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quant2015
Topic Author
Posts: 4
Joined: December 1st, 2015, 3:59 am

Rate Converstion Using Different Day Count and Frequency

May 15th, 2018, 5:38 pm

Can anyone help on this question? I failed to find any public material discussing this topic.

I have rate, say 5%, quoted in Monthly payment, using Actual/360 basis. Now, I need to convert it to an equivalent rate, quoted in Semi-Annual payment, using 30/360 basis. How should I tackle this?
How about convert semi-Annual payment, actual/365 basis?
 
User avatar
quant2015
Topic Author
Posts: 4
Joined: December 1st, 2015, 3:59 am

Re: Rate Converstion Using Different Day Count and Frequency

May 15th, 2018, 5:39 pm

Can anyone help on this question? I failed to find any public material discussing this topic.

I have rate, say 5%, quoted in Monthly payment, using Actual/360 basis. Now, I need to convert it to an equivalent rate, quoted in Semi-Annual payment, using 30/360 basis. How should I tackle this?
How about convert semi-Annual payment, actual/365 basis?
 
sakr
Posts: 4
Joined: October 3rd, 2017, 11:48 am

Re: Rate Converstion Using Different Day Count and Frequency

May 16th, 2018, 8:41 am

Hey, please find the answer here (in Excel): http://sakr.co/RateConv.xlsx
Say: 
i is annual rate
c is continuous rate
s is semi-annual rate
q is quarterly rate
m is monthly rate

then the rule is:

exp(c) = 1 + i = (1 + s/2)^2 = (1 + q/4)^4 = (1+m/12)^12 .. and so on.

I hope this helps.
 
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frolloos
Posts: 1566
Joined: September 27th, 2007, 5:29 pm
Location: Netherlands

Re: Rate Converstion Using Different Day Count and Frequency

May 16th, 2018, 12:10 pm

 
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quant2015
Topic Author
Posts: 4
Joined: December 1st, 2015, 3:59 am

Re: Rate Converstion Using Different Day Count and Frequency

May 16th, 2018, 1:47 pm

Thank you so much Sakr and Frolloos!
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