Day Count Convention
Day Count Convention
Acronym: IPDC
Identifier: dayCountConvention
Group: Interest
Type: Enum
Default: ``
Description
Method defining how days are counted between two dates. This finally defines the year fraction in accrual calculations.
Allowed Values
- Actual/Actual (
AA
) (actualActual
/0
): Year fractions accrue on the basis of the actual number of days per month and per year in the respective period. - Actual Three Sixty (
A360
) (actualThreeSixty
/1
): Year fractions accrue on the basis of the actual number of days per month and 360 days per year in the respective period. - Actual Three Sixty Five (
A365
) (actualThreeSixtyFive
/2
): Year fractions accrue on the basis of the actual number of days per month and 365 days per year in the respective period. - Thirty E Three Sixty ISDA (
30E360ISDA
) (thirtyEThreeSixtyISDA
/3
): Year fractions accrue on the basis of 30 days per month and 360 days per year in the respective period (ISDA method). - Thirty E Three Sixty (
30E360
) (thirtyEThreeSixty
/4
): Year fractions accrue on the basis of 30 days per month and 360 days per year in the respective period. - Twenty Eight E Three Thirty Six (
28E336
) (twentyEightEThreeThirtySix
/5
): Year fractions accrue on the basis of 28 days per month and 336 days per year in the respective period.