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"30/360" - Day Count Examples by ISDA
What "30/360" Day Count examples provided by ISDA?
✍: FYIcenter.com
ISDA (International Swaps and Derivatives Association) offers
a large number of examples on how to calculate DiR(T1,T2) with
the 30/360 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 and D1 > 29, 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
2006-08-31 2007-02-28 30 28 178
2007-02-28 2007-08-31 28 31 183
2007-08-31 2008-02-29 30 29 179
2008-02-29 2008-08-31 29 31 182
2008-08-31 2009-02-28 30 28 178
2009-02-28 2009-08-31 28 31 183
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 31 183
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 31 33
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 31 16
2007-01-31 2007-02-28 30 28 28
2007-02-28 2007-03-31 28 31 33
2006-08-31 2007-02-28 30 28 178
2007-02-28 2007-08-31 28 31 183
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 31 32
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 31 182
2008-08-31 2009-02-28 30 28 178
2009-02-28 2009-08-31 28 31 183
You can get a copy of these examples by downloading Excel file provided at https://www.isda.org/a/mIJEE/30-360-2006ISDADefs.xls.
⇒ "30/360" - Whole Accrual Period
⇐ "30/360" - Rules Expressed Differently
2026-02-06, ∼173🔥, 0💬
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