a 26-Week U.S. Treasury Bill       Source: Bloomberg Financial Markets   Actual/360 Actual/360 is the second type of day count convention. Specifically, Actual/360 specifies that each month has the same number of days as indicated by the calendar. However, each year is assumed to have 360 days regardless of the actual number of days in a year. Actual/360 is the day count convention used in U.S. money markets. Lets illustrate the Actual/360 day count with a 26-week U.S. Treasury bill which matures on March 7, 2002. The Bloomberg Security Display (DES) screen for this security is presented in Exhibit 2.3. From the "Security Information" box on the left-hand side of the screen, we see that the day count is specified as "ACT/360." Suppose this Treasury bill is purchased with a settlement date on September 11, 2001 at a price of 98.466. How many days does this bill have until maturity using the Actual/360 day count convention? Once again, the question is easily answered using Bloombergs DCX (Days Between Dates) function and specifying the two dates of interest. This screen is presented in Exhibit 2.4. We see that with a settlement date of September 11, 2001 there are 177 calendar days until maturity on March 7, 2002. This can be confirmed by examining the Bloombergs YA (Yield Analysis) screen in Exhibit 2.5. We see that with a settlement date of September 11, 2001 this Treasury bill has 177 days to maturity. This infor- mation is located just above the "Price" box in the center of the screen.     EXHIBIT 2.4 Bloomberg DCX (Days Between Dates) Screen       Source: Bloomberg Financial Markets   EXHIBIT 2.5 Bloomberg Yield Analysis for a 26-Week U.S. Treasury Bill       Source: Bloomberg Financial Markets     When computing the number of days between two dates, Actual/360