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day counting conventions

G

Gareth

Member
Hull always take account of day counting conventions when (say) working out a eurodollar futures price from the underlying LIBOR rates.

Are we expected to do this in the exam, or is it beyond the syllabus?
 
I don't think that anyone really knows exactly what is and isn't on the syllabus in this subject!!
 
Only mention of any day-count conventions from the core reading (that I can recall) is when it talks about measuring historical volatility over trading days rather than calendar days.

Although, I obviously take Muppet's point... I guess they could reasonably ask us to work out something simple from first principles, but I would think it would have to be prefaced with a proper explanation of what day-count conventions actually were.
 
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