Questions tagged [daycounting]

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When are daycounts needed for the floating leg of a swap?

For the fixed leg, the daycount is needed since the PV is $\sum_t N\delta_{t}r DF_t$ where $\delta_t$ is the daycount accrual factor at time $t$. However for the floating leg it looks like $\sum_t N \...
JakcieJnr's user avatar
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How to compute discount factor from yield curve when there are two daycounts in play?

Let's say I have a yield curve, i.e. a series of times $t_1, ..., t_n$ and associated rates $r_{t_1}, ..., r_{t_n}$, such that my discount factors are $DF_{t_i} = (1+r_{t_i})^{(-t_i)}$. The curve has ...
JakcieJnr's user avatar
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What is the day-count basis of the "true yield" reported by Bloomberg for bonds?

Plenty of sources the web, including Bloomberg's CFA pararation pages, state that the "true yield" reported by Bloomberg for bonds uses business adjusted payment dates for computation. ...
Rodolfo Oviedo's user avatar
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2 answers
402 views

Calculation of Cashflows Using ISMA Day Count in Fixed-Rate Bond

I'm working with a fixed-rate bond in QuantLib, and I have set the day count convention to ISMA, but I would like to understand how this specific day count convention is used in the calculation of the ...
Roshan Yadav's user avatar
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Calculation of accruals using Actual/Actual AFB day count convention in QuantLib library

I am using the QuantLib library to calculate accruals for a fixed rate leg, using the "Actual/Actual AFB" day count convention. The payment period is annual, and the cash flows occur between ...
Roshan Yadav's user avatar
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1 answer
202 views

Does QuantLib have a DayCount convention that supports India financial year calculations?

I'm currently using QuantLib to perform financial calculations in my application, but I'm having trouble finding a DayCount convention that supports the India financial year calendar (April 1 to March ...
Roshan Yadav's user avatar
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179 views

Python Quanlib : yearFraction returns same number when I change the valuation date

I am completely new to python/coding so apologies in advance if the question is too basic but I could not find the answer elsewhere. I am trying to calculate the daycount fraction from the settlement ...
user58873's user avatar
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298 views

Day Count Convention & Compounding Frequency Assumption in Interest Rate Swaps and Discount Factors

This question concerns old LIBOR Swaps where their fixed legs are based on 30/360, and floating legs on Act/360. Q1. Let's assume the simple self-discounting case where spot rates are obtained ...
Curiosity's user avatar
1 vote
1 answer
257 views

Business day convention in fixed income

I have a question regarding the business day convention. Suppose I have a bond that matures on the 17th of September 2023 and pays an annual coupon of $1%$. It has a $30/360$ day-count convention and ...
swissy's user avatar
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Implementation of Act/Act IDSA / ICMA / Bond Day Count Convention

I read the following definitions of day count rules (ii) if “Actual/Actual (ISDA)” or “Act/Act (ISDA)” is specified, the actual number of days in the Interest Period divided by 365 (or, if any ...
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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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Day-Time conventions spanning across years

I have 2 dates, let's say 2010-01-01 and 2020-01-02, and I am interested in calculating the year fraction between them according to the Act/365 time convention. Would this be just $$ \frac{\text{raw # ...
gt6989b's user avatar
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1 answer
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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: ...
Igor Igor's user avatar
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Day Count Convention

I am currently reading the book Term-Structure Model, chapter 3, by Damir Filipovic and I have the following problem: The Libor rate for the maturities: Over night, 1 week, 1 month, 2 months and 3 ...
Oli Bernet's user avatar
1 vote
2 answers
2k views

Day-Count-Conventions T-bills, T-notes and T-bonds

I have a question regarding the day count conventions for T-bills, T-notes and T-bonds. So far I haven't found an official page that clearly states which method is used and I don't own bloomberg etc. ...
Count's user avatar
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How to model fixed-rate loans or mortgages with act/365 but constant payment

My question I have a question on how to model the cashflows of fixed-rate loans or mortgages. Let's say the payments are monthly, and the rate remains constant throughout the life of the product; each ...
Pythonista anonymous's user avatar
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Converting pandas datetime to QuantLib dates: why do the inputs need to be converted to int only some times? It seems random

I am trying to use the QuantLib library with Python. In the example below, I create a pandas dataframe with some dates and some cashflows, convert the dates from pandas' format to QuantLib's, and use ...
Pythonista anonymous's user avatar
1 vote
3 answers
740 views

Day count methods and actual coupon payments

Assume I have a bond that pays 5% coupon anually on the last day of the year. The day count method used to calculate accrued interest over time is "days actual / 360". The day before the ...
GrafZ4hl's user avatar
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270 views

How can i calculate the yield given price, or price given yield for a callable bond, with several callable dates and strike prices (quantlib)

...
Jose Andres Riveros's user avatar
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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 ...
Giuseppe Pes's user avatar
2 votes
0 answers
936 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 ...
gosymmetry.de's user avatar
1 vote
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198 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 ...
Yippie McSmashmouth's user avatar
4 votes
2 answers
1k 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 ...
Yippie McSmashmouth's user avatar
3 votes
1 answer
2k 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: ...
Phil-ZXX's user avatar
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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 ...
Sasha M.'s user avatar
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1 answer
509 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: ...
Dejan's user avatar
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1 vote
1 answer
2k 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. ...
Lindsey Jin's user avatar
1 vote
1 answer
3k 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 ...
Aldo Shumway's user avatar
1 vote
1 answer
476 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 ...
TT.'s user avatar
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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 ...
Karuna's user avatar
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1 vote
1 answer
110 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. ...
Diamantis Sellis's user avatar
2 votes
1 answer
185 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 ...
dmitry's user avatar
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-1 votes
1 answer
51 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....
Lay González's user avatar
2 votes
1 answer
697 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 ...
user24363's user avatar
2 votes
1 answer
184 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 ...
FelB's user avatar
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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
2 votes
1 answer
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/...
John Smith's user avatar
-1 votes
1 answer
166 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 ...
HelpMePlease's user avatar
2 votes
1 answer
1k 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_{...
Chris Taylor's user avatar
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2 votes
0 answers
78 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/...
klmgg1's user avatar
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2 votes
1 answer
102 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 ...
gt6989b's user avatar
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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
3 votes
1 answer
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 ...
Christian Fries's user avatar