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Day Count Fractions for certain Floating Rate Options - ISDA Definition: Difference between revisions
Day Count Fractions for certain Floating Rate Options - ISDA Definition (view source)
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{{fullanat|isdadefs|6.2(g)|2006}} | {{fullanat|isdadefs|6.2(g)|2006}} | ||
In brief, all Floating Rate Day Count Fractions are {{isdadefsprov|Actual/365 (Fixed)}} except | In brief, all {{isdadefsprov|Floating Rate Day Count Fractions}} are {{isdadefsprov|Actual/365 (Fixed)}} except: | ||
*“IDR-IDMA -Bloomberg” ({{isdadefsprov|Actual/Actual}}) | *“IDR-IDMA -Bloomberg” (which is {{isdadefsprov|Actual/Actual}}) | ||
*“USD-CMS-Reference Banks-ICAP SwapPX” ({{isdadefsprov|30/360}}) | *“USD-CMS-Reference Banks-ICAP SwapPX” (which is {{isdadefsprov|30/360}}) | ||
*“USD-SIFMA Municipal Swap Index” ({{isdadefsprov|Actual/Actual}}) | *“USD-SIFMA Municipal Swap Index” (which is {{isdadefsprov|Actual/Actual}}) | ||
*“USD-S&P Index-High Grade” ({{isdadefsprov|Actual/Actual}}) | *“USD-S&P Index-High Grade” (which is {{isdadefsprov|Actual/Actual}}) | ||