## ACT 365CA

Subtype of NameActual/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

**be the period between two dates**

*[T₁,T₂)***and**

*T₁***, of which the length**

*T₂***in annual units must be calculated**

*L*Calculation rule:

Let

**be the actual number of days of the period**

*N***, formally defined as the difference:**

*[T₁,T₂)*

*T₂ - T₁*Let

**be the actual number of days of the corresponding reference period, i.e. the period between the reference dates.**

*R*Let

**be the annual payment frequency (or number of coupon periods per year). For example**

*f***for semi-annual bonds.**

*f = 2*We distinguish 2 cases:

**If**

*i)***then**

*N < 365/f*

*L = N/365***If**

*ii)***then the length is**

*N >= 365/f*

*1/f - (N-R)/365*The frequency

**is implied from a given pair of reference dates as follows:**

*f*First the number of months

**is calculated as the integer part of**

*m*

*0.5 + 12R/365*Then

**is set equal to the integer part of**

*f*

*12/m*