Day Count Convention Lookup

Q

If you are looking for a specific Day Cont Convention, you can use this online tool by entering a related keyword.


Query

✍: FYIcenter.com

A

Search result provided by FYIcenter.com:

Day Count Convention: 30/360 US

Aliases: 30/360 US, 30U/360, 30US/360, 30/360 SIA

Usage: US agency and corporate bonds

Rules:

T1 = (Y1,M1,D1): Starting date (inclusive)  
T2 = (Y2,M2,D2): Ending date (exclusive)

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:
    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

For more details, see our 30/360 US Tutorials.

References:

  • Wikipedia, Day count convention, referred as: 30/360 US, 30U/360
  • OpenGamma, Day Counts, referred as: 30U/360, 30/360 US, 30US/360, 30/360 SIA

 

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2026-02-14, ∼979🔥, 0💬