Day count conventions supported by LUSID

You must specify a day count convention when you create a flow convention and/or an index convention to determine 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.

LUSID Name

Actual360

LUSID Alias

Act360, MoneyMarket

ISDA FpML

ACT/360

Also known as

"Actual/360", "Act/360", "A/360"

Description

The actual number of days divided by 360.

Reference

Section 4.16(e) of the ISDA 2006 Definitions

LUSID Name

Act360

Description

An Alias for Actual360.

LUSID Name

MoneyMarket

Description

An Alias for Actual360.

LUSID Name

Actual365

LUSID Alias

Act365

Description

The actual number of days divided by 365, this is implemented the same as Act365F in LUSID, but is not an alias to it. The name "Act365" is slightly ambiguous as ISDA originally defined Act365 in the 2000 definitions as ActualActual, but then in 2006 removed it, furthermore other vendors use "Act365" in place of Act365Fixed.

LUSID Name

Act365

Description

An Alias for Actual365.

LUSID Name

Act365F

ISDA FpML

ACT/365.FIXED

Also known as

"Actual/365 (Fixed)", "A/365F"

Description

The actual number of days divided by 365.

Reference

Section 4.16(d) of the ISDA 2006 Definitions

LUSID Name

Act365L

ISDA FpML

ACT/365L

Also known as

"Act/365 Leap Year"

Description

The actual number of days divided by 365 or 366.

Reference

Section 4.16(i) of the ISDA 2006 Definitions

LUSID Name

Act365_25

Also known as

"Act/365.25"

Description

The actual number of days divided by 365.25, even in a leap year.

LUSID Name

Act365Cad

Also known as

"CAD/365"

Description

A variant on Act365 used in the Canadian markets.

Reference

http://iiac.ca/wp-content/uploads/Canadian-Conventions-in-FI-Markets.pdf

LUSID Name

Act364

Also known as

"Actual/364"

Description

The actual number of days divided by 364.

LUSID Name

Act252

Description

The actual number of days divided by 252, it is believed this is no longer used.

LUSID Name

ActualActual

LUSID Alias

ActActIsda, ActAct

ISDA FpML

ACT/ACT.ISDA

Also known as

"Actual/Actual", "Actual/Actual (ISDA)"

Description

Actual number of days divided by actual number of days in the year (365 or 366). There are three variants of this that differ in the handling of Feb 29th and stub coupons, all supported by LUSID, this is the variant that is defined by ISDA.

Reference

Section 4.16(b) of the ISDA 2006 Definitions

LUSID Name

ActActIsda

Description

An Alias for ActualActual.

LUSID Name

ActAct

Description

An Alias for ActualActual.

LUSID Name

ActActIsma

LUSID Alias

ActActIcma

ISDA FpML

ACT/ACT.ICMA

Also known as

"Act/Act (ICMA)", "Act/Act (ISMA)"

Description

Actual number of days divided by actual number of days in the year (365 or 366). There are three variants of this that differ in the handling of Feb 29th and stub coupons, all supported by LUSID, this is the variant that is defined by ICMA.

Reference

Section 4.16(c) of the ISDA 2006 Definitions and https://www.isda.org/2011/01/07/act-act-icma/

LUSID Name

ActActIcma

Description

An Alias for ActActIsma.

LUSID Name

ActActAFB

ISDA FpML

ACT/ACT.AFB

Also known as

"Base Exact/Exact"

Description

Actual number of days divided by actual number of days in the year (365 or 366). There are three variants of this that differ in the handling of Feb 29th and stub coupons, all supported by LUSID, this is the variant that is defined by AFB.

Reference

Association Francaise des Banques (AFB) "Definitions Communes plusieurs Additifs Techniques", ISDA 1999 Definitions

LUSID Name

OneOne

ISDA FpML

1/1

Also known as

"1/1"

Description

A day count that returns the value 1 always.

Reference

Section 4.16(a) of the ISDA 2006 Definitions

LUSID Name

Bus252

ISDA FpML

BUS/252

Also known as

"Buisness/252"

Description

The number of buisness days divided by 252. This day count is common in Brazil.

LUSID Name

NL360

Also known as

"NoLeap/360", "Actual/360 No Leap"

Description

The actual number of days, skipping leap days, divided by 360.

LUSID Name

NL365

Also known as

"NoLeap/365", "Actual/365 No Leap"

Description

The actual number of days, skipping leap days, divided by 365.

LUSID Name

Thirty360

LUSID Alias

Bond, ThirtyU360

ISDA FpML

30/360

Also known as

"30/360", "Bond Basis"

Description

Each month is assumed to have 30 days and then 360 days in the year. There are a few variants of this daycount.

Reference

Section 4.16(f) of the ISDA 2006 Definitions

LUSID Name

Bond

Description

An Alias for Thirty360.

LUSID Name

ThirtyU360

Description

An Alias for Thirty360.

LUSID Name

ThirtyE360

LUSID Alias

EuroBond

ISDA FpML

30E/360

Also known as

"30E/360", "Eurobond Basis"

Description

Each month is assumed to have 30 days and then 360 days in the year. There are a few variants of this daycount.

Reference

Section 4.16(g) of the ISDA 2006 Definitions

LUSID Name

EuroBond

Description

An Alias for ThirtyE360.

LUSID Name

ThirtyActIsda

Description

Variant of 30/360 with division by 365 or 366.

LUSID Name

Thirty365Isda

Description

Variant on 30/365.

LUSID Name

ThirtyEActIsda

Also known as

"30E/Act German"

Description

Variant of 30/360 with division by 365.

LUSID Name

ThirtyE360Isda

ISDA FpML

30E/360.ISDA

Also known as

"30E/360 German"

Description

Variant on 30/360.

Reference

Section 4.16(h) of the ISDA 2006 Definitions

LUSID Name

ThirtyE365Isda

Also known as

"30E/365 German"

Description

Variant on 30/365.

LUSID Name

ThirtyU360EOM

Also known as

"30/360 U.S. Municipal", "30US/360"

Description

Variant on 30/360.

LUSID Name

Invalid

Description

This value is used to indicate an invalid Day Count.