Day count convention

2789:

February unless 29 February exists, in which case, 29 February should be used". No source can be found explaining the appearance or rationale of the extra rule. The table below compares the later ISDA count back rule to a simple count back rule (which would have been implied by the original French) for one of the few cases where they differ. The simple rule illustrated here is based on subtraction of

1689: 2895:

9 basis points. Since monthly loan payments are the same for both methods and since the investor is being paid for an additional 5 or 6 days of interest with the Actual/360 year base, the loan's principal is reduced at a slightly lower rate. This leaves the loan balance 1-2% higher than a 30/360 10-year loan with the same payment.

2891:

was originally devised for its ease of calculation by hand compared with the actual days between two dates. Because 360 is highly factorable, payment frequencies of semi-annual and quarterly and monthly will be 180, 90, and 30 days of a 360-day year, meaning the payment amount will not change between payment periods.

1462: 2788:

The original French version of the convention contained no specific rules for counting back the years. A later ISDA paper added an additional rule: "When counting backwards for this purpose, if the last day of the relevant period is 28 February, the full year should be counted back to the previous 28

811:

Treating a month as 30 days and a year as 360 days was devised for its ease of calculation by hand compared with manually calculating the actual days between two dates. Also, because 360 is highly factorable, payment frequencies of semi-annual and quarterly and monthly will be 180, 90, and 30 days of

2894:

The Actual/360 method calls for the borrower for the actual number of days in a month. This effectively means that the borrower is paying interest for 5 or 6 additional days a year as compared to the 30/360 day count convention. Spreads and rates on Actual/360 transactions are typically lower, e.g.,

2784:

This convention was originally written in French and during translation the term "Période d'Application" was converted to "Calculation Period". As ISDA assigns a very specific meaning to "Calculation Period" (Date1 to Date3) confusion can ensue. Reading the original French, the period referred to is

1694:

For irregular coupon periods, the period has to be divided into one or more quasi-coupon periods (also called notional periods) that match the normal frequency of payment dates. The interest in each such period (or partial period) is then computed, and then the amounts are summed over the number of

78:

The need for day count conventions is a direct consequence of interest-earning investments. Different conventions were developed to address often conflicting requirements, including ease of calculation, constancy of time period (day, month, or year) and the needs of the accounting department. This

2890:

The 30/360 methods assume every month has 30 days and each year has 360 days. The 30/360 calculation is listed on standard loan constant charts and is now typically used by a calculator or computer in determining mortgage payments. This method of treating a month as 30 days and a year as 360 days

1705:

It also ensures that all days in a coupon period are valued equally. However, the coupon periods themselves may be of different lengths; in the case of semi-annual payment on a 365-day year, one period can be 182 days and the other 183 days. In that case, all the days in one period will be valued

1067:

30U/360 - 30U/360 is not strictly the same as 30/360, it is used for the Euribor (Euro denominated Libor) curve and Euro denominated swaps, with the distinction that under 30/360, each day in a 31-day month accrues 30/31 of interest, whereas in 30U/360 payment occurs on the 30th and the 31st is

3107: 1473: 1847: 2748: 2558: 540: 351: 718: 2395: 2203: 2023: 156:

Figure representing the amount of the CouponRate to apply in calculating Interest. It is often expressed as "days in the accrual period / days in the year". If Date2 is a coupon payment date, DayCountFactor is zero. DayCountFactor is also known as

2584:

The CouponFactor uses the same formula, replacing Date2 by Date3. In general, coupon payments will vary from period to period, due to the differing number of days in the periods. The formula applies to both regular and irregular coupon periods.

2223:

2031:

1858:

189:(after the previous coupon). The latter is the most general denomination because it accommodates, for example, a bond that accumulates interest to the principal at the beginning of its life and, after that, amortizes the principal in installments. 1264: 2403:

3123:(business day) conventions adjust non-business into business days to determine payment execution dates. Another convention states whether the calculation of the amount of interest payment or accrued interest within a coupon period must use the 1059:

This convention is used for US corporate bonds and many US agency issues. It is most commonly referred to as "30/360", but the term "30/360" may also refer to any of the other conventions of this class, depending on the context.

803: 2981: 1684:{\displaystyle \mathrm {CouponFactor} ={\frac {\mathrm {Days} (\mathrm {Date1} ,\mathrm {Date3} )}{\mathrm {Freq} \times \mathrm {Days} (\mathrm {Date1} ,\mathrm {Date3} )}}={\frac {1}{\mathrm {Freq} }}} 96:

There has also been a move towards convergence in the marketplace, which has resulted in the number of conventions in use being reduced. Much of this has been driven by the introduction of the euro.

1761: 2400:

Each month is treated normally and the year is assumed to be 364 days. For example, in a period from February 1, 2005, to April 1, 2005, the Factor is considered to be 59 days divided by 364.

2028:

Each month is treated normally and the year is assumed to be 365 days. For example, in a period from February 1, 2005, to April 1, 2005, the Factor is considered to be 59 days divided by 365.

3536: 90:) have done work gathering and documenting conventions. Certain terms, such as "30/360", "Actual/Actual", and "money market basis" must be understood in the context of the particular market. 2793:

years from Date2, where subtracting whole years from a date goes back to the same day-of-month, except if starting on 29 February and going back to a non-leap year then 28 February results.

2615: 2425: 367: 199: 551: 144:

Function returning the number of days between StartDate and EndDate on a Julian basis (i.e., all days are counted). For instance, Days(15 October 2007, 15 November 2007) returns 31.

3112:

Whereas actual methods do respect additivity, 30/360 do not. This property is relevant, for example, when one computes an integral over a time interval using a discretization rule.

967: 876: 3545:- Chapter 4: Financial Markets and Exchanges: discusses European nations' day-count conventions and changes required to unify the day-count conventions for the EU member states. 2270: 2078: 1898: 808:

The conventions are distinguished by the manner in which they adjust Date1 and/or Date2 for the end of the month. Each convention has a set of rules directing the adjustments.

150:

Indicates that the investment always pays interest on the last day of the month. If the investment is not EOM, it will always pay on the same day of the month (e.g., the 10th).

1457:{\displaystyle \mathrm {DayCountFactor} ={\frac {\mathrm {Days} (\mathrm {Date1} ,\mathrm {Date2} )}{\mathrm {Freq} \times \mathrm {Days} (\mathrm {Date1} ,\mathrm {Date3} )}}} 3418:. The standard reference for conventions applicable to US securities. For the 30/360 US convention, this edition adds the first two rules to those given in earlier editions. 132:

Date through which interest is being accrued. You could word this as the "to" date, with Date1 as the "from" date. For a bond trade, it is the settlement date of the trade.

912: 1855:

The days in the numerators are calculated on a Julian day difference basis. In this convention the first day of the period is included and the last day is excluded.

3321: 993:

Date adjustment rules (more than one may take effect; apply them in order, and if a date is changed in one rule the changed value is used in the following rules):

3539:- Section Chapter II: A Little Bit of Finance, Section 1: Brief introduction to Financial Securities, from pages 26 to 33, formally mention day count conventions. 2974: 4009: 3404: 93:

The conventions have evolved, and this is particularly true since the mid-1990s. Part of it has simply been providing for additional cases or clarification.

