Day Count Convention Lookup

Q

If you are looking for a specific Day Cont Convention, you can use this online tool by entering a related keyword.


Query

✍: FYIcenter.com

A

Search result provided by FYIcenter.com:

Day Count Convention: Act/Act Bond

Aliases: Act/Act Bond, Actual/Actual Bond, Act/Act ICMA, Actual/Actual ICMA, Actual/Actual, ISMA-99, Act/Act ISMA, ICM/Act

Usage: US Treasury bonds

Rules:

T1 = (Y1,M1,D1): Starting date (inclusive)  
T2 = (Y2,M2,D2): Ending date (exclusive) of Accrual Range
T3 = (Y3,M3,D3): Ending date (exclusive) of 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)

For more details, see our Act/Act Bond Tutorials.

References:

  • ISDA, 2006 ISDA Definitions, referred as: Act/Act ICMA, Actual/Actual ICMA
  • Wikipedia, Day count convention, referred as: Actual/Actual ICMA, Actual/Actual, Act/Act ICMA, ISMA-99, Act/Act ISMA
  • OpenGamma, Day Counts, referred as: Act/Act ICMA, ISMA-99, ICM/Act
  • ISO 20022, Method of Interest Computation Indicator, referred as: Actual/Actual ICMA
  • Cbonds, (Day count) Basis, referred as: Actual/Actual ICMA
  • Treasury Systems, Day Count Conventions, referred as: Act/Act ICMA, Actual/Actual ICMA, Act/Act ISMA, ISMA-99, Actual/Actual
  • Deriscope, Name - convention for couting days, referred as: Act/Act ICMA, Actual/Actual Bond, Actual/Actual ISMA
  • Grokipedia, Day count convention, referred as: Actual/Actual ICMA
  • Eclipse Software, Day Count Conventions, referred as: Act/Act ICMA, Actual/Actual ICMA, Actual/Actual, ISMA-99

 

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2026-02-14, ∼1004🔥, 0💬