360-day calendar

The 360-day calendar is a method of measuring durations used in financial markets and in computer models which is based on a simplification to a 360-day year, consisting of 12 months of 30 days each. To derive such a calendar from the standard Gregorian calendar, certain days are skipped.

A duration is calculated as an integral number of days between between two dates A and B (where by convention A is earlier than B). There are two methods commonly available which differ in the way that they handle the cases where the months are not 30 days long:

* The European Method (30E/360) [ISMA book “Bond Markets: Structures and YieldCalculations”, ISBN 1 901912 02 7, and ISMA’s Circular 14 of 1997]
** If either date A or B falls on the 31st of the month, that date will be changed to the 30th;
** Where date B falls on the last day of February, the actual date B will be used.

* The US/NASD Method (30US/360) [http://www.sifma.org/services/publications/calculations-method-volume2.shtml Standard Securities Calculation Methods, Fixed Income Securities Formulas for Analytic Measures: Volume 2. New York, NY: Securities Industry Association] ]
** If both date A and B fall on the last day of February, then date B will be changed to the 30th.
** If date A falls on the 31st of a month or last day of February, then date A will be changed to the 30th.
** If date A falls on the 30th of a month after applying (2) above and date B falls on the 31st of a month, then date B will be changed to the 30th.

In both cases the difference between the possibly-adjusted dates is then computed by treating all intervening months as being 30 days long.

Other methods include the ISDA 360-day calendar, and the PSA 360-day calendar.

Standard software implementations

The 360-day calendar is implemented by the following spreadsheet functions.

See also

*365-day calendar

References