List.DCC {BondValuation}R Documentation

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".


[Package BondValuation version 0.1.0 Index]