30 360(Bond)Subtype of
Bond Basis convention
Also known as US (ISMA)
Let [T₁,T₂) be the period between two dates T₁ and T₂, of which the length L in annual units must be calculated
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 occurs on the 31ˢᵗ of a month, then T'₁ becomes equal to the 30ᵗʰ of the same month.
If T₂ occurs on the 31ˢᵗ of a month and T₁ is the 30ᵗʰ or 31ˢᵗ of any month, then T'₂ becomes equal to the 30ᵗʰ of the same month.
L = N/360