Year fraction formula (ID: 125) [Edit]
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