I have a question regarding the day count conventions for T-bills, T-notes and T-bonds. So far I haven't found an official page that clearly states which method is used and I don't own bloomberg etc. to look it up myself. I have also looked at the TreasuryDirect website but it is not there either. However, Investopedia states that:

Actual/360 is most commonly used when calculating the accrued interest for commercial paper, T-bills . . . Actual/365 is most commonly used when pricing U.S. government Treasury bonds...

Can someone tell me if this is correct and why the term "commonly" is used, i.e. are there T-bills/T-bonds that have other day count conventions? Also who defines which method is used. The U.S. Treasury ?

Thans in advance.

  • 3
    $\begingroup$ If you are looking for examples where Actual/360 is (always) used, US Commercial paper and T-bills would be the most common example. Similarly a very common application of Actual/365 is to all US T-notes and T-bonds (most people just call them T-bonds) although there may be other examples of lesser import (Moldavian Republic Bonds ?). The author is trying to justify his coverage of these methods (out of the many possible) by pointing to their frequent use in practice; saying "these are 2 methods you will frqntly encounter". (BTW Investopedia is not always clear and reliable, in my experience). $\endgroup$
    – nbbo2
    Mar 26, 2021 at 18:27
  • $\begingroup$ I don't trust investopedia either, thanks for your clear answer. $\endgroup$
    – Lars
    Mar 26, 2021 at 18:47
  • $\begingroup$ Tbills are a discount security - there is no accrued interest to calculate. $\endgroup$
    – dm63
    Mar 27, 2021 at 3:13

1 Answer 1


I’m going to go on a limb and suggest that it was Stigum’s Money Market back in the late 70’s that formalised many of these conventions. This was the major reference at the time the bond and money markets exploded in size and volume. Along with academic / practitioner stalwarts like Frank Fabozzi, these conventions just became entrenched (and also why there is still some variation).

The book is still a great read today for any quant.

Using Actual/360 is always a reasonable choice for any estimation or pricing. As usual, just make it clear that’s what you’ve used if you’re pricing something OTC / non vanilla.


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