723:

This is the same as the DayCountFactor calculation, with Date2 replaced by Date3. In the case that it is a regular coupon period, this is equivalent to:

3449: 3257: 3472:. ISDA's definition of certain day count conventions. Note that these definitions differ in some cases from the ISDA's Annex to the 2000 Definitions. 2898:

Another difference between 30/360 and Actual methods regards the additivity property of the Day Count Factor, i.e. given two subsequent time intervals

3500: 3348: 3478: 3192: 114:

The Factor to be used when determining the amount of interest paid by the issuer on coupon payment dates. The periods may be regular or irregular.

83: 138:

Is the next coupon payment date, usually it is close to Date2. This would be the maturity date if there are no more interim payments to be made.

185:. In the case of an accreting bond, where the principal increases with the accumulation of notional coupons that are not paid, Principal means 2876:

FBF Master Agreement for Financial Transactions, Supplement to the Derivatives Annex, Interest Rate Transactions, Edition 2004, section 7a.

2851:

FBF Master Agreement for Financial Transactions, Supplement to the Derivatives Annex, Interest Rate Transactions, Edition 2004, section 7i.

729: 63:. When a security such as a bond is sold between interest payment dates, the seller is eligible to some fraction of the coupon amount. 3997: 3102:{\displaystyle {\textit {DayCountFactor}}(T_{1},T_{2})+{\textit {DayCountFactor}}(T_{2},T_{3})={\textit {DayCountFactor}}(T_{1},T_{3})} 173:

Par value of the investment. (Also known as "face value", "nominal value" or just "par"). In the case of an amortizing bond, it is the

4003: 2756:

The basic rule is that if February 29 is in the range from Date1 (inclusive) to Date2 (exclusive), then DiY = 366, else DiY = 365.

87: 3349:"FBF Master Agreement for Financial Transactions, Supplement to the Derivatives Annex, Interest Rate Transactions, Edition 2004" 820:

This convention is exactly as 30U/360 below, except for the first two rules. Note that the order of calculations is important:

3502:

FBF Master Agreement for Financial Transactions, Supplement to the Derivatives Annex, Interest Rate Transactions, Edition 2004

3610: 1842:{\displaystyle \mathrm {DayCountFactor} ={\frac {\mbox{Days not in leap year}}{365}}+{\frac {\mbox{Days in leap year}}{366}}} 2220:. For example, in a period from February 1, 2005, to April 1, 2005, the Factor is considered to be 59 days divided by 360. 1250:

The conventions are distinguished primarily by the amount of the CouponRate they assign to each day of the accrual period.

3216: 120:

The interest rate on the security or loan-type agreement, e.g., 5.25%. In the formulas this would be expressed as 0.0525.

3933: 1852:

This convention accounts for days in the period based on the portion in a leap year and the portion in a non-leap year.

3928: 59:

for dates between payments. The day count is also used to quantify periods of time when discounting a cash-flow to its

2743:{\displaystyle \mathrm {DayCountFactor} ={\frac {\mathrm {Days} (\mathrm {Date1} ,\mathrm {Date2} )}{\mathrm {DiY} }}} 2553:{\displaystyle \mathrm {DayCountFactor} ={\frac {\mathrm {Days} (\mathrm {Date1} ,\mathrm {Date2} )}{\mathrm {DiY} }}} 997:

If the investment is EOM and (Date1 is the last day of February) and (Date2 is the last day of February), then change

3412: 535:{\displaystyle \mathrm {DayCountFactor} ={\frac {360\times (Y_{2}-Y_{1})+30\times (M_{2}-M_{1})+(D_{2}-D_{1})}{360}}} 1243:

The conventions of this class calculate the number of days between two dates (e.g., between Date1 and Date2) as the

346:{\displaystyle \mathrm {Interest} =\mathrm {Principal} \times \mathrm {CouponRate} \times \mathrm {DayCountFactor} } 2848:"Definitions communes a plusieurs additifs techniques", by the Association Francaise des Banques in September 1994. 2213: 713:{\displaystyle \mathrm {CouponFactor} ={\frac {360\times (Y_{3}-Y_{1})+30\times (M_{3}-M_{1})+(D_{3}-D_{1})}{360}}} 3559: 1706:

1/182nd of the payment amount and all the days in the other period will be valued 1/183rd of the payment amount.

3131:(aka unbumped) dates. An example of a complete business day convention is "Following Business Day, Unadjusted". 4031: 3923: 3799: 3401:

Standard Securities Calculation Methods: Fixed Income Securities Formulas for Price, Yield and Accrued Interest

82:

There is no central authority defining day count conventions, so there is no standard terminology, however the

3458: 3264: 4046: 3372: 2570:

If February 29 is in the range from Date1 (exclusive) to Date2 (inclusive), then DiY = 366, else DiY = 365.

2390:{\displaystyle \mathrm {DayCountFactor} ={\frac {\mathrm {Days} (\mathrm {Date1} ,\mathrm {Date2} )}{364}}} 2198:{\displaystyle \mathrm {DayCountFactor} ={\frac {\mathrm {Days} (\mathrm {Date1} ,\mathrm {Date2} )}{360}}} 2018:{\displaystyle \mathrm {DayCountFactor} ={\frac {\mathrm {Days} (\mathrm {Date1} ,\mathrm {Date2} )}{365}}} 3562:. A reference guide containing conventions and market standards for the most common financial instruments. 917: 826: 3739: 3542: 3494:. ISDA's discussion of market convergence, including an extensive discussion of irregular coupon periods. 3322:"Bulletin Officiel d la Banque de France, Définitions communes a plusieurs additifs techniques, Annex 5b" 3779: 3529:. Online calculation of interest and rate indicators with different day count conventions, created by 3526: 3603: 4036: 3938: 2759:

If the period from Date1 to Date2 is more than one year, the calculation is split into two parts:

4041: 3147: 884: 3872: 3774: 48: 3918: 3882: 3719: 3678: 3579:. Web page on the history and context of day count conventions, including a cross-reference. 167:

The coupon payment frequency. 1 = annual, 2 = semi-annual, 4 = quarterly, 12 = monthly, etc.

67: 3554: 3596: 2217: 3566: 2753:

This convention requires a set of rules in order to determine the days in the year (DiY).

2563:

This convention requires a set of rules in order to determine the days in the year (DiY).

2212:

for short-term lending of currencies, including the US dollar and Euro, and is applied in

8: 3688: 3764: 3530: 2901: 126:

Starting date for the accrual. It is usually the coupon payment date preceding Date2.

3971: 3897: 3749: 3671: 3408: 1709:

This is the convention used for US Treasury bonds and notes, among other securities.

3424: 3295: 812:

a 360-day year, meaning the payment amount will not change between payment periods.

3961: 3832: 3804: 3744: 3729: 56: 52: 3976: 3966: 3769: 3759: 3754: 3683: 3543:

Practical Issues Arising from the Introduction of the Euro - Issue 7 (March 1998)

55:

payments, thus calculating the amount transferred on payment dates and also the

3877: 3862: 3827: 3814: 3789: 3693: 3661: 3630: 44: 32: 1007:

If the investment is EOM and (Date1 is the last day of February), then change

4025: 3981: 3956: 3867: 3852: 3842: 3794: 3734: 3724: 1702:

This method ensures that all coupon payments are always for the same amount.

60: 40: 2774:

1994-06-30 to 1997-06-30 = 3 (whole years calculated backwards from the end)

3892: 3837: 3784: 3714: 3640: 3120: 2770:

As an example, a period from 1994-02-10 to 1997-06-30 is split as follows:

2209: 2866:"1/1" means the fraction whose numerator is 1 and whose denominator is 1. 2854:

Actual/Actual comparison, EMU and Market Conventions: Recent Developments.

