For the 30 360 day count convention of the time period D 1 ,D 2 ), with D 1 included but D 2 excluded, the year fraction is given where d i ,m i and y i represent the day, month and year of date D i ,i 1, 2 Compute the year fraction between February 27, 2006 and July 31, 2008 max (30 d, 0) min(d2, ...

For the 30/360 day count convention of the time period [D 1 ,D 2 ), with D

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For the 30/360 day count convention of the time period [D₁,D₂), with D₁ included but D₂ excluded, the year fraction is given

- max (30-d, 0) + min(d2, 30) + 360 (y2 - y) + 30 x (m2m 1) 360

where d_i,m_i and y_i represent the day, month and year of date D_i,i = 1, 2. Compute the year fraction between February 27, 2006 and July 31, 2008.

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Mathematical Models Of Financial Derivative

ISBN: 9783642447938

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Authors: Yue-Kuen Kwok

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For the 30/360 day count convention of the time period [D 1 ,D 2 ), with D

Question:

- max (30-d₁, 0) + min(d2, 30) + 360 × (y2 - y₁) + 30 x (m2m₁ − 1) 360

Step by Step Answer:

To compute the year fraction between February 27 2006 and July 31 ...View the full answer

Mathematical Models Of Financial Derivative

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