Questions tagged [daycounting]
The daycounting tag has no usage guidance.
25
questions
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Pricing 5Y US treasury day count convention
I am trying to price a simple 5Y US T Bill. The pricing should be fairly straightforward, however my result is still off by a significant amoaunt. I think the daycount fraction is incorrect, but I am ...
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0answers
102 views
Bloomberg SWPM Zero Rate Curve Conventions
Referencing : Bloomberg SWPM: Day count to calculate discount factor for US0003M
Hi,
I have a hard time reproducing the conversions between Discount factors and zero rates for an XCCY Swap I have ...
1
vote
0answers
53 views
Dealing with day counts that span a weekend
Consider the following security:
CUSIP: 3130A3GE8
Federal Home Loan Bank
Maturity: 2024-12-13
Coupon: 2.75 % (CPN)
Previous Coupon Date: 2019-06-13
Today is ...
2
votes
2answers
258 views
Misunderstanding of 'day counts' and accrued interest
I'm totally new to the fixed income world.
My goal with this question is to gain an understanding how interest is accrued day-by-day for a particular instrument. This will obviously be done by an app ...
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0answers
57 views
Is the ACT/ACT.AFB convention meant to supersede the ACT/ACT convention for interest rate swaps
https://www.isda.org/a/pIJEE/The-Actual-Actual-Day-Count-Fraction-1999.pdf
The determination of day counts are slightly diferrent between ACT/ACT (ISDA) and ACT/ACT(AFB).
Is the latter more common ...
3
votes
1answer
763 views
IMM Swaps - Accrual & Fixing Schedule
I am wondering how accrual periods & reset dates on Quarterly-IMM swaps are different to normal swaps (in terms of conventions). For example:
Normal Swap:
...
0
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1answer
2k views
Bloomberg SWPM: Day count to calculate discount factor for US0003M
I'm trying to replicate price I get for CCIRS in SWPM. This is USD3m float vs RUB 1Y. Second leg doesn't matter for my question.
Suppose today is 7th of Jan 2019, deal date. Settlement will happen on ...
0
votes
1answer
270 views
Why is the number of accrued days equal to one on coupon dates for NL/365?
Accrued day should be zero on coupon dates. This is true for all day count conventions. However, I found that Bloomberg returns 1 accrued day on coupon dates only for NL/365 day count.
Bond example:
...
1
vote
1answer
520 views
Using DayCounter ActualActual.ISMA in QuantLib
Suppose we have a semiannual coupon bond. The calculation date is 5/8 2017. The ex-coupon date is 4/20 2017 and next coupon date is 10/20 2017.
...
1
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1answer
964 views
Fixing date, start date, end date in interest rate derivative valuation?
I was reading a technical report by Hagan, which can be downloaded here on the valuation of accrual swaps and range notes.
It caught my attention that in the valuation he comments this:
Consider ...
1
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1answer
226 views
Day count convention Actual/Actual AFB; Factor for Date1 = 2004-02-28 and Date2 = 2008-02-28
The Actual/Actual AFB day count convention is explained on Wikipedia here. I'll condense the rules here the way I understood them.
Factor = Days(Date1,Date2)/DiY
If 29th february is in date ...
1
vote
1answer
240 views
Characteristics of a Discount Curve
Does the discount curve used for discounting cash flows have to be a zero coupon, annual compounding, actual by actual day basis curve? In practice, does a curve used for discounting necessarily have ...
1
vote
1answer
93 views
Towards a standard day count convention in Finance, what the standard should be?
I recently found out about the multitude of day count conventions in Finance (e.g.wikipedia and stackexchange). As far as I understand the reason for this variety is a long history of diverse usage.
...
2
votes
1answer
76 views
Day counts and time increment in Monte Carlo
Suppose the evolution of the stock price is given by Geometric Brownian Motion. Futher I assume that the risk free rate process is given by CIR model. In both models there is a time increment dt. To ...
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1answer
43 views
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....
2
votes
1answer
393 views
discrepancy in calculating 30/360 day count
I'm trying to calculate 30/360 (US) date differences, but I'm confused by the differences between calculating dates in one order vs the other.
When I calculated the difference between date1=2/29/2016 ...
1
vote
1answer
107 views
Day count convention confusion
For example I want to calculate a year fraction between the dates: 2011.03.31 and 2015.05.30.
There are 1521 days between the two dates, but 2012 was a leap year. So what should I use in the ...
1
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1answer
268 views
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 ...
2
votes
1answer
1k views
LIBOR Quoting Conventions
I have been trying to build a NSS parameterization of LIBOR term structure, and have confused myself over how all the dates are dealt with.
On https://www.theice.com/publicdocs/futures/...
-1
votes
1answer
151 views
Pricing of Interest rate swap with start ex. 01/06/2015 to 03/06/2015 - 2 extra days? Change discount factor and fixed payments?
I hope you can help me.
So let say we have an interest rate swap, with the following characteristic:
Start in 30/06/2015.
End in 02/07/2019
It has fixed payment every year, and floating every ...
1
vote
1answer
564 views
ACT/360 day convention in swap pricing
The floating leg of a USD swap has present value
$$
PV = \sum_{i=1}^N \delta_i f_i p^d(t_i)
$$
where the $\{t_i\}$ are the floating leg payment dates, $\delta_i$ is the accrual fraction between $t_{...
2
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0answers
56 views
Can I use these rates for ACT/360 discounting?
I have calculated forward rates like this:
$r_{t_1,t_2} = \left(\frac{(1+r_2)^{d_2}}{(1+r_1)^{d_1}}\right)^{\frac{1}{d_2-d_1}} - 1 $
I want to find the discount factors for these forward, with ACT/...
2
votes
1answer
66 views
Translating dates to times
I am using Act/365 day-count convention. How do I compute the time offset between 2/28/2015 and 3/1/2016? 3/1/2017
Some ideas:
Direct day count: count number of days between the dates, and divide by ...
7
votes
1answer
6k 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, ...
3
votes
1answer
2k views
Which method is implemented by Excel's YEARFRAC for ACT/ACT?
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 ...