2763:

the number of complete years, counted back from the last day of the period

1746:

Actual/Actual comparison, EMU and Market Conventions: Recent Developments.

3948: 3887: 3847: 3822: 3698: 3666: 3656: 3619: 3548: 1244: 1079:

ISDA 2006 Section 4.16(f), though the first two rules are not included.

28: 3217:"Practical Issues Arising from the Introduction of the Euro - Issue 7" 3635: 3555:

comparison of financial day count convention used in Excel and OOXML

3537:

Pricing of Game Options (in a market with stochastic interest rates)

1198:

is the last day of the month (unless Date2 is the maturity date and

798:{\displaystyle \mathrm {CouponFactor} ={\frac {1}{\mathrm {Freq} }}} 3902: 3857: 24: 361:

All conventions of this class calculate the DayCountFactor as:

3588: 3440: 2766:

the remaining initial stub, calculated using the basic rule.

2216:

monetary policy operations. It is the convention used with

1467:

For regular coupon periods where Date2 and Date3 are equal:

3582: 3187: 3185: 3183: 3181: 3179: 2578:

If Date2 is in a leap year, then DiY = 366, else DiY = 365.

1247:

difference. This is the function Days(StartDate, EndDate).

66:

The day count convention is used in many other formulas in

36: 2885: 79:

development occurred long before the advent of computers.

86:(ISDA) and the International Capital Market Association ( 3365: 3176: 2600:

ICMA Rule 251.1(i) (Euro-sterling floating-rate notes).

51:(FRAs). This determines the number of days between two 3560:

Interest Rate Instruments and Market Conventions Guide

3551:

from Strata, a Java library of financial calculations.

3343: 3341: 3173:

the ISDA 2006 vs. ISDA 2000 definitions, for instance.

1829: 1814: 4010:

Securities Industry and Financial Markets Association

3405:

Securities Industry and Financial Markets Association

2984: 2904: 2618: 2428: 2273: 2081: 1901: 1764: 1476: 1267: 920: 887: 829: 732: 554: 370: 202: 3585:. Online Day Count Calculator for Common Conventions 1068:

considered to be part of the next month. - Bloomberg

193:

For all conventions, the Interest is calculated as:

