this might be a bit simple but I do not remember when to raise a rate to (t/360) versus multiplying by (t/360). I am currently doing forwards and I am loosing my sanity.
i’m one reading ahead of you, epoh. futures will be even worse because it’s kinda similar, but it’s not! hahaha. i suggest you get a blank piece of paper and write down all the formulas for the different types of scenarios. then reference your personal formula sheet and eventually you will remember all the nuances. good plan?
I think for LIBOR based forwards you multiply, and with treasuries you raise it. I’m pretty sure at least, but it’s been a while since I’ve read that reading. Hopefully someone can confirm it.
- multiply by 360/n only for forward premiums and discounts and for any questions involving libor (in libor, to un-annualize you’d multiple by n/360) - everything else is t/365 (never use t/360)
There’s one more small confusion for me: They say 3 months or 9 months and they mean 90/365 or 270/365 . Numerator follows a times 30 principle while denominator is ALWAYS 365 , except where it says use a Days 360 or a LIBOR convention. I frequently start by dividing 3 by 12 or 9 by 12 . In fact in the Futures chapter , they will say 18 months and mean T=1.5 , not 18*30/365 . Endless confusion for me. You have to almost remember which chapter the question could be from and FOLLOW THAT Particular convention