Lecture

Market Conventions: Day-Count Conventions

Description

This lecture covers market conventions related to interest rate models, including day-count conventions such as actual/365, actual/360, and 30/360. It explains how time is measured in years and calculates year fractions between calendar dates. The lecture also discusses accrued interest, clean price, and dirty price of coupon bonds.

In MOOC

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_7nmg2kb9

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Finance: Financial risk management

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