Day count conventions supported by LUSID

  • Updated on Oct 6, 2025
  • Published on Aug 20, 2024
Prev Next

You must specify a day count convention when you create a flow convention and/or an index convention to calculate a precise number of days between two dates.

The number of days helps determine how much gets paid in cashflows distributed by certain types of instrument.

Note the following:

  • If you specify an alias name (see table below), LUSID stores and returns the primary name. For example, if you create a flow convention with dayCountConvention set to Act360 then LUSID stores and returns Actual360.

  • You must specify a tenor for the paymentFrequency field that LUSID uses to determine the number of payments per year, so for example a tenor of:

    • 1M yields twelve payments per year

    • 3M yields four payments per year

    • 6M yields two payments per year

    • 12M or 1Y yields one payment per year, and so on.

  • You have the option to specify paymentCalendars to exclude non-business days from calculations. If no calendars are specified, holidays and weekends are included.

Primary name

Alias name

Accrued days (numerator)

Days in period (denominator)

Accrual factor

Notes

Act252

Actual number of days based on paymentCalendars

252 / Payments per year

Accrued days / Days in period

Act364

Actual number of days based on paymentCalendars

364 / Payments per year

Accrued days / Days in period

Act365_25

Actual number of days based on paymentCalendars

365.25 / Payments per year

Accrued days / Days in period

Act365Cad

Actual number of days based on paymentCalendars

365 / Payments per year

If Accrued days > 365 / Payments per year
Then:

1 - [(Days in period - Accrued days) * Payments per year / 365]
Else:

Accrued days / Days in period

With this day count convention, accrued interest can never exceed the coupon amount

Act365F

Actual number of days based on paymentCalendars

365 / Payments per year

Accrued days / Days in period

Act365L

Actual number of days based on paymentCalendars

365 / Payments per year or 366 / Payments per year

Accrued days / Days in period

If part of the accrual period is during a leap year (whether it contains 29 February or not), Days in period is 366 / Payments per year

ActActAFB

Actual number of days based on paymentCalendars

365 / Payments per year or 366 / Payments per year

Accrued days / Days in period

If the accrual period contains 29 February, Days in period is 366 / Payments per year

ActActIsma

ActActIcma

Actual number of days based on paymentCalendars

Actual number of days based on paymentCalendars / Payments per year

Accrued days / Days in period

Actual360

Act360, MoneyMarket

Actual number of days based on paymentCalendars

360 / Payments per year

Accrued days / Days in period

Actual365

Act365

Actual number of days based on paymentCalendars

365 / Payments per year

Accrued days / Days in period

ActualActual

ActAct, ActActIsda

Actual number of days based on paymentCalendars

Actual number of days based on paymentCalendars / Payments per year

Accrued days / Days in period

Bus252

Actual number of business days based on Brazilian calendar

252 / Payments per year

Accrued days / Days in period

For the business days, the Brazilian calendar is used.

NL360

Actual number of days based on paymentCalendars without including leap days

360 / Payments per year

Accrued days / Days in period

If 29 February is included in the accrual period, it is not taken into account

NL365

Actual number of days based on paymentCalendars without including leap days

365 / Payments per year

Accrued days / Days in period

If 29 February is included in the accrual period, it is not taken into account

Thirty360

ThirtyU360, Bond

Each month is assumed to have 30 days

360 / Payments per year

Accrued days / Days in period

Thirty365Isda

Each month is assumed to have 30 days

360 / Payments per year

Accrued days / Days in period

ThirtyActIsda

Each month is assumed to have 30 days

Actual number of days based on paymentCalendars / Payments per year

Accrued days / Days in period

ThirtyE360

EuroBond

Each month is assumed to have 30 days except if the maturity date is the last day of February, when the actual number of days in February is used

360 / Payments per year

Accrued days / Days in period

ThirtyE360Isda

Each month is assumed to have 30 days except February, when the actual number of days in February is used

360 / Payments per year

Accrued days / Days in period

ThirtyE365Isda

Each month is assumed to have 30 days except February, when the actual number of days in February is used

365 / Payments per year

Accrued days / Days in period

ThirtyEActIsda

Each month is assumed to have 30 days except February, when the actual number of days in February is used

Actual number of days based on paymentCalendars / Payments per year

Accrued days / Days in period

ThirtyU360EOM

Each month is assumed to have 30 days with special treatments on day-of-month 31 and for February:

  • If both dates are the last day of February, maturity date day is changed to 30.

  • If only the start date is the last day of February, start date day is changed to 30.

  • If maturity date day is 31 and start date day is either 30 or 31 then maturity date day is changed to 30.

  • If start date day is 31 then start date day is changed to 30.

360 / Payments per year

Accrued days / Days in period