The convention for calculating interest on an interest rate derivative is to multiply the notional amount times the payoff function times 90 over 360 or 365.

Question

Quizplus · Accepted Answer

The convention for calculating interest on an interest rate derivative typically involves multiplying the notional amount by the interest rate and the actual number of days in the period over 360 or 365, not by a fixed 90 days.

The Convention for Calculating Interest on an Interest Rate Derivative