SERVING THE QUANTITATIVE FINANCE COMMUNITY

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

### Rate Converstion Using Different Day Count and Frequency

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?

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

### Re: Rate Converstion Using Different Day Count and Frequency

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

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.

frolloos
Posts: 1566
Joined: September 27th, 2007, 5:29 pm
Location: Netherlands

### Re: Rate Converstion Using Different Day Count and Frequency

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

### Re: Rate Converstion Using Different Day Count and Frequency

Thank you so much Sakr and Frolloos!