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. |
