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I have a bond that was issued on the 30th of April with 30/360 European day convention basis and semiannual compounding. As far as I understand payments should be every 180 days according to the day convention, but with quantlib schedule, I got payments on every 30th of October and April, which are not 180 days from each other. Is there something wrong with quantlib or doesn't day conventions just affect the payment schedule?

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  • $\begingroup$ No, semi-annual does not mean every 180 days. Semi-annual means every 6 calendar months, using the standard Julian Calendar. $\endgroup$
    – noob2
    Oct 2 at 18:43
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In the U.S., the U.K., and most (but not all!) other markets, the convention is: the daycount isn't used to calculate how much bond coupon is paid. Rather, it is exactly 1/frequency of the indicated coupon rate per annum, even though the coupon period might be 181 or 182 actual days. (In contrast, fixed coupons are daycounted for loans (and loan participation notes), and for swap legs in the U.S., and also for bonds in some other markets.)

The daycount is used, however, to calculate the accrued until the settlement date, if you trade the bond in the middle of a coupon period, and hence to calculate the full price from a clean price.

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