A simple question on Daycount

Ghostface · March 7th, 2007, 2:31 pm

"30/360; Modified Following; Adjusted"When using the above convention, why is it adjusted and not unadjusted ? - Can someone please explain when I should use adj and when I should use unadj ? Even better would be a link to a site or a book where I can read about this fundamental principle that I seem to have missed!Thanks

sportbilly · March 7th, 2007, 6:32 pm

Adjusted / undajusted means the coupon amount is adjusted (or not) whenever the date falls on a non-working date.If the coupon is adjusted and the date falls on a Saturday (with ModFoll), then the coupon is paid on Monday (assuming it doesn't take it to the following month) and the coupon amount is larger than if (all else equal) it were to fall on a Friday.