Questions tagged [daycounting]
The daycounting tag has no usage guidance.
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Accrued interest need day counts, but day count conventions return year fractions [closed]
As far as I understand, the formula for accrued interest is $acc = couponInterest\cdot \frac{accruedDays}{couponDays}$.
But that fraction: $\frac{accruedDays}{couponDays}$, depends on the day count ...
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Python QuantLib datecount ActualActual basis vs Matlab daycount basis
I am translating a code from MATLAB to Python and I need to find equivalent setting to MATLAB’s day-count basis of 0 = actual / actual. My MATLAB code uses date2time function to determine the length ...
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What day count convention for pricing
Imagine looking at some equity implied vol surface on Bloomberg. You see a call implied volatility in the grid. Now you want to convert this vol into a price. For that, you will use Black-Scholes ...
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roll convention on 1 week instrument on LIBOR curve
I am looking at an AUD LIBOR PROJ curve I want to bootstrap, the business day convention for LIBOR is MOD_FOLLOWING, which seems logical for +1M instrument, however for a 1 week instrument should that ...
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When are daycounts needed for the floating leg of a swap?
For the fixed leg, the daycount is needed since the PV is $\sum_t N\delta_{t}r DF_t$ where $\delta_t$ is the daycount accrual factor at time $t$.
However for the floating leg it looks like $\sum_t N \...
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How to compute discount factor from yield curve when there are two daycounts in play?
Let's say I have a yield curve, i.e. a series of times $t_1, ..., t_n$ and associated rates $r_{t_1}, ..., r_{t_n}$, such that my discount factors are $DF_{t_i} = (1+r_{t_i})^{(-t_i)}$. The curve has ...
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What is the day-count basis of the "true yield" reported by Bloomberg for bonds?
Plenty of sources the web, including Bloomberg's CFA pararation pages, state that the "true yield" reported by Bloomberg for bonds uses business adjusted payment dates for computation. ...
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Calculation of Cashflows Using ISMA Day Count in Fixed-Rate Bond
I'm working with a fixed-rate bond in QuantLib, and I have set the day count convention to ISMA, but I would like to understand how this specific day count convention is used in the calculation of the ...
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Does QuantLib have a DayCount convention that supports India financial year calculations?
I'm currently using QuantLib to perform financial calculations in my application, but I'm having trouble finding a DayCount convention that supports the India financial year calendar (April 1 to March ...
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Python Quanlib : yearFraction returns same number when I change the valuation date
I am completely new to python/coding so apologies in advance if the question is too basic but I could not find the answer elsewhere.
I am trying to calculate the daycount fraction from the settlement ...
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Day Count Convention & Compounding Frequency Assumption in Interest Rate Swaps and Discount Factors
This question concerns old LIBOR Swaps where their fixed legs are based on 30/360, and floating legs on Act/360.
Q1. Let's assume the simple self-discounting case where spot rates are obtained ...
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Business day convention in fixed income
I have a question regarding the business day convention. Suppose I have a bond that matures on the 17th of September 2023 and pays an annual coupon of $1%$. It has a $30/360$ day-count convention and ...
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Implementation of Act/Act IDSA / ICMA / Bond Day Count Convention
I read the following definitions of day count rules
(ii) if “Actual/Actual (ISDA)” or “Act/Act (ISDA)” is specified, the actual number of days in the Interest Period divided by 365 (or, if any ...
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Which Day Count Convention applies in a Cross Currency Swap
What is the rule (assuming there is one) specifying which day count convention should prevail in a cross-currency swap?
For example, where EUR follows ACT/360 and GBP follows ACT/365, which of the two ...
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Day-Time conventions spanning across years
I have 2 dates, let's say 2010-01-01 and 2020-01-02, and I am interested in calculating the year fraction between them according to the Act/365 time convention.
Would this be just
$$
\frac{\text{raw # ...
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