Day Count Fractions for certain Floating Rate Options - ISDA Definition
2006 ISDA Definitions
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In brief, all Floating Rate Day Count Fractions are Actual/365 (Fixed) except
- “IDR-IDMA -Bloomberg” (Actual/Actual)
- “USD-CMS-Reference Banks-ICAP SwapPX” (30/360)
- “USD-SIFMA Municipal Swap Index” (Actual/Actual)
- “USD-S&P Index-High Grade” (Actual/Actual)