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Mastering Financial Calculations: A step-by-step guide to the mathematics of financial market instruments, Second edition by Bob Steiner

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Appendix 2. A summary of market day/year conventions for money markets and government bond markets

Instrument

Day/year basis

Yield or discount

Australia

  

Money market

ACT/365

Y

Bond (semi-annual coupons)

ACT/ACT

 

Austria

  

Money market

ACT/360

Y

Bond (annual coupons)

ACT/ACT

 

Belgium

  

Money market

ACT/360

Y

OLO (annual coupons)

ACT/ACT

 

Canada

  

Money market

ACT/365

Y

Bond (semi-annual coupons)

ACT/365 (accrued coupon)

 
 

ACT/ACT (dirty price calculation)

 

Denmark

  

Money market

ACT/360

Y

Bond (annual coupons)

ACT/ACT

 

Eire

  

Money market

ACT/360

Y

Bond (annual and semi-annual coupons)

ACT/ACT[1]

 

Finland

  

Money market

ACT/360

Y

Bond (annual coupons)

ACT/ACT

 

France

  

Money market

ACT/360

Y

OAT, BTAN (annual coupons)

ACT/ACT

 

Germany

  

Money market

ACT/360

Y

Bund, OBL (annual coupons)

ACT/ACT

 

Italy ...

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