3 ms·

More realistic examples: loans, fx swaps, or anything related to interest rates.

• bruceboughton 16y ago
  "Day Count Conventions" http://en.wikipedia.org/wiki/Day_count_convention http://en.wikipedia.org/wiki/Day_count_convention
  • nandemo 16y ago
    Care to elaborate? I'm aware there are conventions, but can't see how they help when you're compounding daily and a day disappears. Say Bank A lends $10M to Bank B on Monday at 0.1% per day. On Tuesday B pays $1k to A. The following day is a Thursday. How much B owes A? $1k or $2k? $1k sounds reasonable but unless you modify your date library you'll probably get $2k.
    • nandemo 16y ago
      typo: I meant 0.01% per day.