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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  08 Apr 2017 at 11:13 am
  
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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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  08 Apr 2017 at 11:23 am
  
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  To add to 360 days – covered interest parity
- Reena
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  08 Apr 2017 at 11:24 am
  
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  Yup swaption is in my notes too for 360 days as you highlighted
- vincentt
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  08 Apr 2017 at 4:35 pm
  
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  updated the list, anymore that I might have missed?
- Sophie Macon
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  08 Apr 2017 at 4:47 pm
  
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  Interest rate cap or floors – 360 days
- Sophie Macon
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  08 Apr 2017 at 4:47 pm
  
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  Think you’ve got it all covered @vincentt
- vincentt
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  08 Apr 2017 at 5:09 pm
  
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  @sophie hmm so only the forward rate in derivatives that’s using 365 days?
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