"30E/360" - Daily Compound Interest

Q

How to apply the "30E/360" Day Count Convention to Daily Compound Interest?

✍: FYIcenter.com

A

Daily Compound Interest do not normally using the 30E/360 convention. But if it happens, the Day Count Factor is not a constant of 1/360 for a single calendar day. Day Count Factor becomes 0/360 for the 30th day in a 31-day month, 3/360 February 28 in a regular, and 2/360 for February 29 in a leap year.

Here are some examples:

Day Count Factor for January 30, 2027:
  DiR(2027,01,30,2027,01,31)
    = 360×(2027-2027) + 30×(1-1) + (Minimum(31,30)-Minimum(30,30))
    = 360×0 + 30×0 + 0
    = 0
  Day_Count_Factor(2027,01,30,2027,01,31)
    = DiR(2027,01,30,2027,01,31) / 360
    = 0/360 

Day Count Factor for February 28, 2027:
  DiR(2027,02,28,2027,03,01)
    = 360×(2027-2027) + 30×(3-2) + (Minimum(1,30)-Minimum(28,30))
    = 360×0 + 30×1 - 27
    = 3
  Day_Count_Factor(2027,02,28,2027,03,01)
    = DiR(2027,02,28,2027,03,01) / 360
    = 3/360 

Day Count Factor for February 29, 2028:
  DiR(2028,02,29,2028,03,01)
    = 360×(2028-2028) + 30×(3-2) + (Minimum(1,30)-Minimum(29,30))
    = 360×0 + 30×1 - 28
    = 2
  Day_Count_Factor(2028,02,29,2028,03,01)
    = DiR(2028,02,29,2028,03,01) / 360
    = 2/360

So you will earn no interest on January 30, 2027, 3-day interest on February 28, 2027, and 2-day interest on February 29, 2028.

 

"30E/360" - Monthly Compound Interest

"30E/360" - Leap Years

Day Count Convention - "30E/360"

⇑⇑ Day Count Conventions

2026-02-05, ∼165🔥, 0💬