A |
B |
C |
D |
E |
F |
G |
H |
I |
J |
K |
L |
M |
N |
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2 |
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3 |
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DayCount and
Periods |
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4 |
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5 |
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All assuming
a timeperiod |
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6 |
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From |
To |
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7 |
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29 Feb 04 |
31 Oct 04 |
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TimePeriod Length |
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8 |
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Years |
Days |
Days |
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9 |
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From |
To |
DayCount |
Periods |
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TpYX |
TpDX |
Arithmetical |
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10 |
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11 |
(1) |
These amount to same thing, using Decimal Month: |
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12 |
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13 |
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29 Feb 04 |
31 Oct 04 |
Omitted |
Omitted |
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0.6669 |
245 |
245 |
in
advance, quarterly (1Jan,1Apr,1Jul,1Oct) |
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14 |
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29 Feb 04 |
31 Oct 04 |
5 |
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0.6669 |
245 |
245 |
in
advance, quarterly (1Jan,1Apr,1Jul,1Oct) |
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15 |
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29 Feb 04 |
31 Oct 04 |
5 |
+1.01 |
+7.01 |
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0.6669 |
245 |
245 |
in
advance, Jan 1 Jul 1 |
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16 |
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Periods Not Used |
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LongHand: |
0.6669 |
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17 |
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18 |
(2) |
These examples of
ACT/365 all amount to the same: |
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19 |
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20 |
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29 Feb 04 |
31 Oct 04 |
3 |
Omitted |
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0.6712 |
245 |
245 |
Actual
Days/365. |
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21 |
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29 Feb 04 |
31 Oct 04 |
3 |
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0.6712 |
245 |
245 |
Actual
Days/365. |
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22 |
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29 Feb 04 |
31 Oct 04 |
3 |
+5.15 |
+11.15 |
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0.6712 |
245 |
245 |
Actual
Days/365. |
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23 |
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Periods Not Used |
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LongHand: |
0.6712 |
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24 |
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25 |
(3) |
These examples of
30/360 all amount to the same: |
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26 |
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27 |
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29 Feb 04 |
31 Oct 04 |
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Omitted |
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0.6667 |
240 |
245 |
30/360 (PSA). |
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28 |
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29 Feb 04 |
31 Oct 04 |
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0.6667 |
240 |
245 |
30/360 (PSA). |
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29 |
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29 Feb 04 |
31 Oct 04 |
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+5.15 |
+11.15 |
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0.6667 |
240 |
245 |
30/360 (PSA). |
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30 |
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Periods Not Used |
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LongHand: |
0.6667 |
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31 |
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Excel: |
0.6667 |
240 |
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32 |
(4) |
These examples
of ACT/ACT (in period) are the same: |
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33 |
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34 |
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29 Feb 04 |
31 Oct 04 |
6 |
+4 |
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0.6694 |
245 |
245 |
in
advance, quarterly (1Jan,1Apr,1Jul,1Oct) |
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35 |
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29 Feb 04 |
31 Oct 04 |
6 |
-4 |
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0.6694 |
245 |
245 |
in
arrear, quarterly (1 April payment of Jan-Mar accrual) |
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36 |
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29 Feb 04 |
31 Oct 04 |
6 |
+1.01 |
+4.01 |
+7.01 |
+10.01 |
0.6694 |
245 |
245 |
in
advance, Jan 1 Apr 1 Jul 1 Oct 1 |
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37 |
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29 Feb 04 |
31 Oct 04 |
6 |
-3.31 |
-6.30 |
-9.30 |
-12.31 |
0.6694 |
245 |
245 |
in
arrear, Mar 31 Jun 30 Sep 30 Dec 31 |
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38 |
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39 |
(5) |
Now let's look at the different DayCount
options: |
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40 |
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41 |
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29 Feb 04 |
31 Oct 04 |
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0.6667 |
240 |
245 |
30/360 (PSA). |
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42 |
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29 Feb 04 |
31 Oct 04 |
1 |
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0.6694 |
245 |
245 |
Actual/Actual
(365 or 366). |
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43 |
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29 Feb 04 |
31 Oct 04 |
2 |
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0.6806 |
245 |
245 |
Actual
Days/360. |
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44 |
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29 Feb 04 |
31 Oct 04 |
3 |
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0.6712 |
245 |
245 |
Actual
Days/365. |
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45 |
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29 Feb 04 |
31 Oct 04 |
4 |
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0.6694 |
241 |
245 |
30/360
(European). |
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46 |
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29 Feb 04 |
31 Oct 04 |
5 |
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0.6669 |
245 |
245 |
Actual
Days/Actual Days In Month ('Decimal Year'). |
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47 |
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29 Feb 04 |
31 Oct 04 |
6 |
+1.01 |
+4.01 |
+7.01 |
+10.01 |
0.6694 |
245 |
245 |
Actual/Actual
(Within Period). |
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48 |
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29 Feb 04 |
31 Oct 04 |
6 |
-3.31 |
-6.30 |
-9.30 |
-12.31 |
0.6694 |
245 |
245 |
Actual/Actual
(Within Period). |
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49 |
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29 Feb 04 |
31 Oct 04 |
6 |
+1.23 |
+4.23 |
+7.23 |
+10.23 |
0.6701 |
245 |
245 |
Actual/Actual
(Within Period). |
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50 |
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51 |
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52 |
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53 |
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54 |
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55 |
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56 |
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57 |
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58 |
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59 |
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60 |
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61 |
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62 |
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63 |
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64 |
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65 |
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66 |
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67 |
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68 |
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69 |
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70 |
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71 |
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72 |
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73 |
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74 |
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75 |
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76 |
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77 |
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78 |
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79 |
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80 |
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