Derivatives · glossary
How a period's days are counted against a 360-day year. On this file every full quarter counts as 90 days (30/360), so a quarter's payment is a quarter of a year's, and the loan counts the same way. Default interest counts the actual days (actual/360). Rate Definitions: Day Count Fraction · Chapter 2 · Chapter 7
Explained in Chapter 2, The Swap, Line by Line, of Derivatives.
The main page for this term is Day count (actual/360), in Finance Deals & Syndicated Lending.
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