A |
B |
C |
D |
E |
F |
G |
H |
I |
J |
K |
L |
M |
N |
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2 |
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3 |
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Composite DayCount |
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4 |
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5 |
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n Uses Con |
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6 |
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7 |
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8 |
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Base |
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12 months |
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9 |
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Start |
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15 Feb 00 |
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10 |
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Finish |
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15 Nov 01 |
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11 |
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Annual Rate |
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1,000 |
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Projection |
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12 |
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DayCount |
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13 |
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Periods |
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Jan
00 |
Jan 01 |
Total |
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14 |
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No
DayCount (defaults) |
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876 |
872 |
1,749 |
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15 |
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16 |
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Single DayCount |
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5 |
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876 |
872 |
1,749 |
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17 |
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3 |
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879 |
871 |
1,751 |
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18 |
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19 |
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Single DayCount and |
3 |
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4 |
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879 |
871 |
1,751 |
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20 |
|
Preset Periods |
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6 |
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-12 |
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876 |
872 |
1,749 |
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21 |
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22 |
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Composite DayCount and |
6.03 |
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-12 |
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874 |
872 |
1,746 |
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23 |
|
Preset Periods |
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6.06 |
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-12 |
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876 |
872 |
1,749 |
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24 |
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5.06 |
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-12 |
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876 |
872 |
1,749 |
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25 |
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6.05 |
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-12 |
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876 |
872 |
1,749 |
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26 |
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1.02 |
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-12 |
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878 |
872 |
1,749 |
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27 |
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6.03 |
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-12 |
20 |
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874 |
872 |
1,746 |
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28 |
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29 |
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Composite
DayCount and |
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30 |
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Specified
Periods |
6.03 |
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(3.31) |
(6.30) |
(9.30) |
(12.31) |
|
876 |
873 |
1,749 |
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31 |
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3.02 |
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(3.31) |
(6.30) |
(9.30) |
(12.31) |
|
881 |
873 |
1,754 |
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32 |
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2.03 |
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(3.31) |
(6.30) |
(9.30) |
(12.31) |
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890 |
882 |
1,772 |
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33 |
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4.03 |
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(3.31) |
(6.30) |
(9.30) |
(12.31) |
|
876 |
873 |
1,749 |
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34 |
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4.06 |
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(3.31) |
(6.30) |
(9.30) |
(12.31) |
|
876 |
872 |
1,749 |
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35 |
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36 |
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6.03 |
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(6.30) |
(12.31) |
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875 |
875 |
1,751 |
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37 |
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3.02 |
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(6.30) |
(12.31) |
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885 |
876 |
1,761 |
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38 |
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2.03 |
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(6.30) |
(12.31) |
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886 |
878 |
1,765 |
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39 |
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4.03 |
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(6.30) |
(12.31) |
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875 |
875 |
1,751 |
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40 |
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4.06 |
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(6.30) |
(12.31) |
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876 |
872 |
1,749 |
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41 |
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42 |
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Special
Case - 30/360 Main |
7.03 |
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(6.30) |
(12.31) |
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875 |
875 |
1,751 |
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43 |
|
Period * |
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7.02 |
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(6.30) |
(12.31) |
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881 |
881 |
1,761 |
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44 |
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45 |
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*
You can specify type 7 for 30/360 instead of 0 - you need to this for
double-digit composite daycount |
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46 |
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47 |
|
n As you can see, a very wide variety of
situations can be modelled with Composite DayCount and Periods. |
48 |
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49 |
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50 |
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51 |
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52 |
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53 |
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54 |
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55 |
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56 |
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57 |
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58 |
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59 |
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60 |
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61 |
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62 |
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63 |
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64 |
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65 |
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66 |
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67 |
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68 |
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69 |
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70 |
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71 |
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72 |
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73 |
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74 |
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75 |
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76 |
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77 |
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78 |
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79 |
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80 |
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