360-day calendar
The 360-day calendar is a method of measuring durations used in financial markets, in computer models, in ancient literature, and in prophetic literary genres. It is based on merging the three major calendar systems into one complex clock, with the 360-day year as the average year of the lunar and the solar: [365.2425 (solar) + 354.3829 (lunar)] = 719.61 ÷ 2 = 359.8 days rounded to 360. It is a simplification to a 360-day year, consisting of 12 months of 30 days each. To derive such a calendar from the standard Gregorian calendar, certain days are skipped.
Contents
Ancient Calendars
Ancient calendars around the world initially used a 360 day calendar.
Rome
Romans initially used a calendar which had 360 days, with varying length of months.[1][2]
Egypt
Israelite
India
The Rig Veda describes a calendar with twelve months and 360 days.[3]
Mesoamerica
In the Mayan Long Count Calendar, the equivalent of the year, the tun, was 360 days.[4]
Financial use
A duration is calculated as an integral number of days between start date A and end date B. The difference in years, months and days are usually calculated separately:
There are several methods commonly available which differ in the way that they handle the cases where the months are not 30 days long, i.e. how they adjust dates:
- European method (30E/360)[5]
- If either date A or B falls on the 31st of the month, that date will be changed to the 30th.
- Where date B falls on the last day of February, the actual date B will be used.
- All months are considered to last 30 days and hence a full year has 360 days.
- US/NASD method (30US/360)[6]
- If both date A and B fall on the last day of February, then date B will be changed to the 30th.
- If date A falls on the 31st of a month or last day of February, then date A will be changed to the 30th.
- If date A falls on the 30th of a month after applying (2) above and date B falls on the 31st of a month, then date B will be changed to the 30th.
- All months are considered to last 30 days and hence a full year has 360 days.
- ISDA method
- If date A falls on the 31st of a month, then date A will be changed to the 30th.
- If date B falls on the 31st of a month and non-adjusted date A falls on the 30th, then date B will be changed to the 30th.
- All months are considered to last 30 days except February which has its actual length. Any full year, however, always counts for 360 days.
- PSA method
- If date A falls on the 31st of a month or last day of February, then date A will be changed to the 30th.
- All months are considered to last 30 days and hence a full year has 360 days.
If the start date of the period is either the 31st of a month or the last day of February, the start date is set to the 30th while if the start date is the 30th of a month and the end date is the 31st, the end date is set to the 30th. The number of days in a year is 360.
- Alternative European method (30E+/360)
- If date A falls on the 31st of a month, then date A will be changed to the 30th.
- If date B falls on the 31st of a month, then date B will be changed to the 1st of the following month.
- Where date B falls on the last day of February, the actual date B will be used.
- All months are considered to last 30 days and hence a full year has 360 days.
| Package | Function | Variant |
|---|---|---|
| Microsoft Excel and StarOffice/OpenOffice.org | DAYS360 | NASD, but not SIA-compliant)[8][9] |
| European | ||
| YEARFRAC | NASD and European | |
| SQL Server 2000 Analysis Services | Days360 | |
| Mathworks Financial Toolbox | days360 | US/NASD |
| days360e | European | |
| days360isda | ISDA | |
| days360psa | PSA | |
| Gnumeric | DAYS360 | |
| Apple Numbers | DAYS360 | |
| YEARFRAC |
See also
- 365-day calendar, another accounting calendar with fixed year length
- French Republican Calendar, a calendar with twelve 30-day months and five or six appended holidays
- Iranian calendars, where the Old Persian calendar had 360 days with an extra month added every 6 years
References
- ↑ Lua error in package.lua at line 80: module 'strict' not found.
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- ↑ ISMA book “Bond Markets: Structures and Yield Calculations”, ISBN 1-901912-02-7, and ISMA’s Circular 14 of 1997
- ↑ Standard Securities Calculation Methods, Fixed Income Securities Formulas for Price, Yield, and Accrued Interest: Volume 1, 1993, Jan Mayle, New York, NY: Securities Industry Association, ISBN 1882936019
- ↑ Accrual & Discounting Conventions
- ↑ See Microsoft Kb Article 916004. This bug is present in Excel versions 97 through 2007. This can be demonstrated by evaluating
DAYS360(DATE(2006,2,28), DATE(2007,2,28)); here years starting and ending on the last day in February only have 358 days. - ↑ Open Office is also not SIA-compliant, to maintain Excel compatibilitySee Issue 84934 — ODFF: DAYS360 compliance
