| 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
Banking Federation of the European Union (EBF), 2004, Master Agreement for Financial Transactions - Supplement to the Derivatives Annex - Interest Rate Transactions.
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).
International Capital Market Association (ICMA), 2010, Rule 251 Accrued Interest Calculation - Excerpt from ICMA's Rules and Recommendations.
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.
International Swaps and Derivatives Association (ISDA), Inc., 1998, "EMU and Market Conventions: Recent Developments".
International Swaps and Derivatives Association (ISDA), 2006, Inc., 2006 ISDA Definitions., New York.
Itau Unibanco S.A., 2017, Brazilian Sovereign Fixed Income and Foreign Exchange Markets - Handbook (First Edition).
Krgin, Dragomir, 2002, The Handbook of Global Fixed Income Calculations. (Wiley, New York).
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.
Municipal Securities Rulemaking Board (MSRB), 2017, MSRB Rule Book, Washington, DC: Municipal Securities Rulemaking Board.
SWX Swiss Exchange and D. Christie, 2003, "Accrued Interest & Yield Calculations and Determination of Holiday Calendars".