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DayCount__Name

Name refers to Name associated with a predefined convention for calculating the time interval in annual units between any two dates.
Available Name types:
30/360
US (NASD) convention
Also known as 30/360, 360/360, or Bond Basis
Calculation rule:
Let N be the number of days of the period, the length of which must be calculated, counted using the following rule:
If the ending date is the 31st of a month and the starting date is earlier than the 30th of a month, the ending date becomes equal to the 1st of the next month, otherwise the ending date becomes equal to the 30th of the same month.
L = N/360

30E/360
European convention
Also known as 30E/360, or Eurobond Basis
Calculation rule:
Let N be the number of days of the period, the length of which must be calculated, counted using the following rule:
Starting dates or ending dates that occur on the 31st of a month become equal to the 30th of the same month.
L = N/360

30IT/360
Italian convention.
Calculation rule:
Let N be the number of days of the period, the length of which must be calculated, counted using the following rule:
Starting dates or ending dates that occur on February and are greater than 27 become equal to 30 for computational shake.
L = N/360

ACT/360
Actual/360 convention, also known as Act/360, or A/360
Calculation rule:
Let N be the actual number of days of the period, the length of which must be calculated.
L = N/360

ACT/365CA
Note this convention requires the knowledge of a pair of reference dates beyond the start and end of the accrual period, which correspond to the start and end of the respective coupon period.
Calculation rule:
Let N be the actual number of days of the interest accrual period, the length of which must be calculated.
Let R be the actual number of days of the corresponding reference period, i.e. the period between the reference dates.
Let f be the annual payment frequency (or number of coupon periods per year). For example f = 2for semi-annual bonds.
We distinguish 2 cases:
i)If N < 365/f then L = N/365
ii)If N >= 365/f then the length is 1/f - (N-R)/365
The frequency f is implied from a given pair of reference dates as follows:
First the number of months m is calculated as the integer part of 0.5 + 12R/365
Then f is set equal to the integer part of 12/m

ACT/365F
Actual/365 convention, also known as Act/365 (Fixed), A/365 (Fixed), or A/365F
Calculation rule for length L
Let N be the actual number of days of the period, the length of which must be calculated.
L = N/365
Warning: According to ISDA, "Actual/365" (without "Fixed") is an alias for "Actual/Actual (ISDA)" (see ActualActual.)
If Actual/365 is not explicitly specified as fixed in an instrument specification, you might want to double-check its meaning.

ACT/ACT
The ISDA convention, also known as Actual/Actual (Historical), Actual/Actual, Actual/Actual ISDA, and according to ISDA also Actual/365, Act/365, and A/365
Calculation rule:
Let N₁ be the actual number of days of the period, the length of which must be calculated, that happen to fall in a leap year
Let N₂ be the actual number of days of the period, the length of which must be calculated, that happen to fall in a normal year
L = N1/366 + N2/365

ACT/ACT(AFB)
The AFB convention, also known as Actual/Actual Euro
Calculation rule:
Let [T₁,T₂) be the period between two dates T₁ and T₂, the length of which must be calculated
Let N be the number of days of [T₁,T₂), with T₁ included and T₂ excluded.
Let N' be some specially defined nominal number of days of [T₁,T₂), calculated as follows:
If the period [T₁,T₂) does not exceed one year, N' equals either 366 or 365 depending on whether the leap day 29 Feb is in [T₁,T₂) respectively, whereby the last date T₂ is not considered.
If the period [T₁,T₂) exceeds one year, the calculation is split into two parts:
1) The number of complete years, counted back from T₂
2) The remaining initial stub, calculated using the basic rule.

ACT/ACT(ICMA)
The ISMA and US Treasury convention, also known as Actual/Actual Bond and Actual/Actual ISMA
Note this convention requires the knowledge of a pair of reference dates beyond the start and end of the accrual period, which - in the bond case - correspond to the start and end of the respective coupon period.
It also leads to fixed coupon amounts for full accrual periods, even when the corresponding number of days are not constant.
Calculation rule:
Let [T₁,T₂) be the period between two dates T₁ and T₂, the length of which must be calculated
Let N be the number of days of [T₁,T₂), with T₁ included and T₂ excluded.
Let [T₁',T₂') be the reference period, as defined by two additional optional dates T₁' and T₂' that by default (if omitted) equal the dates T₁ and T₂
Let N' be the number of days of [T₁',T₂'), with T₁' included and T₂' excluded.
Let f be frequency (coupons per year in the bond case) found by rounding the fraction 12N'/365 to the closest integer.
Then:
L = N/(fN')
In case of an existing schedule of cash flows such as that of a bond or swap, the dates T₁', T₂' are implied by that schedule.
If the period [T₁,T₂) represents a front stub period of that schedule, the date T₁' is not part of the given schedule, but is nominally calculated by subtracting the regular schedule's period from T₂
If the period [T₁,T₂) represents a back stub period of that schedule, the date T₂' is not part of the given schedule, but is nominally calculated by adding the regular schedule's period to T₁

Bus/252BR