3338: 3193:"EMU and Market Conventions: Recent Developments" 3101: 2968: 2742: 2552: 2389: 2197: 2017: 1841: 1683: 1456: 961: 906: 870: 797: 712: 534: 345: 3516:. Definition of various day counts in section 7. 3316: 3314: 4023: 3480:EMU and Market Conventions: Recent Developments 934: 843: 3443:'s definition of certain day count conventions. 3290: 3288: 3286: 3284: 84:International Swaps and Derivatives Association 3311: 16:Calculation method for the accrual of interest 3604: 3281: 108:Amount of interest accrued on an investment. 3252: 3250: 3248: 3246: 3244: 3242: 3240: 3238: 3236: 3115: 2781:Resulting in a total value of 3 + 140/365. 3998:Commercial Mortgage Securities Association 3611: 3597: 1181:is the last day of the month, then change 1695:quasi-coupon periods. For details, see ( 4004:International Capital Market Association 3233: 2886:Comparison of 30/360 and Actual methods 4024: 3373:"The Actual/Actual Day Count Fraction" 3592: 3398: 3161: 3065: 3026: 2987: 2252: 2060: 1750: 1740: 1696: 1253: 1083: 2785:Date1 to Date2, not Date1 to Date3. 2604: 962:{\displaystyle D_{2}=\min(D_{2},30)} 871:{\displaystyle D_{1}=\min(D_{1},30)} 815: 545:They calculate the CouponFactor as: 3934:Commercial mortgage-backed security 1887: 27:accrues over time for a variety of 13: 3929:Collateralized mortgage obligation 3520: 2777:1994-02-10 to 1994-06-30 = 140/365 2734: 2731: 2728: 2716: 2713: 2710: 2707: 2696: 2693: 2690: 2687: 2679: 2676: 2673: 2670: 2659: 2656: 2653: 2650: 2647: 2644: 2641: 2638: 2635: 2632: 2629: 2626: 2623: 2620: 2544: 2541: 2538: 2526: 2523: 2520: 2517: 2506: 2503: 2500: 2497: 2489: 2486: 2483: 2480: 2469: 2466: 2463: 2460: 2457: 2454: 2451: 2448: 2445: 2442: 2439: 2436: 2433: 2430: 2371: 2368: 2365: 2362: 2351: 2348: 2345: 2342: 2334: 2331: 2328: 2325: 2314: 2311: 2308: 2305: 2302: 2299: 2296: 2293: 2290: 2287: 2284: 2281: 2278: 2275: 2245:ICMA Rule 251.1(i) (not sterling). 2179: 2176: 2173: 2170: 2159: 2156: 2153: 2150: 2142: 2139: 2136: 2133: 2122: 2119: 2116: 2113: 2110: 2107: 2104: 2101: 2098: 2095: 2092: 2089: 2086: 2083: 1999: 1996: 1993: 1990: 1979: 1976: 1973: 1970: 1962: 1959: 1956: 1953: 1942: 1939: 1936: 1933: 1930: 1927: 1924: 1921: 1918: 1915: 1912: 1909: 1906: 1903: 1805: 1802: 1799: 1796: 1793: 1790: 1787: 1784: 1781: 1778: 1775: 1772: 1769: 1766: 1675: 1672: 1669: 1666: 1644: 1641: 1638: 1635: 1624: 1621: 1618: 1615: 1607: 1604: 1601: 1598: 1590: 1587: 1584: 1581: 1568: 1565: 1562: 1559: 1548: 1545: 1542: 1539: 1531: 1528: 1525: 1522: 1511: 1508: 1505: 1502: 1499: 1496: 1493: 1490: 1487: 1484: 1481: 1478: 1441: 1438: 1435: 1432: 1421: 1418: 1415: 1412: 1404: 1401: 1398: 1395: 1387: 1384: 1381: 1378: 1365: 1362: 1359: 1356: 1345: 1342: 1339: 1336: 1328: 1325: 1322: 1319: 1308: 1305: 1302: 1299: 1296: 1293: 1290: 1287: 1284: 1281: 1278: 1275: 1272: 1269: 789: 786: 783: 780: 767: 764: 761: 758: 755: 752: 749: 746: 743: 740: 737: 734: 589: 586: 583: 580: 577: 574: 571: 568: 565: 562: 559: 556: 411: 408: 405: 402: 399: 396: 393: 390: 387: 384: 381: 378: 375: 372: 339: 336: 333: 330: 327: 324: 321: 318: 315: 312: 309: 306: 303: 300: 292: 289: 286: 283: 280: 277: 274: 271: 268: 265: 257: 254: 251: 248: 245: 242: 239: 236: 233: 225: 222: 219: 216: 213: 210: 207: 204: 14: 4058: 1238: 356: 3258:"ISDA Definitions, Section 4.16" 3160:see the treatment of 30/360 in ( 3618: 3549:Day Count descriptions and code 2857:ISDA Actual/Actual paper, 1999. 1165: 3924:Collateralized debt obligation 3800:Reverse convertible securities 3451:ISDA Definitions, Section 4.16 3403:, vol. 1 (3rd ed.), 3209: 3167: 3154: 3140: 3096: 3070: 3057: 3031: 3018: 2992: 2963: 2937: 2931: 2905: 2723: 2683: 2567:If Freq = 1 (annual coupons): 2533: 2493: 2407: 2378: 2338: 2186: 2146: 2006: 1966: 1651: 1611: 1575: 1535: 1448: 1408: 1372: 1332: 956: 937: 865: 846: 701: 675: 669: 643: 631: 605: 523: 497: 491: 465: 453: 427: 99: 73: 1: 3392: 2880: 2832:From 2004-02-28 to 2008-02-29 2821:From 2004-02-28 to 2008-02-28 2810:From 2004-02-28 to 2008-02-27 2259: 2067: 3134: 988: 179:outstanding principal amount 7: 3740:Contingent convertible bond 3583:Online Day Count Calculator 2208:This convention is used in 1158:ICMA Rule 251.1(ii), 251.2. 907:{\displaystyle D_{1}>29} 10: 4063: 3780:Inverse floating rate note 3296:"ICMA Rule Book, Rule 251" 2873:ISDA 2006 Section 4.16(a). 2248:ISDA 2006 Section 4.16(e). 2056:ISDA 2006 Section 4.16(d). 1883:ISDA 2006 Section 4.16(b). 1736:ISDA 2006 Section 4.16(c). 1234:ISDA 2006 Section 4.16(h). 1223:Eurobond basis (ISDA 2000) 1205:is February), then change 1161:ISDA 2006 Section 4.16(g). 1147:Eurobond basis (ISDA 2006) 1090: 984:ISDA 2006 Section 4.16(f). 3990: 3947: 3911: 3813: 3707: 3649: 3626: 3148:"Investopedia definition" 1031:is 30 or 31, then change 3939:Mortgage-backed security 3708:Types of bonds by payout 3650:Types of bonds by issuer 3426:ICMA Rule Book, Rule 251 3116:Business date convention 141:Days(StartDate, EndDate) 2805:Simple count back rule 1170:Date adjustment rules: 1095:Date adjustment rules: 161:, abbreviated YearFrac. 49:forward rate agreements 3873:Option-adjusted spread 3775:Inflation-indexed bond 3457:, 2006, archived from 3263:. 2006. Archived from 3103: 2970: 2861: 2744: 2554: 2416:stands for Leap year. 2391: 2199: 2019: 1843: 1685: 1458: 963: 908: 872: 799: 714: 536: 347: 4032:Fixed income analysis 3919:Asset-backed security 3883:Weighted-average life 3720:Auction rate security 3568:Day Count Conventions 3104: 2971: 2745: 2555: 2392: 2218:Repurchase agreements 2200: 2020: 1844: 1816:Days not in leap year 1733:ICMA Rule 251.1(iii). 