Day Count Conventions

Count of days in a year used to calculate the amortization.

 

Convention

Description

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
Was this article helpful?
0 out of 0 found this helpful