CFA Latest CFA Level 2 Discussions 365 vs 360 days

365 vs 360 days

  • This topic has 6 replies, 3 voices, and was last updated Apr-17 by vincentt.
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    • vincentt
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      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 LIBOR

      365 days:
      Derivatives Forward Contract

    • Sophie Macon
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      To add to 360 days – covered interest parity

    • Reena
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      Yup swaption is in my notes too for 360 days as you highlighted

    • vincentt
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      updated the list, anymore that I might have missed?

    • Sophie Macon
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      Interest rate cap or floors – 360 days

    • Sophie Macon
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      Think you’ve got it all covered @vincentt

    • vincentt
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      @sophie hmm so only the forward rate in derivatives that’s using 365 days?

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