Where can I find a list of commonly used day count conventions?

Here is a list of commonly used Day Count Conventions and their rules to calculate DiR(), and DiY() functions as defined in previous tutorials.

30/360 (30/360 ISDA, 30/360 Bond Basis, 30/360 U.S. Municipal, 30A/360, 360/360, Bond Basis) - Mainly used by US municipal bonds.

Day_Count_Factor(Y1,M1,D1,Y2,M2,D2)
   = DiR(Y1,M1,D1,Y2,M2,D2) / DiY(Y1,M1,D1,Y2,M2,D2)

DiR(Y1,M1,D1,Y2,M2,D2) = 360×(Y2-Y1) + 30×(M2-M1) + (D2-D1)
  where D1 and D2 are adjusted as below:
    If D1 = 31, set D1 = 30;
    If D2 = 31 and D1 > 29, set D2 = 30.

DiY(Y1,M1,D1,Y2,M2,D2) = 360

30/360 US NASD - Mainly used for US corporate bonds.

Day_Count_Factor(Y1,M1,D1,Y2,M2,D2)
   = DiR(Y1,M1,D1,Y2,M2,D2) / DiY(Y1,M1,D1,Y2,M2,D2)

DiR(Y1,M1,D1,Y2,M2,D2) = 360×(Y2-Y1) + 30×(M2-M1) + (D2-D1)
  where D1 and D2 are adjusted as below:
    If D1 = 31, set D1 = 30;
    If D2 = 31, 
      If D1 < 30, set T2 = T2 + 1 day,
      Otherwise, set T2 = T2 - 1 day.  

DiY(Y1,M1,D1,Y2,M2,D2) = 360

30E/360 (30/360 Eurobond, 30/360 European, 30/360 ICMA, 30/360 ISMA, 30S/360 Special German, Eurobond, Eurobond Basis, EBD/360) - Used for bonds issued by some European governments.

Day_Count_Factor(Y1,M1,D1,Y2,M2,D2)
   = DiR(Y1,M1,D1,Y2,M2,D2) / DiY(Y1,M1,D1,Y2,M2,D2)

DiR(Y1,M1,D1,Y2,M2,D2) = 360×(Y2-Y1) + 30×(M2-M1) + (D2-D1)
  where D1 and D2 are adjusted as below:
    If D1 = 31, set D1 = 30;
    If D2 = 31, set D2 = 30.

DiY(Y1,M1,D1,Y2,M2,D2) = 360

30E/360 ISDA (30/360 German, German, Eurobond basis (ISDA 2000)) - Mainly used for German corporate bonds.

Day_Count_Factor(Y1,M1,D1,Y2,M2,D2)
   = DiR(Y1,M1,D1,Y2,M2,D2) / DiY(Y1,M1,D1,Y2,M2,D2)

DiR(Y1,M1,D1,Y2,M2,D2) = 360×(Y2-Y1) + 30×(M2-M1) + (D2-D1)
  where D1 and D2 are adjusted as below:
    If T1 is End of Month, set D1 = 30;
    If T2 is End of Month, 
      except it's End of February and the Maturity Date, set D2 = 30.

DiY(Y1,M1,D1,Y2,M2,D2) = 360

30E+/360 Not widely used.

Day_Count_Factor(Y1,M1,D1,Y2,M2,D2)
   = DiR(Y1,M1,D1,Y2,M2,D2) / DiY(Y1,M1,D1,Y2,M2,D2)

DiR(Y1,M1,D1,Y2,M2,D2) = 360×(Y2-Y1) + 30×(M2-M1) + (D2-D1)
  where D1 and D2 are adjusted as below:
    D1 = min(D1,30);
    If D2 = 31, set T2 = T2 + 1 day, 

DiY(Y1,M1,D1,Y2,M2,D2) = 360

30IT/360 US

Day_Count_Factor(Y1,M1,D1,Y2,M2,D2)
   = DiR(Y1,M1,D1,Y2,M2,D2) / DiY(Y1,M1,D1,Y2,M2,D2)

DiR(Y1,M1,D1,Y2,M2,D2) = 360×(Y2-Y1) + 30×(M2-M1) + (D2-D1)
  where D1 and D2 are adjusted as below:
    If M1 = 2 and D1 > 27, set D1 = 30

DiY(Y1,M1,D1,Y2,M2,D2) = 360

30/365

Day_Count_Factor(Y1,M1,D1,Y2,M2,D2)
   = DiR(Y1,M1,D1,Y2,M2,D2) / DiY(Y1,M1,D1,Y2,M2,D2)

DiR(Y1,M1,D1,Y2,M2,D2) = 360×(Y2-Y1) + 30×(M2-M1) + (D2-D1)
DiY(Y1,M1,D1,Y2,M2,D2) = 365

Act/360 - This convention follows the concept of a year has 12 months with 30 days in each month. DiY() is fixed to 360, 5 to 6 days less than days in a calendar year. So you are getting 5 to 6 days extra interest in a calendar year.

