon for which the CDS has NPV=0, assuming a piece-wise constant hazard curve (considered in conjunction with all ...
Phil-ZXX's user avatar
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2 answers
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Which convention drives what the result of "30 august 2017 + 6M" should be?

If I use c#'s AddMonths method, "30 august 2017 + 6M" will give "28 february 2018" (as the latter is the last day of the february month in the non leap year 2018). ...
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Modern market conventions for interpreting interest rate swaptions quotations in a negative interest rate environment

I have broker data and I see three sets of swaption vol data: Lognormal (Black) Shifted Lognormal (Black with displaced diffusion) Normal (Bachelier) The quotes are given by the following key (Date, ...
Michael Lowenstein's user avatar
1 vote
1 answer
269 views

USD Swap day convention (IMM) Feb 19

Quick question about something that I am not clear about February 19 IMM date is 20th of February, if I want to find the fixing day for that date I would be looking at February 18th, in the US Feb ...
The_Real_Jon_Dow's user avatar
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1 answer
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ISDA Convention for definition of IRS maturities

Could someone indicate me what is the ISDA convention for IRS maturity dates ? I mean, when two counterparties enter in a new IRS, is the maturity date to be defined in the contract totally free (ex: ...
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Day Count conventions

I have a general question concerning day count conventions. Let's say I have a 6M FRA with a start day 2017-02-09 and a end date 2017-08-09. The day count convention (DCC) would be e.g. Act/360. Today ...
JonDoe's user avatar
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2 answers
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What is the convention for option tickers on S&P 500 and VIX?

Can you please explain what are all possible versions of S&P 500 option tickers and VIX option tickers? My options historical data is from 2006 to 2013 and I can see something like VIXAB, VIXAC, ....
Dee's user avatar
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When computing with rates, how long is a year? how long is a day?

The convention says that when computing with rates, $1$ year has $360$ days. Does this mean that, when computing with rates, $1$ year has $360$ normal days or 1 day is $\frac{365 \times 24}{360} = 24....
Lay González's user avatar
1 vote
1 answer
5k views

How to Compute Dates for Bond

I would like to understand how to compute from Maturity Date the Payment Dates of a coupon bond. For example, consider that today I am buying a bond that matures in ...
Nicola's user avatar
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1 vote
1 answer
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Passage from dates ranges to real numbers in modelling : which market practice?

Let's say I model a 6M forward Libor rate as a process $(L^1_t)_t$ that's a diffusion, with in view a Monte-Carlo (MC) pricing of some product. At some point I will have real life dates $T_i$'s that I ...
Olórin's user avatar
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1 vote
1 answer
2k views

Roll convention applied to weekend swap maturity date

Suppose a swap is booked with maturity on June 19, 2016 (which is a Sunday). Accruals are adjusted according to the modified following roll convention and follow U.S. holidays. For the last cashflow ...
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1 answer
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NOK NOWA overnight day count

The NOK overnight index NOWA is defined as: Reported interest rates shall be calculated as nominal annual rates for the actual number of days in the year ahead (365 or 366). (The percentage ...
JodaStephen's user avatar
8 votes
2 answers
8k views

Which day count conventions are there and where do they apply?

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, ...
user avatar
1 vote
1 answer
175 views

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 ...
eddiewould's user avatar
4 votes
1 answer
7k views

IMM rolls: Are there special business day conventions?

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 ...
eddiewould's user avatar