Basis - DRV 30/360 Author: Financial-edu.com
Basis is a multiplier used to calculate the total interest paid or received in a defined time period. It is typically used in accounting and valuation for bonds, swaps, dividends, project finance, and other investments with periodic cash flows. Basis is also known as the "day count convention" because it defines how days in a year are treated for calculation purposes in different parts of the world.
DRV 360/360 This applies to German market convention swap trades. Like the 30/360E basis, the DRV 360/360 basis is calculated as follows: 30 days/month N = (D2 - D1) + 30 x (M2 - M1) + 360 x (Y2 - Y1) Where: D1, M1, Y1 = day, month and year of the earlier date D2, M2, Y2 = day, month and year of the later date If D1 or D2 is 31, then the value 30 is used instead. Thus, on the 31st of a month, the number of accrued interest days is the same as it is on the 30th day. For the DRV 360/360 basis the last day of February is always treated as the 30th day of the month. |