day-count-conventions

Learning objectives: Identify the most commonly used day count conventions, describe the markets that each one is typically used in, and apply each to an interest calculation. Calculate the conversion of a discount rate to a price for a US Treasury bill. Differentiate between the clean and dirty...

Learning objectives: Construct a replicating portfolio using multiple fixed income securities to match the cash flows of a given fixed income security. Identify arbitrage opportunities for fixed income securities with certain cash flows. Differentiate between “clean” and “dirty” bond pricing and...

Hi David, Generally when we use different compounding frequencies what day counting convention is used there? ( I.e. when we just say talk about compounding and not day count conventions)..... And in T- bills , Eurodollar etc... Where different day count convention are used... We say for...

Learning objectives: Identify the most commonly used day count conventions, describe the markets that each one is typically used in, and apply each to an interest calculation. Calculate the conversion of a discount rate to a price for a US Treasury bill. Differentiate between the clean and dirty...

Hi, What is the FASTEST way to do day count comparisons? I find this time consuming and tedious. Example question : If identical coupon payments are paid on March 1 and September 1 , would corporate bonds accrue more interest from March 1 to September 1, than a T bond from September 1 to...

Hi David, In your notes, you say that LIBOR is quoted on an actual/360 basis. But when using the LIBOR rate as a proxy for the spot rate it is continuously compounding. Doesn't actual/360 imply simple interest (no compunding)? I just do not see how these two methodologies are compatible...