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To compute the cash flow dates you need to know the maturity date, the tenor, the payment frequency, the business day convention and the holiday calendar. The cash flow dates step backward from the maturity of the bond, in units of the payment frequency. For example, for a two year bond maturing on 31/12/2017 with a semi-annual coupon, you step back in ...


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There are lots, decide which ones you actually need for your project - follow the coding maxim You Ain't Gonna Need It. Be aware that those rules have variants: Actual/365 has 2 varieties, fixed and actual, 30/360 has at least 3 varieties (see that Wikipedia article). Then there is Brazillian Bus/252, etc etc. Consider using a library (like Fincad or ...


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The convention is to name each month with the Future Month Codes (http://www.cmegroup.com/month-codes.html), which it doesn't seem like your data does. Without more information, I would guess that each letter pair (AB, AC, etc.) represents a different future month. AA would be the first, AB second, and so on. As far as translating "AB" to a certain ...


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For Interest Rate Swaps, IMM means the periods will be the third Wednesday of each quarter adjusted in following if needed. This means that the start and end dates of each period to compute your day count fraction will be using these dates. The fixing date however will be such as the spot is the IMM start date. This means that for GBP it will be the same ...


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When the convention is ACT/360, it means that 365 calendar days of interest is calculated as 365/360 years. I knows it seems stupid, but before industrial use of computers, it was convenient for a year to be a nice round number like 360. I forget how the 30/360 convention is handled - I once coded up all the conventions, but they have worked really well ...


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This seems to be the established convention and I'm not aware of other approaches being commonly (or at all) used. It's specified for example in ISDA Definitions: Section 4.11. FRN Convention; Eurodollar Convention. “FRN Convention” or “Eurodollar Convention” means, in respect of either Payment Dates or Period End Dates ... that the Payment Dates or ...


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I assume your underlying pricing model uses a derivative of the standard Hagan's SABR formulation. Then, the lognormal quotes are merely, where the volatilities quoted on the basis of Black-scholes standard lognormal form, and vol(K=strike) = f(alpha = atm_vol, corr_vol, vol_vol, beta, K, f=forward). * Independent * of the black-scholes formula, you should ...


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Two counterparties can agree any date they choose as the maturity date. IRS, being bilateral over the counter derivatives, are completely customizable. Having said that, on any given day the most heavily traded IRS are those with a standard maturity such as 2yr, 5yr, 10yr.


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Day count Day count conventions are a way to agree between parties how interest is calculated for an instrument. It is, therefore, as simple as possible given some constraints. An Act/360 convention is ActualDays/360, where 'actual' means days on the calendar, including counting weekend days, holidays etc. So 181 days is always 0.502777.. in Act/360. ...


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This is the Stricknet dataset (doesn't specify the exchange). What I figured out so far: 2006-2010 uses this convention: First letter: A-L are expiration month codes for calls, M-X are expiration months for puts, so VIXAB is a call which expires in January. This is also explained here: https://en.wikipedia.org/wiki/Option_symbol so this was the standard ...


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For reporting outputs, you should certainly use the proper market convention (e.g., 30/360 and simple interest for USD Libor). However, internal model convention is a different matter. Many quants use Actual/365.25 or Actual/365, combined with continuous compounding. The day count convention only needs to ensure 1-to-1 mapping between date and rate/discount ...


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Business day convention NONE means no adjustment when a day is not a business day, so I would assume the adjusted notification date to be five days prior to the adjusted settlement date regardless of holidays or weekends. Not sure how that would work out in practice though.


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