Day Count Convention - BT Excel 3_a_9_int rate futures set

[notjusttp]

Hi David,

Page 130 of Hull states under Business Snapshot 1 that given an option bet US Govt and Corp bond for period Feb 28 till Mar 1; we should go for corp bond under 30/360 day count as the no of days calculated are 3 and accrued int is higher. Kindly clarify on

1)When i inputted the same details in your excel sheet 3_a_9_int rate futures set , i got the same result for both the conventions as attached in the excel sheet. and there is no difference in AI pls clarify.

Thanks & Rgds
Amit

 

[David Harper CFA FRM]

Hi Amit,

The XLS uses DAYS360() function, and i didn't realize until you've pointed out this example, it's not foolproof to February...it's just not that "smart"...if i get some time, i will see if i can replace with a more robust formula, thanks!

David