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Interest rate compounding conventions used in OTC derivatives transactions
Memo (February 5, 2009) and Excel spreadsheet with examples
Documents (2) for Interest rate compounding conventions used in OTC derivatives transactions
30/360 Day Count Conventions
Calculation examples of 30/360 and 30E/360 in the 2006 ISDA Definitions
Documents (1) for 30/360 Day Count Conventions
Adjustment of Termination Date
Best Practice Statement
Documents (1) for Adjustment of Termination Date
Interest Rates Novation Pair-Offs
Best Practice Statement
Documents (1) for Interest Rates Novation Pair-Offs
Cash Settlement Payment Dates for early termination options
ISDA Best Practice Statement (updated February 8, 2008)
Documents (1) for Cash Settlement Payment Dates for early termination options
1998 ISDA memo “EMU and Market Conventions: Recent Developments”
The linked memo describes market conventions for the EUR-denominated markets.
Documents (1) for 1998 ISDA memo “EMU and Market Conventions: Recent Developments”
Interest Rates Derivatives
Market Agreed Coupon (MAC) Contract Press Release – SIFMA AMG and ISDA Announce that CUSIPs... Read more Interest Rates Derivatives