1699:) or the ISDA paper. 1686: 1459: 964: 909: 873: 800: 715: 537: 348: 68:financial mathematics 43:, medium-term notes, 4047:Settlement (finance) 3912:Securitized products 3127:(aka bumped) or the 2982: 2902: 2802:ISDA count back rule 2616: 2575:If Freq <> 1: 2426: 2271: 2079: 1899: 1762: 1474: 1265: 918: 885: 827: 730: 552: 368: 200: 21:day count convention 3689:Infrastructure bond 3399:Mayle, Jan (1993), 3150:. investopedia.com. 1123:is 31, then change 1106:is 31, then change 1048:is 31, then change 3765:Floating rate note 3531:SIX Swiss Exchange 3099: 2966: 2740: 2550: 2387: 2195: 2015: 1839: 1833: 1818: 1751:Actual/Actual ISDA 1681: 1454: 1254:Actual/Actual ICMA 959: 904: 868: 795: 710: 532: 343: 4019: 4018: 3972:Exchangeable bond 3898:Yield to maturity 3750:Exchangeable bond 3672:Subordinated debt 3067: 3028: 2989: 2969:{\displaystyle ,} 2842: 2841: 2738: 2605:Actual/Actual AFB 2548: 2385: 2193: 2013: 1862:Other names are: 1837: 1832: 1831:Days in leap year 1822: 1817: 1679: 1655: 1452: 816:30/360 Bond Basis 793: 708: 530: 187:principal balance 183:principal balance 4054: 3962:Convertible bond 3805:Zero-coupon bond 3745:Convertible bond 3730:Commercial paper 3613: 3606: 3599: 3590: 3589: 3578: 3577: 3576: 3515: 3514: 3513: 3507: 3493: 3492: 3491: 3485: 3471: 3470: 3469: 3463: 3456: 3438: 3437: 3436: 3431: 3417: 3387: 3386: 3384: 3383: 3377: 3369: 3363: 3362: 3360: 3359: 3353: 3345: 3336: 3335: 3333: 3332: 3326: 3318: 3309: 3308: 3306: 3305: 3300: 3292: 3279: 3278: 3276: 3275: 3269: 3262: 3254: 3231: 3230: 3228: 3227: 3221: 3213: 3207: 3206: 3204: 3203: 3197: 3189: 3174: 3171: 3165: 3158: 3152: 3151: 3144: 3108: 3106: 3105: 3100: 3095: 3094: 3082: 3081: 3069: 3068: 3056: 3055: 3043: 3042: 3030: 3029: 3017: 3016: 3004: 3003: 2991: 2990: 2975: 2973: 2972: 2967: 2962: 2961: 2949: 2948: 2930: 2929: 2917: 2916: 2796: 2795: 2749: 2747: 2746: 2741: 2739: 2737: 2726: 2722: 2702: 2682: 2667: 2662: 2559: 2557: 2556: 2551: 2549: 2547: 2536: 2532: 2512: 2492: 2477: 2472: 2396: 2394: 2393: 2388: 2386: 2381: 2377: 2357: 2337: 2322: 2317: 2204: 2202: 2201: 2196: 2194: 2189: 2185: 2165: 2145: 2130: 2125: 2024: 2022: 2021: 2016: 2014: 2009: 2005: 1985: 1965: 1950: 1945: 1888:Actual/365 Fixed 1848: 1846: 1845: 1840: 1838: 1830: 1828: 1823: 1815: 1813: 1808: 1690: 1688: 1687: 1682: 1680: 1678: 1661: 1656: 1654: 1650: 1630: 1610: 1593: 1578: 1574: 1554: 1534: 1519: 1514: 1463: 1461: 1460: 1455: 1453: 1451: 1447: 1427: 1407: 1390: 1375: 1371: 1351: 1331: 1316: 1311: 968: 966: 965: 960: 949: 948: 930: 929: 913: 911: 910: 905: 897: 896: 877: 875: 874: 869: 858: 857: 839: 838: 804: 802: 801: 796: 794: 792: 775: 770: 719: 717: 716: 711: 709: 704: 700: 699: 687: 686: 668: 667: 655: 654: 630: 629: 617: 616: 597: 592: 541: 539: 538: 533: 531: 526: 522: 521: 509: 508: 490: 489: 477: 476: 452: 451: 439: 438: 419: 414: 352: 350: 349: 344: 342: 295: 260: 228: 175:unpaid principal 135:Date3 (Y3.M3.D3) 129:Date2 (Y2.M2.D2) 123:Date1 (Y1.M1.D1) 57:accrued interest 4062: 4061: 4057: 4056: 4055: 4053: 4052: 4051: 4037:Swaps (finance) 4022: 4021: 4020: 4015: 3986: 3977:Extendible bond 3967:Embedded option 3943: 3907: 3809: 3770:High-yield debt 3760:Fixed rate bond 3755:Extendible bond 3703: 3684:Government bond 3679:Distressed debt 3645: 3622: 3617: 3574: 3572: 3565: 3527:Bond Calculator 3523: 3521:Further reading 3511: 3509: 3505: 3499: 3489: 3487: 3483: 3477: 3467: 3465: 3461: 3454: 3448: 3434: 3432: 3429: 3423: 3415: 3395: 3390: 3381: 3379: 3375: 3371: 3370: 3366: 3357: 3355: 3351: 3347: 3346: 3339: 3330: 3328: 3324: 3320: 3319: 3312: 3303: 3301: 3298: 3294: 3293: 3282: 3273: 3271: 3267: 3260: 3256: 3255: 3234: 3225: 3223: 3222:. 12 March 1998 3219: 3215: 3214: 3210: 3201: 3199: 3195: 3191: 3190: 3177: 3172: 3168: 3159: 3155: 3146: 3145: 3141: 3137: 3118: 3090: 3086: 3077: 3073: 3064: 3063: 3051: 3047: 3038: 3034: 3025: 3024: 3012: 3008: 2999: 2995: 2986: 2985: 2983: 2980: 2979: 2957: 2953: 2944: 2940: 2925: 2921: 2912: 2908: 2903: 2900: 2899: 2888: 2883: 2864: 2727: 2706: 2686: 2669: 2668: 2666: 2619: 2617: 2614: 2613: 2607: 2537: 2516: 2496: 2479: 2478: 2476: 2429: 2427: 2424: 2423: 2410: 2361: 2341: 2324: 2323: 2321: 2274: 2272: 2269: 2268: 2262: 2169: 2149: 2132: 2131: 2129: 2082: 2080: 2077: 2076: 2070: 1989: 1969: 1952: 1951: 1949: 1902: 1900: 1897: 1896: 1890: 1827: 1812: 1765: 1763: 1760: 1759: 1753: 1665: 1660: 1634: 1614: 1597: 1580: 1579: 1558: 1538: 1521: 1520: 1518: 1477: 1475: 1472: 1471: 1431: 1411: 1394: 1377: 1376: 1355: 1335: 1318: 1317: 1315: 1268: 1266: 1263: 1262: 1256: 1241: 1211: 1204: 1197: 1187: 1180: 1168: 1129: 1122: 1112: 1105: 1093: 1054: 1047: 1037: 1030: 1023: 1013: 1003: 991: 944: 940: 925: 921: 919: 916: 915: 892: 888: 886: 883: 882: 853: 849: 834: 830: 828: 825: 824: 818: 779: 774: 733: 731: 728: 727: 695: 691: 682: 678: 663: 659: 650: 646: 625: 621: 612: 608: 598: 596: 555: 553: 550: 549: 517: 513: 504: 500: 485: 481: 472: 468: 447: 443: 434: 430: 420: 418: 371: 369: 366: 365: 359: 299: 264: 232: 203: 201: 198: 197: 102: 76: 23:determines how 17: 12: 11: 5: 4060: 4050: 4049: 4044: 4042:Bond valuation 4039: 4034: 4017: 4016: 4014: 4013: 4007: 4001: 3994: 3992: 3988: 3987: 3985: 3984: 3979: 3974: 3969: 3964: 3959: 3953: 3951: 3945: 3944: 3942: 3941: 3936: 3931: 3926: 3921: 3915: 3913: 3909: 3908: 3906: 3905: 3900: 3895: 3890: 3885: 3880: 3878:Risk-free bond 3875: 3870: 3865: 