Glossary

Actual/Actual (ISDA)

Other names: Act/Act, Actual/Actual, Act/ISDA

This convention accounts for days in the period based on the portion in a leap year and the portion in a non-leap year.
Day count fraction = Days in leap year / 366 + Days not in leap year / 365.

All methods of calculating the number of days between dates you can find in Bond Calculator Guide.
Share: