Questions tagged [daycounting]

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Day-Time conventions spanning across years

I have 2 dates, let's say 2010-01-01 and 2020-01-02, and I am interested in calculating the year fraction between them according to the Act/365 time convention. Would this be just $$ \frac{\text{raw # ...
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Day count convention effect on I-spread / Z-spread

I would like to ask if the Ispread / Zspread are computed correctly when day count convention "DCC" of the swap rate is different from the DCC of the bond. My understanding is that DCC plays ...
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Actual360 convention in quantlib schedule

I'm trying to make a payment schedule for different bonds in quantlib. For example, I made such a schedule: ...
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Day Count Convention

I am currently reading the book Term-Structure Model, chapter 3, by Damir Filipovic and I have the following problem: The Libor rate for the maturities: Over night, 1 week, 1 month, 2 months and 3 ...
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Day-Count-Conventions T-bills, T-notes and T-bonds

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. ...
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How to model fixed-rate loans or mortgages with act/365 but constant payment

My question I have a question on how to model the cashflows of fixed-rate loans or mortgages. Let's say the payments are monthly, and the rate remains constant throughout the life of the product; each ...
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Converting pandas datetime to QuantLib dates: why do the inputs need to be converted to int only some times? It seems random

I am trying to use the QuantLib library with Python. In the example below, I create a pandas dataframe with some dates and some cashflows, convert the dates from pandas' format to QuantLib's, and use ...
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2 answers
313 views

Day count methods and actual coupon payments

Assume I have a bond that pays 5% coupon anually on the last day of the year. The day count method used to calculate accrued interest over time is "days actual / 360". The day before the ...
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How can i calculate the yield given price, or price given yield for a callable bond, with several callable dates and strike prices (quantlib)

...
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Pricing 5Y US treasury day count convention

I am trying to price a simple 5Y US T Bill. The pricing should be fairly straightforward, however my result is still off by a significant amoaunt. I think the daycount fraction is incorrect, but I am ...
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0 answers
396 views

Bloomberg SWPM Zero Rate Curve Conventions

Referencing : Bloomberg SWPM: Day count to calculate discount factor for US0003M Hi, I have a hard time reproducing the conversions between Discount factors and zero rates for an XCCY Swap I have ...
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Dealing with day counts that span a weekend

Consider the following security: CUSIP: 3130A3GE8 Federal Home Loan Bank Maturity: 2024-12-13 Coupon: 2.75 % (CPN) Previous Coupon Date: 2019-06-13 Today is ...
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Misunderstanding of 'day counts' and accrued interest

I'm totally new to the fixed income world. My goal with this question is to gain an understanding how interest is accrued day-by-day for a particular instrument. This will obviously be done by an app ...
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IMM Swaps - Accrual & Fixing Schedule

I am wondering how accrual periods & reset dates on Quarterly-IMM swaps are different to normal swaps (in terms of conventions). For example: Normal Swap: ...
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Bloomberg SWPM: Day count to calculate discount factor for US0003M

I'm trying to replicate price I get for CCIRS in SWPM. This is USD3m float vs RUB 1Y. Second leg doesn't matter for my question. Suppose today is 7th of Jan 2019, deal date. Settlement will happen on ...
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Why is the number of accrued days equal to one on coupon dates for NL/365?

Accrued day should be zero on coupon dates. This is true for all day count conventions. However, I found that Bloomberg returns 1 accrued day on coupon dates only for NL/365 day count. Bond example: ...
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Using DayCounter ActualActual.ISMA in QuantLib

Suppose we have a semiannual coupon bond. The calculation date is 5/8 2017. The ex-coupon date is 4/20 2017 and next coupon date is 10/20 2017. ...
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Fixing date, start date, end date in interest rate derivative valuation?

I was reading a technical report by Hagan, which can be downloaded here on the valuation of accrual swaps and range notes. It caught my attention that in the valuation he comments this: Consider ...
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Day count convention Actual/Actual AFB; Factor for Date1 = 2004-02-28 and Date2 = 2008-02-28

The Actual/Actual AFB day count convention is explained on Wikipedia here. I'll condense the rules here the way I understood them. Factor = Days(Date1,Date2)/DiY If 29th february is in date ...
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Characteristics of a Discount Curve

Does the discount curve used for discounting cash flows have to be a zero coupon, annual compounding, actual by actual day basis curve? In practice, does a curve used for discounting necessarily have ...
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Towards a standard day count convention in Finance, what the standard should be?

I recently found out about the multitude of day count conventions in Finance (e.g.wikipedia and stackexchange). As far as I understand the reason for this variety is a long history of diverse usage. ...
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Day counts and time increment in Monte Carlo

Suppose the evolution of the stock price is given by Geometric Brownian Motion. Futher I assume that the risk free rate process is given by CIR model. In both models there is a time increment dt. To ...
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When computing with rates, how long is a year? how long is a day?

The convention says that when computing with rates, $1$ year has $360$ days. Does this mean that, when computing with rates, $1$ year has $360$ normal days or 1 day is $\frac{365 \times 24}{360} = 24....
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2 votes
1 answer
560 views

discrepancy in calculating 30/360 day count

I'm trying to calculate 30/360 (US) date differences, but I'm confused by the differences between calculating dates in one order vs the other. When I calculated the difference between date1=2/29/2016 ...
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2 votes
1 answer
143 views

Day count convention confusion

For example I want to calculate a year fraction between the dates: 2011.03.31 and 2015.05.30. There are 1521 days between the two dates, but 2012 was a leap year. So what should I use in the ...
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NOK NOWA overnight day count

The NOK overnight index NOWA is defined as: Reported interest rates shall be calculated as nominal annual rates for the actual number of days in the year ahead (365 or 366). (The percentage ...
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1 answer
1k views

LIBOR Quoting Conventions

I have been trying to build a NSS parameterization of LIBOR term structure, and have confused myself over how all the dates are dealt with. On https://www.theice.com/publicdocs/futures/...
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Pricing of Interest rate swap with start ex. 01/06/2015 to 03/06/2015 - 2 extra days? Change discount factor and fixed payments?

I hope you can help me. So let say we have an interest rate swap, with the following characteristic: Start in 30/06/2015. End in 02/07/2019 It has fixed payment every year, and floating every ...
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2 votes
1 answer
784 views

ACT/360 day convention in swap pricing

The floating leg of a USD swap has present value $$ PV = \sum_{i=1}^N \delta_i f_i p^d(t_i) $$ where the $\{t_i\}$ are the floating leg payment dates, $\delta_i$ is the accrual fraction between $t_{...
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2 votes
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69 views

Can I use these rates for ACT/360 discounting?

I have calculated forward rates like this: $r_{t_1,t_2} = \left(\frac{(1+r_2)^{d_2}}{(1+r_1)^{d_1}}\right)^{\frac{1}{d_2-d_1}} - 1 $ I want to find the discount factors for these forward, with ACT/...
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Translating dates to times

I am using Act/365 day-count convention. How do I compute the time offset between 2/28/2015 and 3/1/2016? 3/1/2017 Some ideas: Direct day count: count number of days between the dates, and divide by ...
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Which day count conventions are there and where do they apply?

I am looking for a list of day count conventions. Is the list on Wikipedia complete or do you know others? Which rules of thumb are there to choose day count conventions when none is specified, ...
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3 votes
1 answer
2k views

Which method is implemented by Excel's YEARFRAC for ACT/ACT?

I know the algorithm used by Excel to calculate the YEARFRAC(startDate, endDate, basis) for basis=1. Excel calls the method "act/act". A Java re-implentation of Excel's algorithm can be found at ...
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