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"30/360" - Rules Expressed Differently
What are different ways to express "30/360" Day Count Rules?
✍: FYIcenter.com
Many web sites express the 30/360 Day Count Convention rules
differently, and name it differently. But if you can prove that they
are all specifying the same rules.
Names: 30/360 ISDA, 30/360, Bond Basis, 30-360 U.S. Municipal Rules: Day count = (Y2-Y1)·360 + (M2-M1)·30 + (D2-D1) Convention: • if D1=31 then D1=30 • if D2=31 and D1=30 or 31 then D2=30
Names: 30/360, 360/360, Bond Basis
Rules:
Day Count Fraction = (360*(Y2-Y1) + 30*(M2-M1) + (D2-D1)) / 360
where:
- “D1” is the first calendar day, expressed as a number, of the
Calculation Period or Compounding Period, unless such number
would be 31, in which case D1 will be 30;
- “D2” is the calendar day, expressed as a number, immediately
following the last day included in the Calculation Period or
Compounding Period, unless such number would be 31 and D1 is
greater than 29, in which case D2 will be 30;
Names: 30/360 ISDA, 30/360 U.S. Municipal, 30/360 Bond Basis
Rules:
result = (360 * deltaYear + 30 * deltaMonth + deltaDay) / 360
The deltaDay is then calculated once day-of-month adjustments have
occurred:
- If the second day-of-month is 31 and the first day-of-month
is 30 or 31, change the second day-of-month to 30.
- If the first day-of-month is 31, change the first day-of-month
to 30.
Wadim Djatschenko: The Nitty Gritty of Bond Valuation
Names: 30/360 Rules: DIST(T1,T2) = (360*(Y2-Y1) + 30*(M2-M1) + (D2-D1)) / 360 The adjustment rules can be summarized as: - D1 = min(30, D1) - D2 = 30, if D2 = 31 and (D1 = 30 or 31)
Names: 30/360 Bond Basis, 30A/360
Rules:
DayCountFactor = (360*(Y2-Y1) + 30*(M2-M1) + (D2-D1)) / 360
Date adjustment rules:
D1 = min(D1, 30),
If D1 > 29 then D2 = min(D2, 30)
The best way to specify the 30/360 convention rules is:
T1 = (Y1,M1,D1)
T2 = (Y2,M2,D2)
Day_Count_Factor = (360*(Y2-Y1) + 30*(M2-M1) + (D2-D1)) / 360
where D1 and D2 are adjusted as below:
If D1 = 31, set D1 = 30;
If D2 = 31 and D1 > 29, set D2 = 30.
⇒ "30/360" - Day Count Examples by ISDA
2026-02-08, ∼186🔥, 0💬
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