3863:Mortgage yield 3860: 3855: 3850: 3845: 3840: 3835: 3830: 3825: 3819: 3817: 3815:Bond valuation 3811: 3810: 3808: 3807: 3802: 3797: 3792: 3790:Perpetual bond 3787: 3782: 3777: 3772: 3767: 3762: 3757: 3752: 3747: 3742: 3737: 3732: 3727: 3722: 3717: 3711: 3709: 3705: 3704: 3702: 3701: 3696: 3694:Municipal bond 3691: 3686: 3681: 3676: 3675: 3674: 3669: 3662:Corporate bond 3659: 3653: 3651: 3647: 3646: 3644: 3643: 3638: 3633: 3627: 3624: 3623: 3616: 3615: 3608: 3601: 3593: 3587: 3586: 3580: 3563: 3557: 3552: 3546: 3540: 3534: 3522: 3519: 3518: 3517: 3496: 3495: 3474: 3473: 3445: 3444: 3420: 3419: 3413: 3394: 3391: 3389: 3388: 3364: 3337: 3327:. January 1999 3310: 3280: 3232: 3208: 3175: 3166: 3153: 3138: 3136: 3133: 3117: 3114: 3098: 3093: 3089: 3085: 3080: 3076: 3072: 3066:DayCountFactor 3062: 3059: 3054: 3050: 3046: 3041: 3037: 3033: 3027:DayCountFactor 3023: 3020: 3015: 3011: 3007: 3002: 2998: 2994: 2988:DayCountFactor 2965: 2960: 2956: 2952: 2947: 2943: 2939: 2936: 2933: 2928: 2924: 2920: 2915: 2911: 2907: 2887: 2884: 2882: 2879: 2878: 2877: 2874: 2863: 2860: 2859: 2858: 2855: 2852: 2849: 2840: 2839: 2836: 2833: 2829: 2828: 2825: 2822: 2818: 2817: 2816:3 + 365 / 366 2814: 2811: 2807: 2806: 2803: 2800: 2779: 2778: 2775: 2768: 2767: 2764: 2751: 2750: 2736: 2733: 2730: 2725: 2721: 2718: 2715: 2712: 2709: 2705: 2701: 2698: 2695: 2692: 2689: 2685: 2681: 2678: 2675: 2672: 2665: 2661: 2658: 2655: 2652: 2649: 2646: 2643: 2640: 2637: 2634: 2631: 2628: 2625: 2622: 2606: 2603: 2602: 2601: 2594: 2593: 2582: 2581: 2580: 2579: 2573: 2572: 2571: 2561: 2560: 2546: 2543: 2540: 2535: 2531: 2528: 2525: 2522: 2519: 2515: 2511: 2508: 2505: 2502: 2499: 2495: 2491: 2488: 2485: 2482: 2475: 2471: 2468: 2465: 2462: 2459: 2456: 2453: 2450: 2447: 2444: 2441: 2438: 2435: 2432: 2409: 2406: 2398: 2397: 2384: 2380: 2376: 2373: 2370: 2367: 2364: 2360: 2356: 2353: 2350: 2347: 2344: 2340: 2336: 2333: 2330: 2327: 2320: 2316: 2313: 2310: 2307: 2304: 2301: 2298: 2295: 2292: 2289: 2286: 2283: 2280: 2277: 2261: 2258: 2257: 2256: 2249: 2246: 2239: 2238: 2235: 2232: 2206: 2205: 2192: 2188: 2184: 2181: 2178: 2175: 2172: 2168: 2164: 2161: 2158: 2155: 2152: 2148: 2144: 2141: 2138: 2135: 2128: 2124: 2121: 2118: 2115: 2112: 2109: 2106: 2103: 2100: 2097: 2094: 2091: 2088: 2085: 2069: 2066: 2065: 2064: 2057: 2050: 2049: 2046: 2043: 2040: 2026: 2025: 2012: 2008: 2004: 2001: 1998: 1995: 1992: 1988: 1984: 1981: 1978: 1975: 1972: 1968: 1964: 1961: 1958: 1955: 1948: 1944: 1941: 1938: 1935: 1932: 1929: 1926: 1923: 1920: 1917: 1914: 1911: 1908: 1905: 1889: 1886: 1885: 1884: 1877: 1876: 1873: 1870: 1867: 1850: 1849: 1836: 1826: 1821: 1811: 1807: 1804: 1801: 1798: 1795: 1792: 1789: 1786: 1783: 1780: 1777: 1774: 1771: 1768: 1752: 1749: 1748: 1747: 1744: 1737: 1734: 1727: 1726: 1723: 1720: 1717: 1692: 1691: 1677: 1674: 1671: 1668: 1664: 1659: 1653: 1649: 1646: 1643: 1640: 1637: 1633: 1629: 1626: 1623: 1620: 1617: 1613: 1609: 1606: 1603: 1600: 1596: 1592: 1589: 1586: 1583: 1577: 1573: 1570: 1567: 1564: 1561: 1557: 1553: 1550: 1547: 1544: 1541: 1537: 1533: 1530: 1527: 1524: 1517: 1513: 1510: 1507: 1504: 1501: 1498: 1495: 1492: 1489: 1486: 1483: 1480: 1465: 1464: 1450: 1446: 1443: 1440: 1437: 1434: 1430: 1426: 1423: 1420: 1417: 1414: 1410: 1406: 1403: 1400: 1397: 1393: 1389: 1386: 1383: 1380: 1374: 1370: 1367: 1364: 1361: 1358: 1354: 1350: 1347: 1344: 1341: 1338: 1334: 1330: 1327: 1324: 1321: 1314: 1310: 1307: 1304: 1301: 1298: 1295: 1292: 1289: 1286: 1283: 1280: 1277: 1274: 1271: 1255: 1252: 1240: 1239:Actual methods 1237: 1236: 1235: 1228: 1227: 1224: 1221: 1214: 1213: 1209: 1202: 1195: 1189: 1185: 1178: 1167: 1164: 1163: 1162: 1159: 1152: 1151: 1150:Special German 1148: 1145: 1142: 1139: 1132: 1131: 1127: 1120: 1114: 1110: 1103: 1092: 1089: 1088: 1087: 1080: 1073: 1072: 1069: 1057: 1056: 1052: 1045: 1039: 1035: 1028: 1021: 1015: 1011: 1005: 1001: 990: 987: 986: 985: 978: 977: 970: 969: 958: 955: 952: 947: 943: 939: 936: 933: 928: 924: 903: 900: 895: 891: 879: 867: 864: 861: 856: 852: 848: 845: 842: 837: 833: 817: 814: 806: 805: 791: 788: 785: 782: 778: 773: 769: 766: 763: 760: 757: 754: 751: 748: 745: 742: 739: 736: 721: 720: 707: 703: 698: 694: 690: 685: 681: 677: 674: 671: 666: 662: 658: 653: 649: 645: 642: 639: 636: 633: 628: 624: 620: 615: 611: 607: 604: 601: 595: 591: 588: 585: 582: 579: 576: 573: 570: 567: 564: 561: 558: 543: 542: 529: 525: 520: 516: 512: 507: 503: 499: 496: 493: 488: 484: 480: 475: 471: 467: 464: 461: 458: 455: 450: 446: 442: 437: 433: 429: 426: 423: 417: 413: 410: 407: 404: 401: 398: 395: 392: 389: 386: 383: 380: 377: 374: 358: 357:30/360 methods 355: 354: 353: 341: 338: 335: 332: 329: 326: 323: 320: 317: 314: 311: 308: 305: 302: 298: 294: 291: 288: 285: 282: 279: 276: 273: 270: 267: 263: 259: 256: 253: 250: 247: 244: 241: 238: 235: 231: 227: 224: 221: 218: 215: 212: 209: 206: 191: 190: 171: 168: 165: 162: 154: 153:DayCountFactor 151: 148: 145: 142: 139: 136: 133: 130: 127: 124: 121: 118: 115: 112: 109: 106: 101: 98: 75: 72: 19:In finance, a 15: 9: 6: 4: 3: 2: 4059: 4048: 4045: 4043: 4040: 4038: 4035: 4033: 4030: 4029: 4027: 4011: 4008: 4005: 4002: 3999: 3996: 3995: 3993: 3989: 3983: 3982:Puttable bond 3980: 3978: 3975: 3973: 3970: 3968: 3965: 3963: 3960: 3958: 3957:Callable bond 3955: 3954: 3952: 3950: 3946: 3940: 3937: 3935: 3932: 3930: 3927: 3925: 3922: 3920: 3917: 3916: 3914: 3910: 3904: 3901: 3899: 3896: 3894: 3891: 3889: 3886: 3884: 3881: 3879: 3876: 3874: 3871: 3869: 3868:Nominal yield 3866: 3864: 3861: 