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Year fraction formula

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

\[ t = \frac{nbj_{vd \to ncd}}{nbj_{pcd \to ncd}} \ \]

Symbols

\(nbj_{pcd→ncd}\ \)       
Number of days between the last coupon date and the next coupon date
\(nbj_{vd→ncd}\ \)       
Number of days between the value date and the next coupon date