"30E/360" - Rules Expressed Differently

Q

What are different ways to express "30E/360" Day Count Rules?

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A

Many web sites express the 30E/360 Day Count Convention rules differently, and name it differently. But if you can prove that they are all specifying the same rules.

cbonds.com

Names: 30E/360 (Eurobond Basis, 30/360 Eurobond, 30/360 ISMA, 
       30/360 European, 30S/360 Special German)

Rules: 
  Day count = (Y2-Y1)·360 + (M2-M1)·30 + (D2-D1)

  Convention:
  • if D1=31, then D1=30
  • if D2=31, then D2=30

isda.org

Names: 30E/360, Eurobond 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, in which case 
    D2 will be 30.å

opengamma.io

Names: 30E/360, 30/360 ISMA, 30/360 European, 30S/360 Special German, 
       EBD/360, Eurobond

Rules: 
  result = (360 * deltaYear + 30 * deltaMonth + deltaDay) / 360

  The deltaDay is then calculated once day-of-month adjustments have
  occurred:
  - If the first day-of-month is 31, it is changed to 30.
  - If the second day-of-month is 31, it is changed to 30.

Wadim Djatschenko: The Nitty Gritty of Bond Valuation

Names: 30E/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 = min(30, D2)

wikipedia.org

Names: 30E/360, 30/360 ICMA, 30/360 ISMA, 30S/360, 
       Eurobond basis (ISDA 2006), Special German

Rules: 
  DayCountFactor = (360*(Y2-Y1) + 30*(M2-M1) + (D2-D1)) / 360

  Date adjustment rules:
    If D1 is 31, then change D1 to 30.
    If D2 is 31, then change D2 to 30.

The best way to specify the 30E/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, set D2 = 30.

 

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

What Is "30E/360"

Day Count Convention - "30E/360"

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2026-02-08, ∼166🔥, 0💬