Joseph,
Since Real Brazilian markets have evolved but there is still some rules that
make things really weird:
- It is a business day market for almost all pre fixed operation. It means
yields and accrual are calculated using business days;
- Our accounting system works on actual days, so we have to accrue the same
operations using two different systems at same time;
- We have too many indexes to contracts. There are at least 2 different
inflation indexes used for public bonds, dollar lagged (usually 1 day)
operations and 1 day interest rate (CDI), and all them are used in liquid
markets so I must have this in a library;
- Our spreads over CDI (main rate used for Swaps, futures and options) are
not usual (it is not spread over treasury calculation);
- Our interest rate futures doesnt are rate based but future PU based.
I will follow Fernando wishes stating with holidays and day count basis in
order to try to learn how to include things I would like.
Piter Dias
[hidden email]
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