Day count convention

(redirected from Interest rate basis)

Day count convention

A convention for determining the number of days between two dates and the number of days in a year, which are used for calculating interest accrued on bonds and other interest rate dependent securities. Also see actual/actual, actual/360, 30/360.

Day-Count Convention

An assumption used to calculate the frequency of coupon payments for a bond. This is used to calculate accrued interest and may therefore be important to the valuation of a bond, especially just before or just after the coupon date. There are two main day-count conventions. The 30/360 convention assumes that there are 30 days each month and 360 days in a year. On the other hand, the actual/actual convention uses the real number of days each month and year.
References in periodicals archive ?
Banks give out a major portion of their loans on a floating interest rate basis.
Extra responsibilities brought in through the recent Mortgage Market Review (MMR) also mean that prospective homeowners can be tested on as much as a seven per cent interest rate basis so we are clear people will be able to pay their mortgage for some time in an environment with slowly rising interest rates.
Accordingly, it is proposed not to permit banks to levy foreclosure charges or pre-payment penalties on home loans on a floating interest rate basis.
Stuart Glendinning of Moneysupermarket said the Halifax was the clear market leader on a purely credit interest rate basis for current account holders with modest balances.
and hedging agreements that mitigate interest rate basis risk and currency risk.
dollar-based swaps, interest rate basis and index swap pricing from Tullett & Tokyo Liberty; commercial paper rates from most of the largest direct issuer corporations; and access to electronic commercial paper commerce via cpmarkets.
Blackbird is a dealer-only trading system that covers a wide range of derivative products, from interest rate swaps, interest rate basis swaps, caps, "swaptions," FX forwards and forward rate agreements.