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  1. Nicole Seaman

    P1.T4.901. Exploiting arbitrage opportunities with a replicating bond portfolio (also: clean versus dirty, and day-count conventions) (Tuckman Ch.1)

    Learning objectives: Construct a replicating portfolio using multiple fixed income securities to match the cash flows of a given fixed income security. Identify arbitrage opportunities for fixed income securities with certain cash flows. Differentiate between “clean” and “dirty” bond pricing and...
  2. S

    Relation between compounding frequency and day count conventions??

    Hi David, Generally when we use different compounding frequencies what day counting convention is used there? ( I.e. when we just say talk about compounding and not day count conventions)..... And in T- bills , Eurodollar etc... Where different day count convention are used... We say for...
  3. Nicole Seaman

    P1.T3.719. Quoted versus cash bond prices (Hull Chapter 6)

    Learning objectives: Identify the most commonly used day count conventions, describe the markets that each one is typically used in, and apply each to an interest calculation. Calculate the conversion of a discount rate to a price for a US Treasury bill. Differentiate between the clean and dirty...
  4. Hend Abuenein

    Day counting

    Hi, What is the FASTEST way to do day count comparisons? I find this time consuming and tedious. Example question : If identical coupon payments are paid on March 1 and September 1 , would corporate bonds accrue more interest from March 1 to September 1, than a T bond from September 1 to...
  5. W

    LIBOR, day count convention and compunding frequency

    Hi David, In your notes, you say that LIBOR is quoted on an actual/360 basis. But when using the LIBOR rate as a proxy for the spot rate it is continuously compounding. Doesn't actual/360 imply simple interest (no compunding)? I just do not see how these two methodologies are compatible...