360-day calendar

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The 360-day calendar is a method of measuring durations used in financial markets and in computer models which is based on 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.

A duration is calculated as an integral number of days between between two dates A and B (where by convention A is earlier than B). There are two methods commonly available which differ in the way that they handle the cases where the months are not 30 days long:

The European Method (30E/360)^[1]
- 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.

The US/NASD Method (30US/360)^[2]
- 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.

In both cases the difference between the possibly-adjusted dates is then computed by treating all intervening months as being 30 days long.

Other methods include the ISDA 360-day calendar, and the PSA 360-day calendar.

[edit] Standard software implementations

The 360-day calendar is implemented by the following spreadsheet functions.

Package	Function
Microsoft Excel	DAYS360 (not SIA-compliant)^[3]
StarOffice/OpenOffice.org	DAYS360 (also not SIA-compliant, to maintain Excel compatibility)^[4]
SQL Server 2000 Analysis Services	Days360
Mathworks Financial Toolbox	days360 (US/NASD)
Mathworks Financial Toolbox	days360e (European)
Mathworks Financial Toolbox	days360isda (ISDA)
Mathworks Financial Toolbox	days360psa (PSA)
Gnumeric	DAYS360