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This section provides several scenarios used to compare day count methods. The following table lists these scenarios.
Start of Coupon Period | End of Coupon Period | ISMA 30/360 (30E/360) | NASD 30/360 (30/360) | Actual Day Counts | |
|---|---|---|---|---|---|
Scenario 1 | 12/29/2003 | 01/31/2004 | 31 | 32 | 33 |
Scenario 2 | 12/30/2003 | 01/31/2004 | 30 | 30 | 32 |
Scenario 3 | 12/31/2003 | 01/31/2004 | 30 | 30 | 31 |
Scenario 4 | 01/01/2004 | 01/31/2004 | 29 | 30 | 30 |
Scenario 5 | 12/29/2003 | 02/01/2004 | 32 | 32 | 34 |
Scenario 6 | 12/30/2003 | 02/01/2004 | 31 | 31 | 33 |
Scenario 7 | 12/31/2003 | 02/01/2004 | 31 | 31 | 32 |
Scenario 8 | 01/01/2004 | 02/01/2004 | 30 | 30 | 31 |
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Scenario 1
Scenario 1 ISMA 30/360 (30/E360)
Values | Adjusted Values | |
|---|---|---|
Year 2 | 2004 | |
Month 2 | 01 | |
Day 2 | 31 | 30 |
Year 1 | 2003 | |
Month 2 | 12 | |
Day 2 | 29 |
Because Date 2 falls on the 31st, the D2 is adjusted back to the 30th of the month.
N = (Y2 - Y1) x 360 + (M2 - M1) 30 + (D2 - D1)
N = (2004 - 2003) * 360 + (01 - 12) * 30 + (30 - 29)
31 = (360) + -330 + 1
Scenario 1 NASD (30/360)
Values | Adjusted Values | |
|---|---|---|
Year 2 | 2004 | |
Month 2 | 01 | |
Day 2 | 31 | |
Year 1 | 2003 | |
Month 1 | 12 | |
Day 2 | 29 |
If D1 falls on the 31st, change it to the 30th.
If D2 falls on the 31st, change it to the 30th, only if D1 falls on the 30th or 31st.
N = (Y2 - Y1) x 360 + (M2 - M1) 30 + (D2 - D1)
N = (2004 - 2003) * 360 + (01 - 12) * 30 + (31 - 29)
32 = (360) + -330 + 2
Scenario 2
Scenario 2 ISMA 30/360 (30/E360)
Values | Adjusted Values | |
|---|---|---|
Year 2 | 2004 | |
Month 2 | 01 | |
Day 2 | 31 | 30 |
Year 1 | 2003 | |
Month 2 | 12 | |
Day 2 | 30 |
Because Date 2 falls on the 31st, the D2 is adjusted back to the 30th of the month.
N = (Y2 - Y1) x 360 + (M2 - M1) 30 + (D2 - D1)
N = (2004 - 2003) * 360 + (01 - 12) * 30 + (30 - 30)
30 = (360) + -330 + 0
Scenario 2 NASD (30/360)
Values | Adjusted Values | |
|---|---|---|
Year 2 | 2004 | |
Month 2 | 01 | |
Day 2 | 31 | 30 |
Year 1 | 2003 | |
Month 1 | 12 | |
Day 1 | 30 |
If D1 falls on the 31st, change it to the 30th.
If D2 falls on the 31st, change it to the 30th, only if D1 falls on the 30th or 31st.
N = (Y2 - Y1) x 360 + (M2 - M1) 30 + (D2 - D1)
N = (2004 - 2003) * 360 + (01 - 12) * 30 + (30 - 30)
30 = (360) + -330 + 0
Scenario 3
Scenario 3 ISMA 30/360 (30/E360)
Values | Adjusted Values | |
|---|---|---|
Year 2 | 2004 | |
Month 2 | 01 | |
Day 2 | 31 | 30 |
Year 1 | 2003 | |
Month 2 | 12 | |
Day 2 | 31 | 30 |
If D1 falls on the 31st, change it to the 30th.
If D2 falls on the 31st, change it to the 30th.
N = (Y2 - Y1) x 360 + (M2 - M1) 30 + (D2 - D1)
N = (2004 - 2003) * 360 + (01 - 12) * 30 + (30 - 30)
30 = (360) + -330 + 0
Scenario 3 NASD (30/360)
Values | Adjusted Values | |
|---|---|---|
Year 2 | 2004 | |
Month 2 | 01 | |
Day 2 | 31 | 30 |
Year 1 | 2003 | |
Month 1 | 12 | |
Day 1 | 31 | 30 |
If Day 1 falls on the 31st, change it to the 30th.
If Day 2 falls on the 31st, change it to the 30th, only if Day 1 falls on either the 30th or 31st.
N = (Y2 - Y1) x 360 + (M2 - M1) 30 + (D2 - D1)
N = (2004 - 2003) * 360 + (01 - 12) * 30 + (30 - 30)
30 = (360) + -330 + 0
Scenario 4
Scenario 4 ISMA 30/360 (30/E360)
Values | Adjusted Values | |
|---|---|---|
Year 2 | 2004 | |
Month 2 | 01 | |
Day 2 | 31 | 30 |
Year 1 | 2004 | |
Month 2 | 01 | |
Day 2 | 01 |
If D1 falls on the 31st, change it to the 30th.
If D2 falls on the 31st, change it to the 30th.
N = (Y2 - Y1) x 360 + (M2 - M1) 30 + (D2 - D1)
N = (2004 - 2004) * 360 + (01 - 01) * 30 + (30 - 01)
29 = 0 + 0 + 29
Scenario 4 NASD (30/360)
Values | Adjusted Values | |
|---|---|---|
Year 2 | 2004 | |
Month 2 | 01 | |
Day 2 | 31 | 30 |
Year 1 | 2004 | |
Month 1 | 01 | |
Day 1 | 01 |
If D1 falls on the 31st, change it to the 30th.
