List.DCC: List of the day count conventions implemented.

In BondValuation: Fixed Coupon Bond Valuation Allowing for Odd Coupon Periods and Various Day Count Conventions

List of the day count conventions implemented.

Description

List of the day count conventions implemented.

Usage

data(List.DCC)

Format

A data frame with 16 rows and 3 variables:

DCC

Identifier.

DCC.Name

Names of the day count convention.

DCC.Reference

Reference.

References

1. Banking Federation of the European Union (EBF), 2004, Master Agreement for Financial Transactions - Supplement to the Derivatives Annex - Interest Rate Transactions.

2. Caputo Silva, Anderson, Lena Oliveira de Carvalho, and Octavio Ladeira de Medeiros, 2010, Public Debt: The Brazilian Experience (National Treasury Secretariat and World Bank, Brasilia, BR).

3. International Capital Market Association (ICMA), 2010, Rule 251 Accrued Interest Calculation - Excerpt from ICMA's Rules and Recommendations.

4. Investment Industry Association of Canada (IIAC), 2018, Canadian Conventions in Fixed Income Markets - A Reference Document of Fixed Income Securities Formulas and Practices; Release: 1.3.

5. International Swaps and Derivatives Association (ISDA), Inc., 1998, "EMU and Market Conventions: Recent Developments".

6. International Swaps and Derivatives Association (ISDA), 2006, Inc., 2006 ISDA Definitions., New York.

7. Itau Unibanco S.A., 2017, Brazilian Sovereign Fixed Income and Foreign Exchange Markets - Handbook (First Edition).

8. Krgin, Dragomir, 2002, The Handbook of Global Fixed Income Calculations. (Wiley, New York).

9. Mayle, Jan, 1993, Standard Securities Calculation Methods: Fixed Income Securities Formulas for Price, Yield, and Accrued Interest, volume 1, New York: Securities Industry Association, third edition.

10. Municipal Securities Rulemaking Board (MSRB), 2017, MSRB Rule Book, Washington, DC: Municipal Securities Rulemaking Board.

11. SWX Swiss Exchange and D. Christie, 2003, "Accrued Interest & Yield Calculations and Determination of Holiday Calendars".

BondValuation documentation built on May 30, 2022, 1:08 a.m.