What is the days counting methodology for Treasury bonds?

The days counting methodology for Treasury bonds is based on the Actual/Actual method, which means that the actual number of days between coupon payment dates is counted, and a year is considered to have 365 days, or 366 days in a leap year. This method provides a precise way to calculate interest accrual based on the actual time that has elapsed since the last coupon payment.

Using Actual/Actual allows for accurate interest calculations that reflect the calendar, which is particularly important for fixed-income securities like Treasury bonds where interest payments are predictable and regular. This method ensures that payments reflect the true time interval between coupon payments, making it more accurate than simplified methods that assume a constant number of days per month.

Other methodologies, such as 30/360, involve more assumptions that can lead to less accuracy in interest calculations, meaning they are not suitable for Treasury bonds, which rely on actual time.