DayCount__Name

Available

US (NASD) convention

Also known as "30/360", "360/360", or "Bond Basis".

Calculation rule: Divide N by 360, where N is the number of days within the referenced period 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.

European convention

Also known as "30E/360", or "Eurobond Basis".

Calculation rule: Divide N by 360, where N is the number of days within the referenced period 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.

Italian convention.

Calculation rule: Divide N by 360, where N is the number of days within the referenced period 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.

Actual/360 convention, also known as "Act/360", or "A/360".

Calculation rule: Divide N by 360, where N is the actual number of days within the referenced period.

Actual/365 convention, also known as "Act/365 (Fixed)", "A/365 (Fixed)", or "A/365F".

Calculation rule: Divide N by 365, where N is the actual number of days within the referenced period.

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.

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: Compute the sum N1/366 + N2/365, where

N1 = actual number of days within the accrual period that fall in a leap year

N2 = actual number of days within the accrual period that fall in a normal year

The AFB convention, also known as "Actual/Actual Euro".

Calculation rule: here

The ISMA and US Treasury convention, also known as "Actual/Actual Bond" and "Actual/Actual ISMA".

Calculation rule: here