3859: 3856: 3854: 3851: 3849: 3846: 3844: 3843:Current yield 3841: 3839: 3838:Credit spread 3836: 3834: 3831: 3829: 3826: 3824: 3821: 3820: 3818: 3816: 3812: 3806: 3803: 3801: 3798: 3796: 3795:Puttable bond 3793: 3791: 3788: 3786: 3783: 3781: 3778: 3776: 3773: 3771: 3768: 3766: 3763: 3761: 3758: 3756: 3753: 3751: 3748: 3746: 3743: 3741: 3738: 3736: 3733: 3731: 3728: 3726: 3725:Callable bond 3723: 3721: 3718: 3716: 3713: 3712: 3710: 3706: 3700: 3697: 3695: 3692: 3690: 3687: 3685: 3682: 3680: 3677: 3673: 3670: 3668: 3665: 3664: 3663: 3660: 3658: 3655: 3654: 3652: 3648: 3642: 3639: 3637: 3634: 3632: 3629: 3628: 3625: 3621: 3614: 3609: 3607: 3602: 3600: 3595: 3594: 3591: 3584: 3581: 3570: 3569: 3564: 3561: 3558: 3556: 3553: 3550: 3547: 3544: 3541: 3538: 3535: 3532: 3528: 3525: 3524: 3504: 3503: 3498: 3497: 3482: 3481: 3476: 3475: 3464:on 2014-09-13 3460: 3453: 3452: 3447: 3446: 3442: 3428: 3427: 3422: 3421: 3416: 3414:1-882936-01-9 3410: 3406: 3402: 3397: 3396: 3374: 3368: 3350: 3344: 3342: 3323: 3317: 3315: 3297: 3291: 3289: 3287: 3285: 3270:on 2014-09-13 3266: 3259: 3253: 3251: 3249: 3247: 3245: 3243: 3241: 3239: 3237: 3218: 3212: 3194: 3188: 3186: 3184: 3182: 3180: 3170: 3163: 3157: 3149: 3143: 3139: 3132: 3130: 3126: 3122: 3113: 3110: 3091: 3087: 3083: 3078: 3074: 3060: 3052: 3048: 3044: 3039: 3035: 3021: 3013: 3009: 3005: 3000: 2996: 2977: 2976:the property 2958: 2954: 2950: 2945: 2941: 2934: 2926: 2922: 2918: 2913: 2909: 2896: 2892: 2875: 2872: 2871: 2870: 2867: 2856: 2853: 2850: 2847: 2846: 2845: 2837: 2834: 2831: 2830: 2826: 2823: 2820: 2819: 2815: 2813:3 + 365 / 366 2812: 2809: 2808: 2804: 2801: 2798: 2797: 2794: 2792: 2786: 2782: 2776: 2773: 2772: 2771: 2765: 2762: 2761: 2760: 2757: 2754: 2719: 2703: 2699: 2663: 2612: 2611: 2610: 2599: 2598: 2597: 2591: 2590: 2589: 2588:Other names: 2586: 2577: 2576: 2574: 2569: 2568: 2566: 2565: 2564: 2529: 2513: 2509: 2473: 2422: 2421: 2420: 2417: 2415: 2405: 2401: 2382: 2374: 2358: 2354: 2318: 2267: 2266: 2265: 2254: 2250: 2247: 2244: 2243: 2242: 2236: 2233: 2230: 2229: 2228: 2227:Other names: 2225: 2221: 2219: 2215: 2211: 2210:money markets 2190: 2182: 2166: 2162: 2126: 2075: 2074: 2073: 2062: 2058: 2055: 2054: 2053: 2047: 2044: 2041: 2039:Act/365 Fixed 2038: 2037: 2036: 2035:Other names: 2033: 2029: 2010: 2002: 1986: 1982: 1946: 1895: 1894: 1893: 1882: 1881: 1880: 1874: 1871: 1868: 1866:Actual/Actual 1865: 1864: 1863: 1860: 1856: 1853: 1834: 1824: 1819: 1809: 1758: 1757: 1756: 1745: 1742: 1738: 1735: 1732: 1731: 1730: 1724: 1721: 1718: 1716:Actual/Actual 1715: 1714: 1713: 1712:Other names: 1710: 1707: 1703: 1700: 1698: 1662: 1657: 1647: 1631: 1627: 1594: 1571: 1555: 1551: 1515: 1470: 1469: 1468: 1444: 1428: 1424: 1391: 1368: 1352: 1348: 1312: 1261: 1260: 1259: 1251: 1248: 1246: 1233: 1232: 1231: 1225: 1222: 1219: 1218: 1217: 1216:Other names: 1208: 1201: 1194: 1190: 1184: 1177: 1173: 1172: 1171: 1160: 1157: 1156: 1155: 1149: 1146: 1143: 1140: 1137: 1136: 1135: 1134:Other names: 1126: 1119: 1115: 1109: 1102: 1098: 1097: 1096: 1085: 1081: 1078: 1077: 1076: 1070: 1066: 1065: 1064: 1063:Other names: 1061: 1051: 1044: 1040: 1034: 1027: 1020: 1016: 1010: 1006: 1000: 996: 995: 994: 983: 982: 981: 975: 974: 973: 972:Other names: 953: 950: 945: 941: 931: 926: 922: 901: 898: 893: 889: 880: 862: 859: 854: 850: 840: 835: 831: 823: 822: 821: 813: 809: 776: 771: 726: 725: 724: 705: 696: 692: 688: 683: 679: 672: 664: 660: 656: 651: 647: 640: 637: 634: 626: 622: 618: 613: 609: 602: 599: 593: 548: 547: 546: 527: 518: 514: 510: 505: 501: 494: 486: 482: 478: 473: 469: 462: 459: 456: 448: 444: 440: 435: 431: 424: 421: 415: 364: 363: 362: 296: 261: 229: 196: 195: 194: 188: 184: 180: 176: 172: 169: 166: 163: 160: 159:year fraction 155: 152: 149: 146: 143: 140: 137: 134: 131: 128: 125: 122: 119: 116: 113: 110: 107: 104: 103: 97: 94: 91: 89: 85: 80: 71: 69: 64: 62: 61:present value 58: 54: 50: 46: 42: 38: 34: 30: 26: 22: 3991:Institutions 3949:Bond options 3893:Yield spread 3785:Lottery bond 3715:Accrual bond 3641:Fixed income 3573:, retrieved 3567: 3510:, retrieved 3501: 3488:, retrieved 3479: 3466:, retrieved 3459:the original 3450: 3433:, retrieved 3425: 3400: 3380:. Retrieved 3367: 3356:. Retrieved 3329:. Retrieved 3302:. Retrieved 3272:. Retrieved 3265:the original 3224:. Retrieved 3211: 3200:. Retrieved 3169: 3156: 3142: 3128: 3124: 3121:Date rolling 3119: 3111: 2978: 2897: 2893: 2889: 2868: 2865: 2843: 2838:4 + 1 / 366 2790: 2787: 2783: 2780: 2769: 2758: 2755: 2752: 2608: 2595: 2587: 2583: 2562: 2418: 2413: 2411: 2402: 2399: 2263: 2240: 2226: 2222: 2207: 2071: 2051: 2034: 2030: 2027: 1891: 1878: 1861: 1857: 1854: 1851: 1754: 1728: 1725:Act/Act ISMA 1719:Act/Act ICMA 1711: 1708: 1704: 1701: 1693: 1466: 1257: 1249: 1242: 1229: 1220:30E/360 ISDA 1215: 1206: 1199: 1192: 1182: 1175: 1169: 1166:30E/360 ISDA 1153: 1133: 1124: 1117: 1107: 1100: 1094: 1074: 1062: 1058: 1049: 1042: 1032: 1025: 1018: 1008: 998: 992: 979: 971: 819: 810: 807: 722: 544: 360: 192: 186: 182: 178: 174: 158: 111:CouponFactor 95: 92: 81: 77: 65: 31:, including 20: 18: 3888:Yield curve 3848:Dirty price 3823:Clean price 3699:Global bond 3667:Senior debt 3657:Agency bond 3620:Bond market 2835:4 + 1 / 366 2824:4 + 1 / 366 2408:Actual/365L 2042:A/365 Fixed 1141:30/360 ISMA 1138:30/360 ICMA 100:Definitions 74:Development 29:investments 4026:Categories 3575:2007-07-31 3512:2014-09-13 3490:2017-12-28 3468:2014-09-13 3435:2007-07-31 3393:References 3382:2017-12-28 3358:2014-09-18 3331:2017-01-03 