Talk:Day count convention

message: The article is sorely lacking a history and etymology of these conventions.  The mechanics and arithmetic of calculating them are thorough, but the history, rationale, and stories behind each is completely missing. -- Thoreaulylazy (talk) 08:49, 21 June 2010 (UTC)
thread_title:  Etymology 

message: I believe that there are errors in the 30/360 daycount description.  I would suggest the following instead:
The number of days from M1/D1/Y1 to M2/D2/Y2 is computed according to the following procedure: 
1. If D1 is 31, change D1 to 30. 
2. If D2 is 31 and D1 is 30 or 31, then change D2 to 30. 
3. If M1 is 2, and D1 is 28 (in a non-leap year) or 29, then change D1 to 30.
Then the number of days, N is: 
N = 360(Y2 - Y1) + 30(M2 - M1) + (D2 - D1) 
I have not seen the increase rule ever (for case where date2 is 31 and date1 is less than 30), and the February rule is confusingly placed as a variation.  However, the current version has had so much effort put into it, maybe it is more common.
Yes you're right as I've just been reading the ISDA 2006 document. TheMathemagician (talk) 11:24, 1 November 2012 (UTC)
thread_title:  Question 

message: I saw the note about combining Day count convention and Interest rate basis.  I think that's a very good idea.  I think there's probably a lot of additional work needed as well.  I'm more than happy to get the process started.
Are there others who have thought about this effort?
--Rudd73 21:29, 19 May 2007 (UTC)
thread_title:  Combining Pages 

message: An edit was made to change the month for D1 in the first rule from February to January.  February indeed looks very odd.  It means that the prior coupon payment date is a year before the settlement date of the trade.  I've certainly never seen such a situation.  I'm used to bonds paying two or four times a year.  And I'm not used to seeing bonds using this convention paying interest at the end of the month.
But February is indeed the correct month.  The normative reference (Mayle 1993) is unfortunately only available in a costly hard copy, but you can find the correct method in Accrued Interest & Yield Calculations and Determination of Holiday Calendars, p. 8 (though the format is slightly different; I used the original SIFMA rules in the page).
This is an interesting situation for a number of reasons.  As mentioned in the References, the first two rules were added after the original rules (excluding the first two now given) had been used for years, for tens of thousands of securities.  But the situation was encountered, so Jan Mayle added the new rules to cover it.
The second reason is how to interepret a reference giving the method without these first two rules (e.g., the ISDA).  Are they establishing a different method or have they simply not bothered updating their documentation to cover a very rare situation?  I lean towards the latter, barring any definitive resolution.
--Rudd73 01:35, 11 August 2007 (UTC)
thread_title:  The first rule for 30/360 US 

message: Would be useful if this page noted which DCCs were used in which jurisdictions. 155.192.161.113 (talk) 12:17, 16 March 2010 (UTC)
thread_title:  Usage 

message: Link to Accrued Interest Calculator returns HTTP 404. I have tried to find excel document on their site without success.
Vladimir.Lavrnic (talk) 02:39, 11 April 2013 (UTC)
thread_title:  Links 

message: The rules outlined are: 
* Factor = Days(Date1,Date2)/DiY
* If 29th february is in date range from Date1 (inclusive) to Date2 (exclusive), DiY=366 else DiY=365
* If date range from Date1 to Date2 spans multiple years, calculation is split in two parts:
* § Number of complete years counted back from the last day in the period
* § The remaining initial stub, calculated using the basic rule
* § ISDA additional rule: If counting backwards for multiple years, if the last day of the relevant period is 28 February the full year should be counted back to 28 February unless 29 February exists in which case 29 February should be used.
Take the example where Date1 = 2004-02-28 and Date2 = 2008-02-28. Applying the rules gives:
* 4 full years
* Date2' = 2004-02-29 [rebased Date2 by counting back + ISDA additional rule]
* DiY = 365, because: Date1 = 2004-02-28, Date2' = 2004-02-29; 29 February is not in date range from Date1 (inclusive) and Date2' (exclusive) i.e. the remaining initial stub
* Factor = 4 + 1/365
However the example in the article shows the result without explanation, and shows the Coupon Factor to be 4 + 1/366. This would be true if the rules for multiple years in fact still use the original Date2 to determine if 29 February is in the date range, not the rebased Date2'. The rules for multiple years however claim that the initial stub is to be used in the basic rule. Maybe the example shows the exact result but then I would say that the explanation is somewhat ambiguous.
Could someone clarify? Thanks!
Attlanttizz (talk) 09:31, 26 November 2014 (UTC)
thread_title:  Actual/Actual AFB example over mutliple years appears to not follow rules? 

message: Convert Days to Years in Finance would probably be the more appropriate name for this article  — Preceding unsigned comment added by Jaroslav.Skrivanek (talk • contribs) 11:21, 2 December 2017 (UTC)
thread_title:  Article title 

message: The calculation of the coupon payment and the accrued interest can take payment date rolling into account (Adjusted convention) or ignore it (Non-Ajusted convention). This is not mentioned in the section on date rolling.
Adjusted dates (aka bumped dates) are usually taken into account with actual/fixed_base conventions. I suppose the same applies with non-ICMA actual/actual conventions, but I do not know. Unajusted dates (aka unbumped dates) are used with actual/actual (ICMA) and 30/360 conventions thus preserving a coupon factor equal to 1/frequency.
It would be nice to clarify these issues because there the information in the web may be reduded to https://quant.stackexchange.com/questions/76150/does-the-rolling-of-bond-payments-from-non-business-days-to-the-next-or-previous and https://quant.stackexchange.com/questions/30417/what-happens-to-accrued-interest-and-coupon-payment-if-coupon-date-is-weekend?noredirect=1&lq=1 Rodolfoaoviedoh (talk) 23:11, 8 August 2023 (UTC)
thread_title:  Effect of date rolling on coupon payments and accrued interest calculations