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| Financial Documentation Categories
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All financial documentation from members working on Sophis. Only Quants or Writers can edit this section and post articles.
Day Count Basis
The day count basis is the method used to calculate the accrual factor of year between two dates. This section explains which implementation Sophis Risque/Value provides and how the maturity in years is computed from the start date T0 and end date Tn. The terminalogy used by Sophis differs a little from the usual one, specially for actual/actual. In bold and in the left column are the different methods proposed by Sophis.
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Actual/360
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The number of accrued days is equal to the actual number of days between the effective date and the terminating date. The accrual factor is the number of accrued days divided by 360.
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Actual/365F (F=fixed)
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The number of accrued days is equal to the actual number of days between the effective date and the terminating date. The accrual factor is the number of accrued days divided by 365. In some bank, it will be named usually as Actual/365 too.
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Actual/Actual
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This accrual method is primarily related to US bonds. It corresponds to the Act/Act ISDA normalization. It means that for N days, with N1 days on non bissextile years and N2 days on bissextile years (N=N1+N2), the applied coefficient will be N1/365 + N2/366.
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30/360
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Year is assumed to be divided into 12 months of 30 days. If the start date is the last day of the month, it is assumed to be the 30th. If the end date is the 31st of actual month, and start date the 30th or 31st, it will be considered as 30th. Otherwise, it is assumed to be the 1st of next month.
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30E/360
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Year is assumed to be divided into 12 months of 30 days. If the start date is the last day of actual month, it is assumed to be the 30th day. If the end date is the 31st of actual month, it is assumed to the 30th.
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Actual/365.25
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Exact number of days between two dates, divided by 365.25.
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Actual/365
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Corrresponds to the Act/Act AFB normalization. If the period includes any occurences of the February, 29th, the number will be divided by 366, and by 365 otherwise. The numerator corresponds to the exact number of days.
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NL/365
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The number of days is calculated as the actual number of days between the effective date and the terminating date without including any occurrences of the leap day, February 29th. This number is divided by 365.
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All research publications or financial papers from Quants/Writers working on Sophis, funds, derivated and structured products |
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