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Glossary

Methods for calculating the number of days

Category — Day Count Conventions
Methods for calculating the number of days between dates determine the notional number of days in a year (calculation basis), the rules for calculating the notional number of days between the start and end dates, and the length of the period on an annual basis. The choice of method affects the calculation of ACI, coupons, and discount rates when calculating analytical parameters.

The method is specified by an expression formatted as XX/YYY. The numerator defines the rule for calculating the number of days in a month, and the denominator is the length of the year in days. Generally, the Actual/365F method is used for Russian bonds, the 30/360 or Actual/365F methods - for Ukrainian bonds, and the 30E/360 method - for Eurobonds. An up-to-date list of applied methods is available in the prospectuses on a Eurobond issue.

Methods 30/360

30/360 German (30E/360 ISDA)
30/360 ISDA (30/360) (Bond Basis, 30-360 U.S. Municipal)
30/360 US (30U/360, 30US/360)
30E+/360
30E/360 (30/360 Eurobond, 30/360 ISMA, 30/360 European, 30S/360 Special German, Eurobond Basis)

Actual methods

Actual/360 (Act/360, French)
Actual/365A (Actual/365 Actual)
Actual/365F (Actual/365 Fixed, English)
Actual/365L (Actual/365 Leap year)
Actual/Actual (Act/Act, Actual/Actual (ISDA))
Actual/Actual (ISMA) (Actual/Actual (ICMA))
Actual/364
NL/365 (Actual/365 No Leap year, NL 365)
BD/252 (ACT/252, ACTW/252, BU/252, BD/252, BUS/252)

For detailed description of methods for calculating the number of days between dates can be found in the calculator guide.
Terms from the same category