Year fraction formula

Tag: time value of money

Description of the Year fraction formula

Formula for the calculation of a year fraction, for example for discounting cash flows of interest rate products.

Formula

t = \frac{n b j_{v d \to n c d}}{n b j_{p c d \to n c d}}

Symbols

n b j_{p c d \to n c d}

Number of days between the last coupon date and the next coupon date

n b j_{v d \to n c d}

Number of days between the value date and the next coupon date

Additional information related to this formula

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