If D2 falls on the 31st, change it to the 30th, only if D1 falls on either the 30th or 31st.
N = (Y2 - Y1) x 360 + (M2 - M1) 30 + (D2 - D1)
N = (2004 - 2004) * 360 + (01 - 01) * 30 + (31 - 1)
30 = 0 + 0 + 30
Scenario 5
Scenario 5 ISMA 30/360 (30/E360)
Values | Adjusted Values | |
|---|---|---|
Year 2 | 2004 | |
Month 2 | 02 | |
Day 2 | 01 | |
Year 1 | 2003 | |
Month 2 | 12 | |
Day 2 | 29 |
If D1 falls on the 31st, change it to the 30th.
If D2 falls on the 31st, change it to the 30th.
N = (Y2 - Y1) x 360 + (M2 - M1) 30 + (D2 - D1)
N = (2004 - 2003) * 360 + (02 - 12) * 30 + (01 - 29)
32 = (360) + -300 + -28
Scenario 5 NASD (30/360)
Values | Adjusted Values | |
|---|---|---|
Year 2 | 2004 | |
Month 2 | 02 | |
Day 2 | 01 | |
Year 1 | 2003 | |
Month 1 | 12 | |
Day 1 | 29 |
If D1 falls on the 31st, change it to the 30th.
If D2 falls on the 31st, change it to the 30th, only if D1 falls on either the 30th or 31st.
N = (Y2 - Y1) x 360 + (M2 - M1) 30 + (D2 - D1)
N = (2004 - 2003) * 360 + (02 - 12) * 30 + (01 - 29)
32 = (360) + -300 + - 28
Scenario 6
Scenario 6 ISMA 30/360 (30/E360)
Values | Adjusted Values | |
|---|---|---|
Year 2 | 2004 | |
Month 2 | 02 | |
Day 2 | 01 | |
Year 1 | 2003 | |
Month 2 | 12 | |
Day 2 | 30 |
If D1 falls on the 31st, change it to the 30th.
If D2 falls on the 31st, change it to the 30th.
N = (Y2 - Y1) x 360 + (M2 - M1) 30 + (D2 - D1)
N = (2004 - 2003) * 360 + (02 - 12) * 30 + (01 - 30)
31 = (360) + -300 + -29
Scenario 6 NASD (30/360)
Values | Adjusted Values | |
|---|---|---|
Year 2 | 2004 | |
Month 2 | 02 | |
Day 2 | 01 | |
Year 1 | 2003 | |
Month 1 | 12 | |
Day 1 | 30 |
If D1 falls on the 31st, change it to the 30th.
If D2 falls on the 31st, change it to the 30th, only if D1 falls on either the 30th or 31st.
N = (Y2 - Y1) x 360 + (M2 - M1) 30 + (D2 - D1)
N = (2004 - 2003) * 360 + (02 - 12) * 30 + (01 - 30)
31 = (360) + -300 + -29
Scenario 7
Scenario 7 ISMA 30/360 (30/E360)
Values | Adjusted Values | |
|---|---|---|
Year 2 | 2004 | |
Month 2 | 02 | |
Day 2 | 01 | |
Year 1 | 2003 | |
Month 2 | 12 | |
Day 1 | 30 | 30 |
If D1 falls on the 31st, change it to the 30th.
If D2 falls on the 31st, change it to the 30th.
N = (Y2 - Y1) x 360 + (M2 - M1) 30 + (D2 - D1)
N = (2004 - 2003) * 360 + (02 - 12) * 30 + (01 - 30)
31 = (360) + -300 + -29
Scenario 7 NASD (30/360)
Values | Adjusted Values | |
|---|---|---|
Year 2 | 2004 | |
Month 2 | 02 | |
Day 2 | 01 | |
Year 1 | 2003 | |
Month 1 | 12 | |
Day 1 | 30 | 30 |
If D1 falls on the 31st, change it to the 30th.
If D2 falls on the 31st, change it to the 30th, only if D1 falls on either the 30th or 31st.
N = (Y2 - Y1) x 360 + (M2 - M1) 30 + (D2 - D1)
N = (2004 - 2003) * 360 + (02 - 12) * 30 + (01 - 30)
31 = (360) + -300 + -29
Scenario 8
Scenario 8 ISMA 30/360 (30/E360)
Values | Adjusted Values | |
|---|---|---|
Year 2 | 2004 | |
Month 2 | 02 | |
Day 2 | 01 | |
Year 1 | 2004 | |
Month 2 | 01 | |
Day 2 | 01 |
If D1 falls on the 31st, change it to the 30th.
If D2 falls on the 31st, change it to the 30th.
N = (Y2 - Y1) x 360 + (M2 - M1) 30 + (D2 - D1)
N = (2004 - 2004) * 360 + (02 - 01) * 30 + (01 - 01)
30 = (0)+ 30 + 0
Scenario 8 NASD (30/360)
Values | Adjusted Values | |
|---|---|---|
Year 2 | 2004 | |
Month 2 | 02 | |
Day 2 | 01 | |
Year 1 | 2004 | |
Month 1 | 01 | |
Day 1 | 01 |
If D1 falls on the 31st, change it to the 30th.
If D2 falls on the 31st, change it to the 30th, only if D1 falls on either the 30th or 31st.
N = (Y2 - Y1) x 360 + (M2 - M1) 30 + (D2 - D1)
N = (2004 - 2004) * 360 + (02 - 01) * 30 + (01 - 01)
30 = 0 + 30 + 0
On this page
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