"30/360 US" - Variations of EOM Rules

Q

What are the variations of the EOM rule in the 30/360 US Day Count Convention?

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A

An important feature of the 30/360 US Day Count Convention is the EOM rule as highlighted below:

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

DiR(Y1,M1,D1,Y2,M2,D2) = 360×(Y2-Y1) + 30×(M2-M1) + (D2-D1)
  where D1 and D2 are adjusted sequentially as below:

    The EOM rule: 
      If interest scheduled to be paid on EOM: 
        If T1 is EOM of February:
          Set D1 to 30
          If T2 is EOM of February, set D2 to 30

    If D1 = 31, set D1 = 30;
    If D2 = 31 and D1 > 29, set D2 = 30.

DiY(Y1,M1,D1,Y2,M2,D2) = 360

As you can see the EOM rule is based on an EOM condition, whether interest is being scheduled to be paid on EOM or not. It adjusts D1 and D2 in the month of February, so that February is calculated as 30 days.

We have see 3 variations of the 30/360 US convention that handle this EOM condition and the EOM rule differently:

1. The EOM condition is respected - The EOM rule is use as is.

    The EOM rule: 
      If interest scheduled to be paid on EOM: 
        If T1 is EOM of February:
          Set D1 to 30
          If T2 is EOM of February, set D2 to 30

    If D1 = 31, set D1 = 30;
    If D2 = 31 and D1 > 29, set D2 = 30.

This variation is the standard version of the 30/360 US convention.

2. The EOM condition is assumed to be true - The EOM rule is simplified as.

    The EOM rule: 
        If T1 is EOM of February:
          Set D1 to 30
          If T2 is EOM of February, set D2 to 30

    If D1 = 31, set D1 = 30;
    If D2 = 31 and D1 > 29, set D2 = 30.

3. The EOM condition is assumed to be not true - The EOM rule is not applied at all.

    The EOM rule: 
        No adjustment

    If D1 = 31, set D1 = 30;
    If D2 = 31 and D1 > 29, set D2 = 30.

This variation is identical to the 30/360 Day Count Convention:

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.

 

"30/360 US" - Test Cases

"30/360 US" - Monthly Interest Frequency

Day Count Convention - "30/360 US"

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2026-02-13, ∼189🔥, 0💬