6

Business days are all weekdays excluding holidays under the respective settlement calendar. The "252 business days per year" rule of thumb is quite common not only in Brazil - see e.g. here. The reason is, as you suspected, that the average number of business days over a year are often around 252.


4

The rationale for 252 business days is the following: 30 days / month; 2 non business days / week; 4.5 weeks / month, on average; 2 * 4.5 = 9 non business days / month; 30 - 9 = 21 business days / month; 21 * 12 months = 252 business days / year


3

What you've calculated is essentially ACT/ACT day count basis, since you use the actual number of days between the dates and the actual number of dates in the coupon period. With a 30/360 DCC, you treat each month as if it has 30 days, and that there are 360 days in a year (which means that there are 12 even interest periods). So the calculation is done in ...


2

Do you have an actual example of this ? In practice I don't think you'll find bonds that have day count conventions that give an accrual factor > 1. Most Treasury bonds across the world are quoted using 30/360 or Actual/Actual so the accrual factor is always less than or equal to 1. Conventions that give accrual factors > 1 are mostly confined to ...


1

For most fixed-coupon bonds in most markets, the convention is that the daycount is only used to calculate the accrued coupon in the middle of the coupon period. If the complete coupon is paid at the end of the coupon period, then this is the quoted coupon. There are exceptions to this, for example, Mexico MBONOs are fixed coupon, but if the coupon date (...


1

@noob2 While that is an easy way to look at it from a calculation perspective, is it not the case that the interest reflects the risk taken by the holder of the bond? In which case there is no risk overnight as no businesses are open, it cannot be traded, and cannot default. The risk is solely over the course of the business day and therefore the interest ...


1

Adding to @Delsim answer, the formula gives the total value of all cash flows, or the dirty price of the bond. If you want the clean price you need to subtract accrued interest from the formula.


1

The factor $v^{f/d}$ multiplying the whole equation represents discounting the future bond flows over the period between the settlement date and the first coupon payment - it is not a whole period, so some fraction of the semi-annual DF factor is needed. With this convention, the fraction is obtained by raising the DF to the power of the ratio of number of ...


1

If you value an existing IRS then you value its official cashflows to their full extent, i.e. implicitly including accrued interest. When an IRS is 'torn up' (or 'bought out' or 'terminated') it is natural to expect discounted value of all of its cashflows. When a new IRS is 'created' (or 'written' or 'executed') partway through a period it will contain one ...


1

There is the concept of ex-div on stocks and bonds. This is short for ex-dividend (or ex-coupon). If you transact a bond or a stock on an ex-div date then, as the investor, you will not receive the dividend or the coupon which is imminently due to be paid, usually within a few a days or weeks. Instead, as an investor, the first coupon you will receive is the ...


1

Looking at the link to QuantLib's implementation of Act/Act AFB posted by Helin Gai in comments, this would be the part that the determines DiY (variable den): Real den = 365.0; // the DiY if (Date::isLeap(newD2.year())) { temp = Date(29, February, newD2.year()); if (newD2>temp && d1<=temp) den += 1.0; } else if (Date::isLeap(...


1

Further to a post here, you can appreciate by the interest rate and depreciate by the inflation rate at the same time like this: principal p = 1000 interest rate r = 0.03 inflation i = 0.02 number of years n = 10 p (1 + r)^n (1 + i)^-n = 1102.48 The calculation can be simplified with a factor x: x = i (1 + r)/(1 + i) = 0.0201961 p (1 + (r -...


1

This calculator does not include inflation in whatever interest rate you specify (I checked). Usually, the rate quoted by banks is the nominal interest rate, which is simply how much your capital will appreciate with inflation (e.g. higher inflation would yield higher returns). It does not take into account purchasing power and is calculated as follows: ...


1

If I understood your question correctly, what you are saying is that you are in trouble when, at a simulation date $t_i$, you need the fixing of the floating rate at a fixing date $t_f$ that is between $t_i$ and the previous simulation date $t_{i-1}$: $t_f \in ]t_{i-1}, t_i[$ If that is your question, then since at $t_i$, the values of the short rate at $...


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