250/360/365

reg · May 31, 2009, 11:06am

can we have a summary post detailing what are the number of annual days to use in each topic? Will we get penalised if we use the “wrong” number of days?

sebrock · May 31, 2009, 11:40am

Forwards A/365 compouned Futures A/365 compounded Swaps 30/360 not compounded FRA’s 30/360 not compunded I think…

faraz70s · May 31, 2009, 1:20pm

i think this will be given in the question

Chi_Paul · May 31, 2009, 2:34pm

Doubt it will be given in the question, at least no overtly. The only place I recall seeing the 250 is for a calculation of daily volatility in fixed income?? I believe sebrock is correct, the key is really LIBOR. When you see LIBOR, go with 360, pretty sure everything else is 365.