Skip to content

Enum: DayCountFractionEnum

The enumerated values to specify the day count fraction.

URI: common_domain_model:DayCountFractionEnum

Permissible Values

Value Meaning Description
ACT_360 None Per 2021 ISDA Definitions, Section 4
ACT_365L None Per 2021 ISDA Definitions, Section 4
ACT_364 None Per CFTC definitions
ACT_365_FIXED None Per 2021 ISDA Definitions, Section 4
ACT_ACT_AFB None The Fixed/Floating Amount will be calculated in accordance with the 'BASE EXA...
ACT_ACT_ICMA None Per 2021 ISDA Definitions, Section 4
ACT_ACT_ISDA None Per 2021 ISDA Definitions, Section 4
ACT_ACT_ISMA None The Fixed/Floating Amount will be calculated in accordance with Rule 251 of t...
CAL_252 None Per 2021 ISDA Definitions, Section 4
_1_1 None Per 2006 ISDA Definitions, Section 4
_30E_360 None Per 2021 ISDA Definitions, Section 4
_30E_360_ISDA None Per 2021 ISDA Definitions, Section 4
_30_360 None Per 2021 ISDA Definitions, Section 4
RBA_BOND_BASIS None Per 2021 ISDA Definitions, Section 4

Slots

Name Description
dayCountFraction The enumerated values to specify the day count fraction
discountRateDayCountFraction A discount day count fraction to be used in the calculation of a discounted a...

Identifier and Mapping Information

Schema Source

LinkML Source

name: DayCountFractionEnum
description: The enumerated values to specify the day count fraction.
from_schema: https://w3id.org/lmodel/common-domain-model
rank: 1000
permissible_values:
  ACT_360:
    text: ACT_360
    description: Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fraction, paragraph
      (v), per 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph
      (e) or Annex to the 2000 ISDA Definitions (June 2000 Version), Section 4.16.
      Day Count Fraction, paragraph (d).
    aliases:
    - ACT/360
  ACT_365L:
    text: ACT_365L
    description: Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fraction, paragraph
      (ix), per 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph
      (i).
    aliases:
    - ACT/365L
  ACT_364:
    text: ACT_364
    description: Per CFTC definitions.
    aliases:
    - ACT/364
  ACT_365_FIXED:
    text: ACT_365_FIXED
    description: Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fraction, paragraph
      (iv), per 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph
      (d) or Annex to the 2000 ISDA Definitions (June 2000 Version), Section 4.16.
      Day Count Fraction, paragraph (c).
    aliases:
    - ACT/365.FIXED
  ACT_ACT_AFB:
    text: ACT_ACT_AFB
    description: The Fixed/Floating Amount will be calculated in accordance with the
      'BASE EXACT/EXACT' day count fraction, as defined in the 'Definitions Communes
      plusieurs Additifs Techniques' published by the Association Francaise des Banques
      in September 1994.
    aliases:
    - ACT/ACT.AFB
  ACT_ACT_ICMA:
    text: ACT_ACT_ICMA
    description: Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fraction, paragraph
      (iii), per 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph
      (c). This day count fraction code is applicable for transactions booked under
      the 2021 ISDA Definitions and the 2006 ISDA Definitions. Transactions under
      the 2000 ISDA Definitions should use the ACT/ACT.ISMA code instead.
    aliases:
    - ACT/ACT.ICMA
  ACT_ACT_ISDA:
    text: ACT_ACT_ISDA
    description: Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fraction, paragraph
      (ii), per 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph
      (b) or Annex to the 2000 ISDA Definitions (June 2000 Version), Section 4.16.
      Day Count Fraction, paragraph (b). Note that going from FpML 2.0 Recommendation
      to the FpML 3.0 Trial Recommendation the code in FpML 2.0 'ACT/365.ISDA' became
      'ACT/ACT.ISDA'.
    aliases:
    - ACT/ACT.ISDA
  ACT_ACT_ISMA:
    text: ACT_ACT_ISMA
    description: The Fixed/Floating Amount will be calculated in accordance with Rule
      251 of the statutes, by-laws, rules and recommendations of the International
      Securities Market Association, as published in April 1999, as applied to straight
      and convertible bonds issued after December 31, 1998, as though the Fixed/Floating
      Amount were the interest coupon on such a bond. This day count fraction code
      is applicable for transactions booked under the 2000 ISDA Definitions. Transactions
      under the 2021 ISDA Definitions and the 2006 ISDA Definitions should use the
      ACT/ACT.ICMA code instead.
    aliases:
    - ACT/ACT.ISMA
  CAL_252:
    text: CAL_252
    description: Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fraction, paragraph
      (x). Supercedes BUS/252, the number of Business Days in the Calculation Period
      or Compounding Period in respect of which payment is being made divided by 252.
    aliases:
    - CAL/252
  _1_1:
    text: _1_1
    description: Per 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph
      (a) or Annex to the 2000 ISDA Definitions (June 2000 Version), Section 4.16.
      Day Count Fraction, paragraph (a).
    aliases:
    - 1/1
  _30E_360:
    text: _30E_360
    description: Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fraction, paragraph
      (vii), per 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph
      (g) or Annex to the 2000 ISDA Definitions (June 2000 Version), Section 4.16.
      Day Count Fraction, paragraph (f). Note that the algorithm defined for this
      day count fraction has changed between the 2000 ISDA Definitions and 2006 ISDA
      Definitions. See Introduction to the 2006 ISDA Definitions for further information
      relating to this change.
    aliases:
    - 30E/360
  _30E_360_ISDA:
    text: _30E_360_ISDA
    description: Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fraction, paragraph
      (viii), per 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph
      (h). Note the algorithm for this day count fraction under the 2006 ISDA Definitions
      is designed to yield the same results in practice as the version of the 30E/360
      day count fraction defined in the 2000 ISDA Definitions. See Introduction to
      the 2006 ISDA Definitions for further information relating to this change.
    aliases:
    - 30E/360.ISDA
  _30_360:
    text: _30_360
    description: Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fraction, paragraph
      (vi), per 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph
      (f) or Annex to the 2000 ISDA Definitions (June 2000 Version), Section 4.16.
      Day Count Fraction, paragraph (e).
    aliases:
    - 30/360
  RBA_BOND_BASIS:
    text: RBA_BOND_BASIS
    description: Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fraction, paragraph
      (xi), the calculation mechanics are driven deterministically by the Calculation
      Period Frequency (i.e. 0.25 if it is three months, 0.5 if it is 6 months, 1
      if it is a year), except that if the first Calculation Period or the final Calculation
      Period is less than the Calculation Period Frequency, Actual/Actual (ISDA) shall
      apply to that Calculation Period
    aliases:
    - RBA Bond Basis