Previous Topic

Next Topic

South African (Gilts) Bond Pricing Conventions

Parameter

Convention

.

User -Defined

 

Clean Price / Yield

 

Settlement Date

 

Dated Date

 

First Coupon Date

 

Maturity Date

 

Face Value

 

Coupon Rate

 

Holiday Schedule

 

Output Flag

 

 

 

Pre-Defined

 

Accrual Basis

Actual/365

Adjusted End of Month

Yes

Business Day Convention

Following Business Day

Compounding Frequency

Semi-Annual

Coupon Frequency

Semi-Annual

Coupon Type

Equal

Discount Basis

Actual/Actual (actual)

Ex-Date Convention

Months Prior

Ex-Day Unit

1 Month

Final Period Start

Penultimate Coupon Date

Final Period Yield Method

Money Market (Actual/365)

PPHRounding

5 Decimal Places

Yield Method

Compound Yield

 

 

See Also

South Africa Special Pricing Conventions

Return to www.derivativepricing.com website

Copyright 2013 Hedgebook Ltd.