How many days in a year?

CFA Level II
#1

Can someone please help me find a way to remember when to use 360 days and when to use 365? Every time I think I have it, I get bitchslapped.

#2

me too…

#3

Hi, For all LIBOR based quotes use 360 days ( FRA, Swaps, Caps, Floors).

#4

But also for f/x calcs, right?

#5

so why do we use 360 for f/x? anyone know?

#6

A friend who attended Schweser classes told me: For Bonds (in general any financial instrument with a maturity) - 360 For rest (like equities) - 365

#7

FX - 365

#8

What about leap years?

#9

currency forwards use 360 days, right? or does schweser have a massive error?

#10

This 360 vs 365 classifiaction was never clear to me at L1, is not clear now and will never be clear when I probably give the L3. Can somebody please list out all the possible securities and the multiplier we use, so that we could just hang them up at my office desk and …

#11

On Asian securities remember to adjust for the Chinese Calendar Year. Adjusted Rate = Annualized Rate / e^YOTR where YOTR = Year of the Rat On a more serious note: LIBOR is treated as a bond so bond and libor = 360 All other securities including FX = 365

#12

i don’t even really know which i had been using but i’ve done relatively well on fx… was never a problem til i saw this thread and started thinking about it. (that’s a good thing) and now i am staring at currency forwards in my secret sauce as well as online, and they are using 360 day convention. someone slap me and tell me where i’m going wrong.

#13

You know, now I’m not sure. Thanks CFASF1, thanks. Anyone want to shed some light on the currency forward / fx thing?

#14

dudes, 360 and 365 won’t make too much difference. just use 360 IMHO

#15

The examples in CFAI text use 365 as base for FX in the readings regarding pricing of futures. Generally speaking anything LIBOR based uses 360 (FRA, Swap). I do like the year of the rat comment. Well done.

#16

LIBOR is bank based, from what I remember at level I pretty much anything that had to due with a bank was 360. I haven’t started derivatives yet though. Maybe today!

#17

lxwqh Wrote: ------------------------------------------------------- > dudes, 360 and 365 won’t make too much difference. > just use 360 IMHO I remember in the CFAI text practice Q’s the answers were such that it did make the difference.

#18

Lichi Wrote: ------------------------------------------------------- > A friend who attended Schweser classes told me: > > For Bonds (in general any financial instrument > with a maturity) - 360 > For rest (like equities) - 365 this seems like a good summary. Lichi are you absolutely positive???

#19

FastEd and my summaries are correct, just use that, its really not difficult.

#20

If CFAI gives us two answers where 360 or 365 makes a difference, we all have bigger problems.