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Q-168.5. If French money market instrument pays in Euros with an interest rate of 5.0% per annum with (discrete) annual compounding and under an actual/360-day count (ACT/360) convention, what is the equivalent rate under continuous compounding under an actual/365 day count? | Financial Risk Manager Part 1 Quiz - LeetQuiz

Explanation:

Convert from discrete annual compounding under ACT/360 to continuous compounding under ACT/365:

$\frac{365}{360} \times \ln(1 + 5\%) = 4.947\%$

So the equivalent continuous ACT/365 rate is 4.947%.

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Q-168.5. If French money market instrument pays in Euros with an interest rate of 5.0% per annum with (discrete) annual compounding and under an actual/360-day count (ACT/360) convention, what is the equivalent rate under continuous compounding under an actual/365 day count?