Vodafone issued on 1st Jan 2012
Price- £ 98.79 SA; FV: £ 100
Coupon-7.7 %
JPM purchases 5,000 the same on 1st Jan 12 and sells to DB on 4th April 2013.
DCC-ACT/ACT
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Day count conventions are a way to agree between parties how interest is calculated for an instrument. It is, therefore, as simple as possible given some constraints.
An Act/360 convention is ActualDays/360, where 'actual' means days on the calendar, including counting weekend days, holidays etc. So 181 days is always 0.502777.. in Act/360.
Other conventions like Bond basis are more complex, but satisfy other requirements like calendar 3 or 6m periods always having even fractions like 1/4 or 1/2 and thus making coupons equal (and generally round numbers) throughout the regular portion of a bond.
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