Number of Days In A Period Using [ACT] --- Remember Leap Years

  

Darren Webb Development Team Montego Data Limited
September 2003

Summary: This article () uses switchable css files

Requires

  • Brief Calendar Knowledge

Contents

Introduction
Conclusion

Introduction

Futures Trading Language
If Buying 5 contracts with a price of 80 the phrase is '80 for 5'
If Selling 5 contracts with a price of 80 the phrase is '5 at 80'

Fixed Income Arithmetic
The Money Market convention is Act/360 which means dividing the actual number of days in the period by 360.
The market price compensates for this convention as no year has 360 days.

PercentTerms Currencies
4.5% Act/360USD JPY EUR
4.5625%Act/365GBP ZAR

The sum is : 4.5% / 360 == 4.5625% / 365 == 0.0125

Proportion Of The Year
From 20 August 2003 to 20 Feb 2004 is a period of six months
In this period 01 Jan 2004 to 20 Feb 2004 is 51 days in a 366 day year
In this period 20 Aug to 20 Feb there are 184 days
So you can say 184 / 365
Or ( 51 * 366 + 133 * 365) / 184 = 365.26 days and year proportion 184 / 365.26 = 0.5037 of a year.
What clearly matters when dealing with ACT/365 is to follow the same rules in a leap year !!

Conclusion

There is always another subtle issue to consider.


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