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Day count convention refs.
I am working as a developer in a financial system and from time to time people ask about day count rules.Hence I would like to have a reliable source defining day count conventions that I can refer to. That is 30/360-rules, Act/360-rules, Act/365-rules, Act/Act-rules etc...Anyone?
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- Vegawizard
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Day count convention refs.
Bloomberg will list daycount convention per instrument - start with page BTMM and select country top leftRule of thumb:Sovereign / Govt bonds are Act / ActUK £ money market and most 'old commonwealth' territories Act / 365US $ & Eur money market Act / 360US Corp & Muni bonds 30 / 360
Last edited by Vegawizard on February 9th, 2011, 11:00 pm, edited 1 time in total.
Day count convention refs.
IIRC the CFA Lvl 1 books have a decent list of it. Might wanna borrow those from someone at the company who's done it.
Day count convention refs.
QuoteOriginally posted by: VegawizardBloomberg will list daycount convention per instrument - start with page BTMM and select country top leftRule of thumb:Sovereign / Govt bonds are Act / ActUK £ money market and most 'old commonwealth' territories Act / 365US $ & Eur money market Act / 360US Corp & Muni bonds 30 / 360Sorry, but do you have a link - I did not get BTMM...
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- Vegawizard
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Day count convention refs.
It is the page code on a Bloomberg terminal - do you have access to a Bloomberg terminal?
Day count convention refs.
Here is a link to aggregate info with links to the ISDA defs etc:http://www.eclipsesoftware.biz/DayCountConventions.html
Day count convention refs.
QuoteOriginally posted by: HansiIIRC the CFA Lvl 1 books have a decent list of it. Might wanna borrow those from someone at the company who's done it.Do you mean some book at https://www.cfainstitute.org/Pages/index.aspx ?
Day count convention refs.
QuoteOriginally posted by: VegawizardIt is the page code on a Bloomberg terminal - do you have access to a Bloomberg terminal?Thanks, no I don't
Day count convention refs.
QuoteOriginally posted by: HansiHere is a link to aggregate info with links to the ISDA defs etc:http://www.eclipsesoftware.biz/DayCount ... s.htmlThat was a good link! Thanks! EDIT: But it is incomplete. E.g. 30A/360 is missing...
Last edited by slops on February 9th, 2011, 11:00 pm, edited 1 time in total.
Day count convention refs.
I'm guessing you've already looked at wikipedia
Day count convention refs.
QuoteOriginally posted by: MHillI'm guessing you've already looked at wikipediaSure, however I actually do not think Wikipedia is very trustworthy since anyone can edit (and yes the pages might be reviewed).
Day count convention refs.
Now a days any established page older than a week has it's changes reviewed within 10 minutes and if no references are available for additions it get's marked as such. If it's bull it gets deleted.Wikipedia is basically as good a source for this stuff as any other page on the web.
Day count convention refs.
That might be, I really like wikipedia and I contribute in different topics whenever I feel a need, but if a client asks regards a convention then I hesitates...
Day count convention refs.
QuoteOriginally posted by: slopsEDIT: But it is incomplete. E.g. 30A/360 is missing...What do you mean 30A/360? Don't you just mean Act/360 which is there?