mzu_2: (Default)
 (собираю здесь, потому что файл я посею где-нибудь в недрах Неразобранного)

Act/Act.ISDA - Fraction is calculated as number of days in a 365-day years divided by 365 plus number of days in a 366-day years divided by 366.
Act/Act.ISMA - Number of days in a year is the coupon period times the coupon frequency. I.e. it's bond-dependent.
Act/Act.AFB - Number of days in a year is 365 if Feb 29 isn't in the period, but 366 if Feb 29 is in the period.

Act/365/366 in LeapYear
Act/365q -- I.e. Act/365.25

Actual/365L
If Freq (coupon frequency) = 1 (annual coupons): If February 29 is in the range from Date1 (exclusive) to Date3 (inclusive), then DiY = 366, else DiY = 365. 
If Freq <> 1: If Date3 is in a leap year, then DiY = 366, else DiY = 365. 

Act/360 - French - 

NL/365 -- Feb 29th isn't counted

1/1 - 

30/360 conventions:
30/360 (? =) 30E/360 - German (30/360) 
The base formula is: N = (D2 - D1) + 30 x (M2 - M1) + 360 x (Y2 - Y1)

Adjustments, depending on method:

30S/360 -- Special German - 

30U/360 -- American - "US (30U/360)":
If D2 is last day of February (28 for non-leap or 29 for leap), and D1 is last day of February, then change D2 to 30
If D2 is 31, and D2 is 30 or 31, then change D2 to 30
If D1 is last day of February, then change D1 to 30
If D1 is 31, then change D1 to 30

30E/360 -- European

30E+/360
Date adjustment rules:
If D1 is 31, then change D1 to 30. 
If D2 is 31, then change M2 to the next month and D2 to 1. 

ISMA-Year (Act/365L)
ISMA-99 Normal (Act/Act)
ISMA-99 Ultiomo (Act/Act)

Profile

mzu_2: (Default)
mzu_2

October 2012

S M T W T F S
 1234 5 6
78910111213
14151617181920
21222324252627
28293031   

Syndicate

RSS Atom

Page Summary

Style Credit

Expand Cut Tags

No cut tags
Page generated Sep. 23rd, 2017 02:43 pm
Powered by Dreamwidth Studios