and D1 is the last day of February, change D2 to 30. 2. If the bond follows the End-of-Month rule and D1 is the last day of February, change D1 to 30. 3. If D2 is 31 and D1 is 30 or 31, change D2 to 30. 4. If D1 is 31, change D1 to 30.   Once these adjustments are made, the formula for calculating the number of days between two dates is as follows:   Number of days = [(Y2 - Y1) ´ 360] + [(M2 - M1) ´ 30] + (D2 - D1)   To illustrate the 30/360 day count convention, lets use a 4% coupon bond which matures on August 15, 2003, issued by Fannie Mae. The Bloomberg Security Description (DES) screen for this bond is presented in Exhibit 2.6. We see that in the "Security Information" box that the bond has a 30/360 day count. Suppose the bond is purchased with a settlement date of September 11, 2001. We see from the lower left-hand corner of the screen that the first coupon date is February 15, 2002 and the first interest accrual date is August 27, 2001. How many days have elapsed in the first coupon period from August 27, 2001 until the settlement date of September 11, 2001 using the 30/360 day count convention? Referring back to the 30/360 day count rule, we see that adjust- ments 1 through 4 do not apply in this example so no adjustments to D1 and D2 are required. Accordingly, in this example,   Y1 = 2001 M1 = 8 D1 = 27 Y2 = 2001 M2 = 9 D2 = 11   Inserting these numbers into the formula, we find that the number ofdaysbetweenthesetwodatesis 14, which is calculated as follows:     5See, Mayle, Standard Securities Calculation Methods, Volume 2. 6This is the standard convention for bonds in the U.S. and it states that if a bonds maturity date falls on the last day of the month so do the bonds coupon payments.       Number of days = [ ( 2000 - 2000 ) ´ 360 ] + [ ( 9 - 8 ) ´ 30 ] + ( 11 - 27 ) = 0 + 30 + ( -16 ) = 14   To check this, lets employ Bloombergs DCX (Days Between Dates)