30E 360

Subtype of Name

European convention
Also known as 30E/360, or Eurobond Basis
Let [T₁,T₂) be the period between two dates T₁ and T₂, of which the length L in annual units must be calculated
Calculation rule:
Let N be the effective number of days of the period [T₁,T₂), formally defined as the difference: T'₂ - T'₁, with the effective starting date T'₁ and ending date T'₂ differing from T₁ and T₂ in the following occations:
If T₁ (respectively T₂) occurs on the 31ˢᵗ of a month, then T'₁ (respectively T'₂) becomes equal to the 30ᵗʰ of the same month.
Then
L = N/360