Day_Count_Factor(T1,T2) = DiR(T1,T2) / DiY(T1,T2)
DiR(T1,T2) = Calendar_Days(T1,T2)
DiY(T1,T2) = 360

Act/364 - This convention follows the concept of a year has 52 weeks with 7 days in each week. DiY() is fixed to 364, pretty close to 365/365 days in a calendar year.

Day_Count_Factor(T1,T2) = DiR(T1,T2) / DiY(T1,T2)
DiR(T1,T2) = Calendar_Days(T1,T2)
DiY(T1,T2) = 364

Act/365 (Act/365F, Act/365 Fixed) - Mainly used by banks in US for their savings and CD (Certificate Deposit) accounts. This convention fixes FiY() to 365, so it is easier to calculate. It is very accurate for regular years, and less accurate for leap years.

Day_Count_Factor(T1,T2) = DiR(T1,T2) / DiY(T1,T2)
DiR(T1,T2) = Calendar_Days(T1,T2)
DiY(T1,T2) = 360

Act/365A

Day_Count_Factor(T1,T2) = DiR(T1,T2) / DiY(T1,T2)
DiR(T1,T2) = Calendar_Days(T1,T2)
DiY(T1,T2) = 
  366, if a leap day is in [T1,T2)
  365, otherwise 

Act/365CA - Mainly used by Canadian bonds.

Day_Count_Factor(T1,T2) = DiR(T1,T2) / DiY(T1,T2)
DiR(T1,T2) = Calendar_Days(T1,T2)
DiY(T1,T2) = 
  366, if a leap day is in [T1,T2)
  365, otherwise 

Act/365L

Day_Count_Factor(T1,T2) = DiR(T1,T2) / DiY(T1,T2)
DiR(T1,T2) = Calendar_Days(T1,T2)
DiY(T1,T2) = 
  366, if Frequency=1 and the accrual range has a leap day
  366, else if Frequency>1 and (Y2,M2,D2) is in the leap year
  365, otherwise 

Act/Act (Act/Act ISDA) - This convention tries to follow the calendar accurately.

                          Days_in_Regular_Year   Days_in_Leap_Year
Day_Count_Factor(T1,T2) = -------------------- + -----------------
                                   365                  366 
Or: 
  Day_Count_Factor(T1,T2) = DiR(T1,T2) / DiY(T1,T2)
  DiR(T1,T2) = 366×Days_in_Regular_Year + 365×Days_in_Leap_Year
  DiY(T1,T2) = 365×366

Act/Act AFB (Act/Act Euro)

Day_Count_Factor(T1,T2) = Full_Years + Partial_Year_Factor
  Full_Years are counted backward

Partial_Year_Factor = Days_in_Partial_Range/Days_in_Year 
Days_in_Partial_Range = Calendar days in the partial range 
Days_in_Year = 
  366, if a leap day is in the partial range 
  365, otherwise 

Act/Act Bond (Act/Act ICMA, Act/Act ISMA) - Mainly used by US treasury bonds. This convention ensures that every accrual period generates the same amount of interest. And every day generates the same amount of interest in the same accrual period.

Day_Count_Factor(T1,T2) = DiR(T1,T2) / DiY(T1,T2)
DiR(T1,T2) = Calendar_Days(T1,T2)
DiY(T1,T2) = Accrual_Frequency × Calendar_Days(T1,T3)

Bus/252BR (Act/252, ActW/252, BD/252, BU/252) - Mainly used in Brazil.

Day_Count_Factor(T1,T2) = DiR(T1,T2) / DiY(T1,T2)
DiR(T1,T2) = # of business days in the range in Brazilian calendar
DiY(T1,T2) = 252

NL/365

Day_Count_Factor(T1,T2) = DiR(T1,T2) / DiY(T1,T2)
DiR(T1,T2) = Calendar_Days(T1,T2) - Leap_Days
DiY(Y1,M1,D1,Y2,M2,D2) = 365 

Related abbreviations

• ICMA - International Capital Market Association. Merged with IPMA.
• IPMA - International Primary Market Association.
• ISDA - International Swaps and Derivatives Association.
• ISMA - International Securities Market Association. Formed after the merger of ICMA and IPMA.
• NASD - National Association of Securities Dealers. Merged with NYSE to form FINRA.

⇒ Comparison of 30/360 Conventions

⇐ Accrual Range/Period/Year

⇑ Introduction to Day Count Convention

⇑⇑ Day Count Conventions