Questions tagged [daycounting]

The tag has no usage guidance.

7 questions with no upvoted or accepted answers
Filter by
Sorted by
Tagged with
2
votes
0answers
69 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: ...
2
votes
0answers
65 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/...
1
vote
0answers
348 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
78 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 ...
0
votes
0answers
50 views

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 ...
0
votes
0answers
47 views

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 ...
-1
votes
1answer
156 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 ...