Introduction
The interest calculation method is defined by the quotient DAYS/DAY BASIS. This is a factor of the percentage calculation that determines the percentage calculation for a specific period. The following interest calculation variants are available:
- Linear interest calculation:
Amount = calculation base * percentage rate / 100 * DAYS / DAY BASIS - Exponential interest calculation:
Amount = Calculation base * (q ** (DAYS / DAY BASIS) - 1)
where- q = 1 + percentage rate / 100 (compounding factor)
- ** = the power operator
In the Money Market, Derivatives, Securities and Loans areas, you can use the Type of interest calculation indicator in the conditions to choose between linear and exponential interest.
DAYS Calculations
The DAYS used is number of days of corresponding calculation period. The following lists the different calculation methods for determining the number of days.
|
DAYS |
Definition |
Example |
|
'Act' |
The actual number of days (calendar days) between the two dates is calculated. |
|
|
'ActW' |
The number of working days in an interest calendar between the two dates is calculated. |
|
|
'360' |
The number of days between the dates M1/D1/Y1 and M2/D2/Y2 is calculated on the basis of (Y2 - Y1) * 360 + (M2 - M1) * 30 + (D2 - D1). The month is calculated using 30 days and the 31st of each month is ignored for interest calculation purposes. |
03/31 incl. to 04/02 incl. = 2 days |
|
'360E' |
The number of days between the dates M1/D1/Y1 and M2/D2/Y2 is calculated on the basis of (Y2 - Y1) * 360 + (M2 - M1) * 30 + (D2 - D1). The month is calculated using 30 days and the 31st of each month is considered to be the 30th, i.e. the 31st in D1 and D2 is reset to the 30th. This method is used on the Euromarkets. |
03/31 incl. to 04/02 incl. = 3 days |
|
'365' |
The system calculates the actual number of calendar days between two dates, without including 02/29 in a leap year. As a result, each calendar year is taken to have 365 days. |
|
DAY BASIS Definitions
|
DAY BASIS |
Definition |
Example |
|
'360' |
Based on a year with 360 days. |
|
|
'364' |
Based on a year with 364 days |
|
|
'365' |
Based on a year with 365 days. |
|
|
'366' |
Based on a year with 366 days. |
|
|
'252' |
Based on a year with 252 days |
|
|
'ActP' |
The addition "P" stands for "period" and indicates that the actual number of days in a period is used for the calculation. The days in the period are multiplied by the number of periods per year to give a figure for the year. |
Interest calculation method: Act/ActP |
|
'ActY' |
The addition "Y" stands for "year" and indicates that the actual number of days in the year is used for the calculations (366 days in a leap year, otherwise 365). If the calculation period spans two years, and one of these years is a leap year, the calculation is split into two parts. |
Interest calculation method: Act/ActY |
|
'ActE' |
The addition "E" stands for "euro". The calculation uses 366 days if the period includes February 29th, and otherwise 365. |
|
Combinations of DAYS / DAY BASIS supported:
|
DAYS |
/ |
DAY BASIS |
|
360E |
/ |
360 |
|
360E |
/ |
365 |
|
360 |
/ |
360 |
|
365 |
/ |
360 |
|
365 |
/ |
365 |
|
Act |
/ |
360 |
|
Act |
/ |
364 |
|
Act |
/ |
365 |
|
Act |
/ |
366 |
|
Act |
/ |
ActP (ISMA) |
|
Act |
/ |
ActY (ISDA) |
|
Act |
/ |
ActE (AFB) |
|
ActW |
/ |
252 |
