Questions tagged [daycounting]

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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 ...
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1answer
290 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: ...
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1answer
793 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 ...
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1answer
176 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: ...
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1answer
287 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
621 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
174 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
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1answer
185 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 ...
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1answer
89 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
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1answer
65 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
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1answer
305 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 ...
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1answer
86 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 ...
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1answer
217 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
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1answer
913 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/...
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1answer
149 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 ...
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1answer
435 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
53 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
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1answer
53 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
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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
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1answer
1k 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 ...