Coupon day count basis
The coupon day count type is a method used to calculate the number of days in a coupon period for a bond. It is an important factor in determining the amount of interest that will be paid to bondholders. Different day count conventions may be used in bond agreements to calculate the interest accrued between coupon payment dates.
Day count fractions methodologies
Input data:
- Start date = D1.M1.Y1 - Precious coupon date
- End date = D2.M2.Y2 - The day of calculation
30/360 methods
In this group of methods, a month is considered as 30 days, and a year as 360 days with some corrections, depending on the exact method.
Day count fraction formula:
((Y2-Y1)·360 + (M2-M1)·30 + (D2-D1))/360
Method | Corrections |
30/360 |
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30/360 German |
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30E/360 30/360S German |
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Actual methods
In this group of methods, the actual number of days between two dates is used for the calculation. The key difference between these methods lies in how they treat the length of a year and handle leap years.
Method | Calculation |
ACT/360 ACT/364 ACT/365 | Day count fraction equals the real number of days between two dates without any corrections divided by the year basis (360, 364, or 365 respectively): (End date - Start date) / Year basis Where:
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ACT/ACT (ISDA) ACT/ACT | The day count fraction is calculated by separately accounting for the days in the period that fall within a leap year and those in a non-leap year. Days in the leap years / 366 + Days in non-leap years / 365 Where:
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ACT/365 JPG | In this method, the day count fraction accounts for leap days (29th February) by treating them differently than the other days in the period. Leap days / 366 + (End date - Start date - Leap days) / 365 Where:
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ACT/ACT (AFB) | This method calculates the day count fraction by breaking the period into full years and remaining actual days, with adjustments based on whether a leap year (with February 29th) is included. Full years + Remaining actual days / Year basis Where:
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Other methods
Method | Calculation |
30/365 | ((Y2-Y1)·365 + (M2-M1)·30 + (D2-D1))/365
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NL/365 | This method calculates the day count fraction by ignoring leap days (February 29th), assuming that each year has 365 days, regardless of whether the year is a leap year. End date - Start date - Leap days / 365 Where:
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BUS/252 | This method is used primarily in financial markets to calculate day count fractions based on Brazilian business days. This method assumes there are 252 business days in a year. Actual business days / 252 Where:
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