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The question I've been stuck is: We have a deposit of 10 million on 2011-04-01 for 7 days at 4 percent, assume T+2 settlement, calculated with ACT/365 basis and following business day convention. (04-09, 04-10, 04-11, and 04-12 holiday) What's the interest amount we receive at maturity?

The given answer is \$12,054.8, but I checked repeatedly, but I don't understand how to get to $12,054.8. I assumed the answer is calculated by:

$$10,000,000 \times 0.04 \times 11/365=12,054.8$$

I don't get why it's 11 days out of 365.

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    $\begingroup$ What is the start and end date? The interest will accrue from start to end no matter what holidays are in the middle, since interest is payed for calendar days and not business days. The holidays might change the end date for a given convention (ex: mod foll, adjusted) $\endgroup$
    – David Duarte
    Commented Apr 23, 2021 at 8:46
  • $\begingroup$ @DavidDuarte To accrue "actual" on calendar days is the convention in most countries, but in Brazil BUS/252 means accruing only on business days - no interest during weekends or the Carnival. $\endgroup$
    – Dimitri Vulis
    Commented Apr 23, 2021 at 13:23
  • $\begingroup$ Completely true... but then one would divide by the (aproximately) total business days in the year (252) and not 365. Since the op is clearly asking about ACT/365 (although the title says ACT/360), your comment might actually confuse more than it clarifies $\endgroup$
    – David Duarte
    Commented Apr 23, 2021 at 14:11
  • $\begingroup$ @DavidDuarte Just updated the start date as 2011-04-01 and it's last for 7days and ACT/365. Sorry for the typo $\endgroup$
    – nerdybean
    Commented Apr 23, 2021 at 17:26

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Do you mean 2011-04-01 from a decade ago or the recent 2021-04-01?

Assuming we mean the recent date: start = Thursday 2021-04-01 end = Monday 2021-04-12 (because T+2 lands on the weekend) difference = 11 days 11 days x 0.04 / 365 days * $10,000,000 = $12,054.80. Monday 2021-04-12 is not a holiday.

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  • $\begingroup$ Thanks, coffee guy! Finally got it now $\endgroup$
    – nerdybean
    Commented Apr 25, 2021 at 20:06

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