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Choosing Day Count Conventions for Indian Financial Calculations

Article Quant Q&A · Author: Roshan Yadav
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Summary

The document separates India’s fiscal calendar from the conventions used to accrue interest. It notes that QuantLib includes an Indian market calendar, but that this calendar identifies holidays and business days rather than defining a fiscal-year-based day count. The fiscal year beginning in April does not by itself determine how elapsed days should be converted into interest accrual.

For government securities, the response cites a Reserve Bank of India convention of 30/360 and advises selecting the day-count method that matches the instrument and use case. It does not establish that this convention applies to every Indian financial calculation, nor does it supply an implementation for a custom fiscal-year calculation. Users should verify the applicable market or contract rules before choosing a convention.

Key ideas

  • A market calendar and a day-count convention serve different purposes.
  • QuantLib's Indian calendar represents the relevant market calendar, not a fiscal-year accrual rule.
  • The document reports 30/360 for Indian government securities based on cited central bank guidance.
  • Day-count selection depends on the instrument and its governing rules.

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Fixed incomeStatistics
Full text
# Does QuantLib have a DayCount convention that supports India financial year calculations?


# Does QuantLib have a DayCount convention that supports India financial year calculations?












I'm currently using QuantLib to perform financial calculations in my application, but I'm having trouble finding a DayCount convention that supports the India financial year calendar (April 1 to March 31).

I've tried using the Actual/365 (Fixed) convention, but this assumes a calendar year of January 1 to December 31. I've also looked into the Actual/Actual (ISDA) convention, but I'm not sure if this is appropriate for India financial year calculations.

Does anyone know if QuantLib has a DayCount convention that supports India financial year calculations? If not, what would be the best approach to implement this in my application?

Thanks in advance for any help or guidance you can provide!

## Answer by Hans-Peter Schrei (score 2)

https://quant.stackexchange.com/a/74891

To my understanding, QuantLib does not have a notion of a fiscal year. It does implement an Indian calendar, which is the calendar used by the National Stock Exchange of India and which can be initialized via

Calendar myCal=India();

In terms of the day count convention you would then have to find the appropriate one for your specific use case. For government securities, the Reserve Bank of India states that the day count convention is 30/360 [1].

In general it is not clear to me how the fiscal year and the day count convention are connected, as one could look at companies with varying fiscal year start and end periods, but with the same day count convention.

[1] https://web.archive.org/web/20211016190925/https://m.rbi.org.in/scripts/PublicationsView.aspx?id=9488

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.