Aug 27

Day count conventions – 5 min. screencast

by David Harper, CFA, FRM, CIPM

FRM |

A brief screencast to illustrate day count conventions:

  • actual/actual; e.g., US Treasuries
  • 30/360; e.g., US corporate bonds
  • actual/360; e.g., LIBOR

Here is the spreadsheet I used.

Screencast:

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