Day Count Conventions

Actual/Actual

• Actual count of days in the period
• Assuming there are 365 days in a year and 366 days in a leap year
• Exists in different conventions:
  • AFB
  • ISDA
  • ISMA

Actual/360

• Actual count of days in the period
• Assuming there are 360 days in a year

Actual/365 Fixed

• Actual count of days in the period
• Assuming there are 365 days in a year

Actual/365L

• Actual count of days in the period
• Assuming there are 365 days in a year and 366 days in a leap year

Actual/366

• Actual count of days in the period
• Assuming there are 366 days in a year

BUS/252

• Usually used in Brazilian contracts and indexes
• Actual count of business days in the period
• Assuming there are 252 business days in the year

30/360

• Assuming there are 30 days in a month
• Assuming there are 360 days in a year
• Exists in different conventions:
  • EU
  • IT
  • US

30/360 ISDA

• Assuming there are 30 days in a month
• Assuming there are 360 days in a year and 366 days in a leap year

365/360

• Assuming there are 365 days in the period
• Assuming there are 360 days in a year