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The short answer is that sometimes you can tell from the ISINs that two bonds have the same issuer; but the converse does not work. Some bonds have a CUSIP assigned (for a small fee when the bond is issued) by the CUSIP authority (which happens to be Standard & Poors). A CUSIP has 9 characters: 6 characters for the issuer; 2 characters for the issue; and ...


2

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 ...


1

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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