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common-domain-model

Enum: DayCountFractionEnum

The enumerated values to specify the day count fraction.

URI: common_domain_model:DayCountFractionEnum

Permissible Values

Section titled “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

Section titled “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

Section titled “Identifier and Mapping Information”

Schema Source

Section titled “Schema Source”

LinkML Source

Section titled “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