Day Count Fractions for certain Floating Rate Options - ISDA Definition: Difference between revisions
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Latest revision as of 09:08, 6 April 2018
2006 ISDA Definitions
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In brief, all Floating Rate Day Count Fractions are Actual/365 (Fixed) except:
- “IDR-IDMA -Bloomberg” (which is Actual/Actual)
- “USD-CMS-Reference Banks-ICAP SwapPX” (which is 30/360)
- “USD-SIFMA Municipal Swap Index” (which is Actual/Actual)
- “USD-S&P Index-High Grade” (which is Actual/Actual)