- This topic has 6 replies, 3 voices, and was last updated Apr-17 by
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Up2
Just wondering if any of you already have a ‘cheat sheet’ on when to use 365 and 360 days in the calculation and don’t mind sharing.
So far this is what i’ve got:
360 days:
FRA (Forward Rate Agrement)
Economic’s Forward Contract (Covered/Uncovered Interest Parity)
Swaps or pretty much whenever there’s LIBOR365 days:
Derivatives Forward Contract -
Up5
To add to 360 days – covered interest parity
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Up5
updated the list, anymore that I might have missed?
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Up4
Interest rate cap or floors – 360 days
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Up0
Yup swaption is in my notes too for 360 days as you highlighted
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