Zero coupon day count convention

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This convention stipulates the month will always be treated as having 30 days in it, and the year will consistently be treated as having either or days. The floating-rate leg of most interest rate swaps uses some variation of an actual day count versus either a or day year.

Bonds and notes issued by the U. This means all days in a period carry equal value; it also means the length of coupon periods and the resultant payments vary. London time.

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I was able to match the modifed duration and Macaulay Duration labelled duration on BBG for S27 and S35, however yield seems to be still different. Also, for cusip R36, when I put in the correct issue date i.

Zero coupon swap - Wikipedia

The bond contruction looks like follows. What should be the correct stub convention and rollconvention be? Thanks Stephen for clarifying on the override for start date. For the zero-coupon bond, if I specify the payment frequency as Frequency.


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  • Is this a bug? I am asking because the javadoc mentions clearly that TERM is for zero-coupon bonds. Also, please note that even after specifying the P6M frequency I am not able to match duration numbers for KC2. Sadly, at present, Bills are not supported in Strata.


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    • To make them work, we would need to add new pricing logic, including new yield conventions the yield convention is probably part of the reason why the result is wrong. We do not currently have Bills on our roadmap, but feel free to contact us directly if it is of commercial interest.

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      Regards Sudharshan. I tried the following code: import java. LocalDate; import com. ReferenceData; import com. StandardId; import com. Currency; import com.

      Bond Price Listings

      BusinessDayAdjustment; import com. BusinessDayConventions; import com. DayCount; import com. DayCounts; import com. DaysAdjustment; import com. HolidayCalendarId; import com.