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*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**

Actual/365 convention for Canadian bonds.

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 = 2*for 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**

Brazilian Business 252

Calculation rule:

Let *N* be the number of business (market) days according to Brazilian calendar of the period, the length of which must be calculated

*L = N/252*

**NL/365**

Actual/365 No leap year.

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 leap day (29th Feb) does not fall within the accrual period then actual number of days within the accrual period otherwise, actual number of days within the accrual period -1

*L = N/365*