Wikipedia:
Day count convention
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The day count convention is used in many other formulae in financial mathematics as well.
Contents
1 Development
2 Definitions
3 30/360 methods ...
Of course, each payment depends on the rate, the relevant day count convention, the length of the accrual period, and the notional amount. synthetic IO-ette A REMIC (q.v.) bond with a small principal amount and a huge coupon rate.
Floating-rate securities generally use a month/year day count convention of 30/360, actual/360 or actual/actual to calculate the number of days in the interest payment period.
"LIBOR + x basis points", when talking about a bond, means that the bond's cash flows have to be discounted on the swaps' zero-coupon yield curve shifted by x basis points in order to equal the bond's actual market price. The day count convention ...
 See also: Interest, Coupon, Bonds, Market, Income
  
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