Three Indian institutions divide the labor this module leans on. FBIL (Financial Benchmarks India Pvt Ltd) computes and publishes the daily reference G-Sec par yield curve and administers benchmark rates including MIBOR and the INR OIS reference rate, it is the closest India analogue to the US Treasury's own daily par-yield publication. CCIL (Clearing Corporation of India Ltd) operates the trading and settlement infrastructure, the NDS-OM platform for G-Sec trading and the central-counterparty clearing for repo and OIS, so it is where the quotes this module bootstraps from actually trade and settle. FIMMDA (Fixed Income Money Market and Derivatives Association of India) is the industry body that sets and publishes valuation conventions, accrual/day-count treatment, benchmark valuation polling, for the bond market; treat the specific day-count and accrual mechanics as perishable and worth a direct check rather than a fixed fact to memorize (see the box below). On-the-run describes the most recently auctioned, most liquid benchmark security at each standard maturity, the one whose yield actually gets quoted and used as a bootstrap input; off-the-run describes every other, less-liquid, previously-issued security at that same (or any) maturity, priced off the curve the on-the-run bonds built, exactly as Worked Examples 1 and 2 do. SDLs (State Development Loans) are India's state-government-issued analogue to a sovereign G-Sec, not centrally guaranteed the way a G-Sec is, and trading at the segmentation-driven spread described in yield curve theories. In the US, the identical on-the-run/off-the-run distinction governs UST trading, and STRIPS (Separate Trading of Registered Interest and Principal of Securities) are literally the market's own mechanism for turning a coupon UST into a strip of genuine zero-coupon instruments, the closest real-world thing to the spot curve this module bootstraps synthetically, and worth knowing by name even though this module builds the curve arithmetically rather than by buying STRIPS directly.
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Which conventions should you check before relying on them?
Perishable specifics, as of 2026-07; verify current. G-Secs and USTs both pay coupons semi-annually, which is the compounding convention this entire module uses throughout. The exact day-count and accrual convention applied to a specific security (30/360-style conventions are typical for G-Sec accrual under FIMMDA guidance; UST conventions follow their own actual/actual-style rules) should be confirmed against the current FIMMDA circular or the US Treasury's own auction documentation before it is used for a real settlement calculation, this module's bootstrap uses clean, whole-period semi-annual maturities throughout precisely so the mechanics are not obscured by day-count arithmetic, but a live trading desk cannot skip that step.