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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.