Payment date convention

[Guowen Han]

Hi Group,

Does anyone happen to know the payment day convention in US bond market? In other words, how are nonbussiness days treated?

Thanks.

Guowen

[Chiara Fornarola]

Hi Guowen
general date adjustment convention for NY and London in modified following.
For detailed descriptions of fixed income securities convention in US you can refer to "The HandBook of Fixed Income" by Frank J. Fabozzi.

Chiara


Chiara Fornarola
Quantitative Research
San Paolo IMI Asset Management Sgr
Via Visconti di Modrone 11 - 20121 Milan
Phone [phone]
Fax      [phone]

Guowen Han <[hidden email]>
Sent by: [hidden email]

03/17/2006 08:23 PM

To	[hidden email]
cc
Subject	[Quantlib-users] Payment date convention

Hi Group,

Does anyone happen to know the payment day convention in US bond market? In other words, how are nonbussiness days treated?

Thanks.

Guowen

---------------------------------------------------------------------
This e-mail is confidential; its content does not constitute a commitment by Sanpaolo IMI Asset Management SGR S.p.A. except where provided for in a written agreement between this e-mail addressee and Sanpaolo IMI Asset Management SGR S.p.A. Any unauthorised disclosure, use or dissemination, either whole or partial, is prohibited. If you are not the intended recipient of the message, please notify the sender immediately.

Questo messaggio e' confidenziale; il suo contenuto non costituisce impegno da parte di Sanpaolo IMI Asset Management SGR S.p.A. salvo accordo scritto tra destinatario e Sanpaolo IMI Asset Management SGR S.p.A. La pubblicazione, l'uso o la diffusione non autorizzati di questo messaggio, sia in forma completa che parziale non sono consentiti. Se non siete i destinatari di questo messaggio, siete pregati di avvertire il mittente immediatamente.
---------------------------------------------------------------------