Additional Rounding Methods required for Brazil YIELD CDI formula

For Money Market formula YIELD - CDI PERIODIC, currently there are two rounding methods:

• Daily Rate Rounding Method

• Compound Factor Rounding Method

Daimler Truck has identified that we are missing a rounding method outlined in the CDI calculation methodology here: https://www.b3.com.br/pt_br/market-data-e-indices/indices/indices-de-segmentos-e-setoriais/di/metodologia-de-calcudo-acumulado-de-di/

Specifically, the rounding method highlighted below (after translating the site to English), which doesn’t exist in Quantum.

So we need another rounding method that will round the final accumulated compound factor to 8 d.p.

In addition, when spread/margin is applicable and included in the compounding, we need additional rounding methods as outlined here: https://www.debentures.com.br/espacodoinvestidor/pop_calculo_di_spred.asp

Specifically, the following are required:

• Rounding of Daily Spread Rate (to the nearest 9 d.p.)

• Rounding of the final accumulated Spread Rate compound factor (to the nearest 9 d.p.)

• Rounding of the final accumulated compound factor - Base Rate + Spread Rate (to the nearest 9 d.p.)

A document that illustrates all roundings required mentioned here can be provided upon request.