Previous Topic

Next Topic

Italian (BTP's) Bond Pricing Conventions

Parameter

Convention

.

User -Defined

 

Clean Price / Yield

 

Settlement Date

 

Dated Date

 

First Coupon Date

 

Maturity Date

 

Face Value

 

Coupon Rate

 

Output Flag

 

 

Pre-Defined

 

Accrual Basis

Actual/Actual (actual)

Adjusted End of Month

No Adjustment

Business Day Convention

Following Business Day

Compounding Frequency

Annual

Coupon Frequency

Semi-Annual

Coupon Type

Equal

Discount Basis

Actual/Actual (actual)

Ex-Date Convention

None

Ex-Day Unit

0

Final Period Start

Penultimate Coupon Date

Final Period Yield Method

Compound Yield

PPHRounding

12 Decimal Places

Yield Method

Compound Yield

 

 

See Also

Italian Special Pricing Conventions

Return to www.derivativepricing.com website

Copyright 2013 Hedgebook Ltd.