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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: here

*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 correspond to the start and end of the respective coupon period.

Calculation rule: here

*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*