3304:2014-09-18 3274:2014-09-18 3226:2014-09-18 3202:2017-12-28 3162:Mayle 1993 3129:unadjusted 2881:Discussion 2799:Date range 2609:Formulas: 2419:Formulas: 2264:Formulas: 2260:Actual/364 2253:Mayle 1993 2072:Formulas: 2068:Actual/360 2061:Mayle 1993 1892:Formulas: 1872:Actual/365 1755:Formulas: 1741:Mayle 1993 1697:Mayle 1993 1258:Formulas: 1245:Julian day 1084:Mayle 1993 1024:is 31 and 117:CouponRate 3828:Convexity 3636:Debenture 3135:Footnotes 2869:Sources: 2844:Sources: 2596:Sources: 2592:ISMA-Year 2241:Sources: 2052:Sources: 1879:Sources: 1729:Sources: 1595:× 1392:× 1230:Sources: 1154:Sources: 1075:Sources: 989:30/360 US 980:Sources: 689:− 657:− 641:× 619:− 603:× 511:− 479:− 463:× 441:− 425:× 297:× 262:× 170:Principal 70:as well. 41:mortgages 35:, notes, 3903:Z-spread 3858:I-spread 3853:Duration 3125:adjusted 976:30A/360. 181:(OPA) = 105:Interest 25:interest 4012:(SIFMA) 2231:Act/360 2048:English 1875:Act/365 1869:Act/Act 1722:ISMA-99 1144:30S/360 1091:30E/360 4006:(ICMA) 4000:(CMSA) 3833:Coupon 3735:Consol 3571:, 2007 3508:, 2004 3486:, 1998 3411: 3378:. 1999 3354:. 2004 3198:. 1998 2237:French 2045:A/365F 1226:German 1212:to 30. 1188:to 30. 1130:to 30. 1113:to 30. 1071:30/360 1055:to 30. 1038:to 30. 1014:to 30. 1004:to 30. 53:coupon 47:, and 3506:(PDF) 3484:(PDF) 3462:(PDF) 3455:(PDF) 3430:(PDF) 3376:(PDF) 3352:(PDF) 3325:(PDF) 3299:(PDF) 3268:(PDF) 3261:(PDF) 3220:(PDF) 3196:(PDF) 2412:Here 2234:A/360 914:then 45:swaps 37:loans 33:bonds 3631:Bond 3441:ICMA 3409:ISBN 2214:ESCB 899:> 164:Freq 88:ICMA 3439:. 2862:1/1 2383:364 2191:360 2011:365 1835:366 1820:365 1191:If 1174:If 1116:If 1099:If 1041:If 1017:If 935:min 881:If 844:min 706:360 600:360 528:360 422:360 147:EOM 4028:: 3407:, 3340:^ 3313:^ 3283:^ 3235:^ 3178:^ 3164:). 3109:. 2827:4 954:30 902:29 863:30 638:30 460:30 177:= 39:, 3612:e 3605:t 3598:v 3533:. 3385:. 3361:. 3334:. 3307:. 3277:. 3229:. 3205:. 3097:) 3092:3 3088:T 3084:, 3079:1 3075:T 3071:( 3061:= 3058:) 3053:3 3049:T 3045:, 3040:2 3036:T 3032:( 3022:+ 3019:) 3014:2 3010:T 3006:, 3001:1 2997:T 2993:( 2964:] 2959:3 2955:T 2951:, 2946:2 2942:T 2938:[ 2935:, 2932:] 2927:2 2923:T 2919:, 2914:1 2910:T 2906:[ 2791:n 2735:Y 2732:i 2729:D 2724:) 2720:2 2717:e 2714:t 2711:a 2708:D 2704:, 2700:1 2697:e 2694:t 2691:a 2688:D 2684:( 2680:s 2677:y 2674:a 2671:D 2664:= 2660:r 2657:o 2654:t 2651:c 2648:a 2645:F 2642:t 2639:n 2636:u 2633:o 2630:C 2627:y 2624:a 2621:D 2545:Y 2542:i 2539:D 2534:) 2530:2 2527:e 2524:t 2521:a 2518:D 2514:, 2510:1 2507:e 2504:t 2501:a 2498:D 2494:( 2490:s 2487:y 2484:a 2481:D 2474:= 2470:r 2467:o 2464:t 2461:c 2458:a 2455:F 2452:t 2449:n 2446:u 2443:o 2440:C 2437:y 2434:a 2431:D 2414:L 2379:) 2375:2 2372:e 2369:t 2366:a 2363:D 2359:, 2355:1 2352:e 2349:t 2346:a 2343:D 2339:( 2335:s 2332:y 2329:a 2326:D 2319:= 2315:r 2312:o 2309:t 2306:c 2303:a 2300:F 2297:t 2294:n 2291:u 2288:o 2285:C 2282:y 2279:a 2276:D 2255:) 2251:( 2187:) 2183:2 2180:e 2177:t 2174:a 2171:D 2167:, 2163:1 2160:e 2157:t 2154:a 2151:D 2147:( 2143:s 2140:y 2137:a 2134:D 2127:= 2123:r 2120:o 2117:t 2114:c 2111:a 2108:F 2105:t 2102:n 2099:u 2096:o 2093:C 2090:y 2087:a 2084:D 2063:) 2059:( 2007:) 2003:2 2000:e 1997:t 1994:a 1991:D 1987:, 1983:1 1980:e 1977:t 1974:a 1971:D 1967:( 1963:s 1960:y 1957:a 1954:D 1947:= 1943:r 1940:o 1937:t 1934:c 1931:a 1928:F 1925:t 1922:n 1919:u 1916:o 1913:C 1910:y 1907:a 1904:D 1825:+ 1810:= 1806:r 1803:o 1800:t 1797:c 1794:a 1791:F 1788:t 1785:n 1782:u 1779:o 1776:C 1773:y 1770:a 1767:D 1743:) 1739:( 1676:q 1673:e 1670:r 1667:F 1663:1 1658:= 1652:) 1648:3 1645:e 1642:t 1639:a 1636:D 1632:, 1628:1 1625:e 1622:t 1619:a 1616:D 1612:( 1608:s 1605:y 1602:a 1599:D 1591:q 1588:e 1585:r 1582:F 1576:) 1572:3 1569:e 1566:t 1563:a 1560:D 1556:, 1552:1 1549:e 1546:t 1543:a 1540:D 1536:( 1532:s 1529:y 1526:a 1523:D 1516:= 1512:r 1509:o 1506:t 1503:c 1500:a 1497:F 1494:n 1491:o 1488:p 1485:u 1482:o 1479:C 1449:) 1445:3 1442:e 1439:t 1436:a 1433:D 1429:, 1425:1 1422:e 1419:t 1416:a 1413:D 1409:( 1405:s 1402:y 1399:a 1396:D 1388:q 1385:e 1382:r 1379:F 1373:) 1369:2 1366:e 1363:t 1360:a 1357:D 1353:, 1349:1 1346:e 1343:t 1340:a 1337:D 1333:( 1329:s 1326:y 1323:a 1320:D 1313:= 1309:r 1306:o 1303:t 1300:c 1297:a 1294:F 1291:t 1288:n 1285:u 1282:o 1279:C 1276:y 1273:a 1270:D 1210:2 1207:D 1203:2 1200:M 1196:2 1193:D 1186:1 1183:D 1179:1 1176:D 1128:2 1125:D 1121:2 1118:D 1111:1 1108:D 1104:1 1101:D 1086:) 1082:( 1053:1 1050:D 1046:1 1043:D 1036:2 1033:D 1029:1 1026:D 1022:2 1019:D 1012:1 1009:D 1002:2 999:D 957:) 951:, 946:2 942:D 938:( 932:= 927:2 923:D 894:1 890:D 878:. 866:) 860:, 855:1 851:D 847:( 841:= 836:1 832:D 790:q 787:e 784:r 781:F 777:1 772:= 768:r 765:o 762:t 759:c 756:a 753:F 750:n 747:o 744:p 741:u 738:o 735:C 702:) 697:1 693:D 684:3 680:D 676:( 673:+ 670:) 665:1 661:M 652:3 648:M 644:( 635:+ 632:) 627:1 623:Y 614:3 610:Y 606:( 594:= 590:r 587:o 584:t 581:c 578:a 575:F 572:n 569:o 566:p 563:u 560:o 557:C 524:) 519:1 515:D 506:2 502:D 498:( 495:+ 492:) 487:1 483:M 474:2 470:M 466:( 457:+ 454:) 449:1 445:Y 436:2 432:Y 428:( 416:= 412:r 409:o 406:t 403:c 400:a 397:F 394:t 391:n 388:u 385:o 382:C 379:y 376:a 373:D 340:r 337:o 334:t 331:c 328:a 325:F 322:t 319:n 316:u 313:o 310:C 307:y 304:a 301:D 293:e 290:t 287:a 284:R 281:n 278:o 275:p 272:u 269:o 266:C 258:l 255:a 252:p 249:i 246:c 243:n 240:i 237:r 234:P 230:= 226:t 223:s 220:e 217:r 214:e 211:t 208:n 205:I

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Knowledge

Day count convention

Index