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Below are a list of all available day count conventions in the system and explanations on how they work.
In below formulas - Date1 should be viewed as the 'start date' and Date2 as 'end date' in the calculations.
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| Act/Act ISDA | Counts the actual days and years of all occasions. Formulas:  This convention accounts for days in the period based on the portion in a leap year and the portion in a non-leap year. The days in the numerators are calculated on a Julian day difference basis. In this convention the first day of the period is included and the last day is excluded. .NET Includes first day and excluding last day. 2019-12-31 – 2020-01-31 (1 day / 365) + (30 / 366) The CouponFactor uses the same formula, replacing Date2 by Date3. In general, coupon payments will vary from period to period, due to the differing number of days in the periods. The formula applies to both regular and irregular coupon periods. | Act/Act ISDA
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| Act/Act ICMA | Counts the actual days and years according to the act/act ICMA convention This method ensures that all coupon payments are always for the same amount. For irregular coupon periods, the period has to be divided into one or more quasi-coupon periods (also called notional periods) that match the normal frequency of payment dates. The interest in each such period (or partial period) is then computed, and then the amounts are summed over the number of quasi-coupon periods. It also ensures that all days in a coupon period are valued equally. However, the coupon periods themselves may be of different lengths; in the case of semi-annual payment on a 365-day year, one period can be 182 days and the other 183 days. In that case, all the days in one period will be valued 1/182nd of the payment amount and all the days in the other period will be valued 1/183rd of the payment amount. Ex for a broken period. The first interest period is from 2015-09-11 to 2016-02-29 which gives 171 days. If not broken period had occur that period would have been 182 days (150831-160229). Day conv will then be 171/364 days. Note, Fixing period 1M does not work wring days in February. Fixing period 6M or 1Y works fine! Task #46137 |
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| Act/365 F | Counts the actual days, but always uses 365 as denominator. Each month is treated normally and the year is assumed to be 365 days. For example, in a period from February 1, 2005 to April 1, 2005, the Factor is considered to be 59 days divided by 365. The CouponFactor uses the same formula, replacing Date2 by Date3. In general, coupon payments will vary from period to period, due to the differing number of days in the periods. The formula applies to both regular and irregular coupon periods |
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| Act/360 | Counts the actual days, but always uses 360 as denominator. Each month is treated normally and the year is assumed to be 360 days. For example, in a period from February 1, 2005 to April 1, 2005, the Factor is 59 days divided by 360 days. The CouponFactor uses the same formula, replacing Date2 by Date3. In general, coupon payments will vary from period to period, due to the differing number of days in the periods. The formula applies to both regular and irregular coupon periods. |
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| D30/360 ISDA Bond Basis | Counts days according to the 30/360 ISDA convention. This convention is exactly as 30/360 US below, except for the first two rules. Note that the order of calculations is important
Accrued interest will calculate at month end 28 days for February if you run month end on Feb 28th, 30 days if month end is run at 30th of April, 30th of June, 30th of Sept or 30th of November. If month end is run at a month end that has 31 days that month will be calculated as the month has 31 days. |
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| D30E/360 Eurobond | Counts days according to the 30E/360 convention. Often referred to as Eurobond Basis included in ISDA 2006.
Accrued interest will calculate at month end 28 days for February if you run month end on Feb 28th. All other months are calculated as the month has 30 days. |
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| D30/360 US | Counts days according to the 30/360 US convention. Date adjustment rules (more than one may take effect; apply them in order, and if a date is changed in one rule the changed value is used in the following rules):
Accrued interest will calculate at month end 30 days for February if you run month end on Feb 28th, 30 days if month end is run at 30th of April, 30th of June, 30th of Sept or 30th of November. If month end is run at a month end that has 31 days that month will be calculated as the month has 31 days. |
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| D30E/360 ISDA | Counts days according to the 30E/360 ISDA convention. Is the pre year 2000 Eurobond Basis. If (DAY1=31) or (DAY1 is the last day of February), Set D1=30 otherwise Set D1=DAY1 If (DAY2=31) or (DAY2 is last day of February but not the Termination date), Then set D2=30 Otherwise set D2=DAY2 Today no adjustments are made for termination date. Accrued interest will calculate at all months as they have 30 days so for example if month end is run at 28th of February the days will be calculated as February has 30 days. The same with the months that has 31 days. For example if month end is run at 31st of July all month from last payment date will be handled as they have 30 days. |
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The below list is day count conventions which is not available in the system because they are very
rare in the Nordics and we do not know any customers that have used them or uses them today.
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