"30/360 US" - Test Cases

Q

What test cases can be used to verify the 30/360 US Day Count Convention?

✍: FYIcenter.com

A

To verify the 30/360 US Day Count Convention, we should consider the following test cases:

 Is Accrual Period EOM: No        
 Maturity Date: 2066-02-15        
                            EOM Adj        
  #  T1          T2          D1  D2  D1  D2  DiR
 n1  2026-01-15  2026-02-15  15  15  15  15   30
 n2  2026-01-15  2026-01-31  15  31  15  31   16
 n3  2026-01-30  2026-03-31  30  31  30  30   60
 n4  2026-01-31  2026-02-15  31  15  30  15   15
 n5  2026-01-31  2026-02-28  31  28  30  28   28
 n6  2026-01-31  2026-03-01  31   1  30   1   31
 n7  2026-02-28  2026-03-15  28  15  28  15   17
 n8  2026-02-28  2026-03-31  28  31  28  31   33
 n9  2026-02-28  2027-02-28  28  28  28  28  360
n10  2027-02-28  2028-02-28  28  28  28  28  360
n11  2027-02-28  2028-02-29  28  29  28  29  361
n12  2028-02-28  2029-02-28  28  28  28  28  360
n13  2028-02-29  2029-02-28  29  28  29  28  359
              
Is Accrual Period EOM: Yes        
Maturity Date: 2066-02-28        
                            EOM Adj        
  #  T1          T2          D1  D2  D1  D2  DiR
 y1  2026-01-15  2026-02-15  15  15  15  15   30
 y2  2026-01-15  2026-01-31  15  31  15  31   16
 y3  2026-01-30  2026-03-31  30  31  30  30   60
 y4  2026-01-31  2026-02-15  31  15  30  15   15
 y5  2026-01-31  2026-02-28  31  28  30  28   28
 y6  2026-01-31  2026-03-01  31   1  30   1   31
 y7  2026-02-28  2026-03-15  30  15  30  15   15
 y8  2026-02-28  2026-03-31  30  31  30  30   30
 y9  2026-02-28  2027-02-28  30  30  30  30  360
y10  2027-02-28  2028-02-28  30  28  30  28  358
y11  2027-02-28  2028-02-29  30  30  30  30  360
y12  2028-02-28  2029-02-28  28  28  28  28  360
y13  2028-02-29  2029-02-28  30  30  30  30  360

⇒ Day Count Convention - "30E/360"

⇐ "30/360 US" - Variations of EOM Rules

⇑ Day Count Convention - "30/360 US"

⇑⇑ Day Count Conventions

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Day Count Convention - "30E/360"
Where to find tutorials on the "30E/360" Day Count Convention? Here is a list of tutorials to answer many frequently asked questions compiled by FYIcenter.com team on the "30E/360" Day Count Convention: What Is "30E/360" "30E/360" - Rules Expressed Differently "30E/360" - Day Count Examples by ISDA ... 2026-02-05, ∼203🔥, 0💬

"30/360 US" - Test Cases
What test cases can be used to verify the 30/360 US Day Count Convention? To verify the 30/360 US Day Count Convention, we should consider the following test cases: Is Accrual Period EOM: No Maturity Date: 2066-02-15 EOM Adj # T1 T2 D1 D2 D1 D2 DiR n1 2026-01-15 2026-02-15 15 15 15 15 30 n2 2026-01-... 2026-02-14, ∼196🔥, 0💬

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