Kalotay |
BondOAS™ Day Counts |

Applies to most corporate, municipal, and agency bonds. A 30/360 day count convention that assumes there are 30 days in a month and 360 days in a year and uses the following formula in determining periods:

- [(Y2-Y1)*360+(M2-M1)*30+(D2-D1)] /360

With
the following exceptions for D2 and/or D2:

- If security is EOM and if D2 is last date of Feb and D1
is last date of Feb, change D2 to 30.
- If security is EOM and if D1 is last date of Feb,
change D1 to 30.
- If D2 is 31 and D1 is 30 or 31 change D2 to 30.
- If D1 is 31 change D1 to 30.

A 30/360 day count convention with European treatment of February that uses the following formula in determining periods:

- [(Y2-Y1)*360+(M2-M1)*30+(D2-D1)] /360

With
the following exceptions for D2 and/or D2:

- If D1 = 31 then change D1=30
- If D2 = 31 then change D2=30.

A 30/360 day count convention that uses the following formula in determining periods:

- [(Y2-Y1)*360+(M2-M1)*30+(D2-D1)] /360

With
the following exceptions for D2 and/or D2:

- If D1 = 31 or last day of February then change D1=30
- If D2 = 31 or last day of February then change D2=30.

A 30/360 day count convention with European treatment of February that uses the following formula in determining periods:

- [(Y2-Y1)*360+(M2-M1)*30+(D2-D1)] /360

Where
DAY1 is converted to D1 and DAY2 is converted to D2 as follows:

- If (DAY1=31) set D1=30
- If (DAY2=31) and (DAY1=30 or 31) then set D2=30.

Applies to U.S. Treasury bills. The number of accrued days is equal to the actual number of days between the effective date and the terminating date. The accrual factor is the number of accrued days divided by 360.

Applies to some CDs. The number of accrued days is equal to the actual number of days between the effective date and the terminating date. The accrual factor is the number of accrued days divided by 365.

Applies to U.S. Treasury notes and bonds, and some European sovereign debt issues. Days in month are actual and coupon period days are actual.

The number of days is calculated as the actual number of days between dates without including any occurrences of the leap day, February 29th. This number is divided by 365.

CD daycounts cause interest cash flows to be proportional to the number of ACT days in the period, i.e., the interest cash flow is the coupon * days-in-period / 365. Note: bonds with CD daycounts always use the CD yield method regardless of the yield method specified.

This convention is used in particular in the Brazilian market. The number of accrued days is calculated as the number of market days in the accrual period. The accrual factor is calculated as the number of accrued (market) days divided by 252. Please see holidays.html for a list of Brazilian holidays.