5
$\begingroup$

I am calculating implied interest rates using covered interest rate parity theorem. I am looking at the Australian US currency pair. When evaluating day counts, should I be using Actual/365 for Australia and Actual/360 for US?

$\endgroup$
8
$\begingroup$

OpenGamma has a good resource for market conventions.

$\endgroup$
  • $\begingroup$ That's all I was looking for thanks. Surprisingly hard to find on Google. $\endgroup$ – user2209979 Aug 24 '13 at 2:22
2
$\begingroup$

Correct, USD libor is based on act/360, AUD on act/365 for currencies.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.