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"30E/360" - Rules Expressed Differently
What are different ways to express "30E/360" Day Count Rules?
✍: FYIcenter.com
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.
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
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
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)
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
2026-02-08, ∼221🔥, 0💬
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