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5

This does the trick. Given "U8", function will get the IMM date for Sep 2018. Given "U4", function gets the IMM date for Sep 2024 (or it will until we've passed that date). Could be easily modified to also pull historical IMMs from a given longer symbol eg. "U2014". def getIMMDate(IMMcode): '''Takes 2 digit IMM code and returns effective date as datetime ...


4

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 ...


4

This is really just to elaborate on other contributor's answers: Generating the cash flow schedule is surprisingly complicated. As a general rule of thumb, the following dates are involved for a swap (though not all of them need to be specified): The trade date: This is the date on which the swap is traded, usually "today." The effective date: This is when ...


3

The forwards/backwards will matter if there is a stub period. Typically it is done backwards though with the end-of-month convention. Also, the way to do it is to calculate all the accrual start/end dates as if there are no holidays and then do the adjustments. This way, all the payment dates will roughly be on the same day of the month except for non-...


2

By Prompt dates, LME means dates on which contract trades. Normally, you see monthly contracts. Prompt month is also front month. LME is providing daily contracts up to 3 months out, then weekly and so on as in your reference. Generally prompt month is the front month or nearby month that is closest unexpired month. You can replace month by day or week as ...


1

I know this is may be very late to the party, but the LondonFX page is correct. Other answers either do not understand the spot FX market or your question. NZD pairs roll at 7AM Auckland as backed by the https://www.nzfma.org/Site/practices_standards/market_conventions.aspx site and the "FX Forward Rate Roll Date Convention" document within it. For any other ...


1

Swap dates are usually generated using some periodicity to maturity. All of these dates are generated first, then they are individually adjusted for holidays using a business day convention (e.g. modified following). With this method there is no distinction between "backwards" or "forwards" because both ways produce the same dates.


1

You can use Cubic Splines to convert quarterly data into monthly. See also the following: https://columbiaeconomics.com/2010/01/20/how-economists-convert-quarterly-data-into-monthly-cubic-spline-interpolation/ Update: Take a look at the following link too: http://answers.microsoft.com/en-us/office/forum/office_2010-excel/cubic-splines-in-excel-2010/...


1

This kind of question is exactly why spot FX takes T + 2 to settle. Exactly why you are looking for a convention is, I would say, because the whole thing depends on the conventions your trading partners use. You need to refer to the provider from whom you are getting the data. For me, the trade date is most likely the time of the provider pricing engine ...


1

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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