Instrument Data Conventions

The same quoted rate can produce different cash flows under different day-count and compounding conventions. A clean bond quote also differs from the cash paid at settlement. This lesson checks those conventions, FX quote orientation, identifiers and corporate-action treatment before a pricing calculation.

• convert among compounding conventions and state why continuous time is algebraically convenient;
• apply day-count fractions in simple interest and accrued interest;
• distinguish clean and dirty bond prices and compute a simple accrued amount;
• interpret FX quote orientation and pip scales;
• list identifier types (ISIN, CUSIP, RIC, etc.) and why mapping fails;
• require corporate-action-adjusted histories before estimating returns or yields.

1. Compounding, zeros and forwards (engine room)
2. Day-count conventions
3. Clean versus dirty prices
4. FX quote conventions
5. Identifiers and reference data
6. Corporate-action-adjusted prices
7. Pre-computation consistency checklist