ACT 365CA

Subtype of Name

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.
Let [T₁,T₂) be the period between two dates T₁ and T₂, of which the length L in annual units must be calculated
Calculation rule:
Let N be the actual number of days of the period [T₁,T₂), formally defined as the difference: T₂ - T₁
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