"30E/360" - Day Count Examples by ISDA

Q

What "30E/360" Day Count examples provided by ISDA?

✍: FYIcenter.com

A

ISDA (International Swaps and Derivatives Association) offers a large number of examples on how to calculate DiR(T1,T2) with the 30E/360 Day Count Convention as shown below:

Day_Count_Factor(Y1,M1,D1,Y2,M2,D2)
  = DiR(Y1,M1,D1,Y2,M2,D2) / 360

DiR(Y1,M1,D1,Y2,M2,D2) = 360×(Y2-Y1) + 30×(M2-M1) + (D2-D1)
  where D1 and D2 are adjusted as below:
    If D1 = 31, set D1 = 30; 
    If D2 = 31, set D2 = 30.

  Y1-M1-D1     Y2-M2-D2   D1   D2   DiR
----------   ----------   --   --   ---  
2006-08-20   2007-02-20   20   20   180
2007-02-20   2007-08-20   20   20   180
2007-08-20   2008-02-20   20   20   180
2008-02-20   2008-08-20   20   20   180
2008-08-20   2009-02-20   20   20   180
2009-02-20   2009-08-20   20   20   180

2006-02-28   2006-08-31   28   30   182
2006-08-31   2007-02-28   30   28   178
2007-02-28   2007-08-31   28   30   182
2007-08-31   2008-02-29   30   29   179
2008-02-29   2008-08-31   29   30   181
2008-08-31   2009-02-28   30   28   178
2009-02-28   2009-08-31   28   30   182
2009-08-31   2010-02-28   30   28   178
2010-02-28   2010-08-31   28   30   182
2010-08-31   2011-02-28   30   28   178
2011-02-28   2011-08-31   28   30   182
2011-08-31   2012-02-29   30   29   179

2006-01-31   2006-02-28   30   28    28
2006-01-30   2006-02-28   30   28    28
2006-02-28   2006-03-03   28    3     5
2006-02-14   2006-02-28   14   28    14
2006-09-30   2006-10-31   30   30    30
2006-10-31   2006-11-28   30   28    28
2007-08-31   2008-02-28   30   28   178
2008-02-28   2008-08-28   28   28   180
2008-02-28   2008-08-30   28   30   182
2008-02-28   2008-08-31   28   30   182
2007-02-26   2008-02-28   26   28   362
2007-02-26   2008-02-29   26   29   363
2008-02-29   2009-02-28   29   28   359
2008-02-28   2008-03-30   28   30    32
2008-02-28   2008-03-31   28   30    32

2007-01-15   2007-01-30   15   30    15
2007-01-15   2007-02-15   15   15    30
2007-01-15   2007-07-15   15   15   180
2007-09-30   2008-03-31   30   30   180
2007-09-30   2007-10-31   30   30    30
2007-09-30   2008-09-30   30   30   360
2007-01-15   2007-01-31   15   30    15
2007-01-31   2007-02-28   30   28    28
2007-02-28   2007-03-31   28   30    32
2006-08-31   2007-02-28   30   28   178
2007-02-28   2007-08-31   28   30   182
2007-02-14   2007-02-28   14   28    14
2007-02-26   2008-02-29   26   29   363
2008-02-29   2009-02-28   29   28   359
2008-02-29   2008-03-30   29   30    31
2008-02-29   2008-03-31   29   30    31
2007-02-28   2007-03-05   28    5     7
2007-10-31   2007-11-28   30   28    28
2007-08-31   2008-02-29   30   29   179
2008-02-29   2008-08-31   29   30   181
2008-08-31   2009-02-28   30   28   178
2009-02-28   2009-08-31   28   30   182

You can get a copy of these examples by downloading Excel file provided at https://www.isda.org/a/mIJEE/30-360-2006ISDADefs.xls.

 

"30E/360" - DAYS360() Excel Function

"30E/360" - Rules Expressed Differently

Day Count Convention - "30E/360"

⇑⇑ Day Count Conventions

2026-02-05, ∼167🔥, 0💬