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	if D1=31 then D1=30 if D2=31 & D1>29 then D2 = 30
30/360 German	if D1=31 then D1=30 if D2=31 & D1>29 then D2 = 30
30E/360 30/360S German	if D1=31 then D1=30 if D2=31 then D2=30

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: Year basis = 360 for ACT/360 Year basis = 364 for ACT/364 Year basis = 365 for ACT/365
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: Days in leap years refers to the number of days within the period that fall in a leap year. Days in non-leap years is the remaining number of days in the period that are not in a leap year.
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: Leap days (29/02) refers to the number of February 29th days within the period. The remaining days are treated as regular days, divided by 365.
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: Full years refers to the number of complete years, counted back from the end date. Remaining actual days is the number of remaining days between the end date and the start date after subtracting full years. Year basis is determined as follows: 1) If February 29th falls within the remaining period, then Year basis = 366 (leap year). 2) Otherwise, Year basis = 365 (non-leap year).

Other methods

Method	Calculation
30/365	((Y2-Y1)·365 + (M2-M1)·30 + (D2-D1))/365 if D1=31 => D1=30 if D2=31 and (D1=30 or 31) => D2=30
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: Leap days (29/02) refers to the number of February 29th days within the period.
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: Actual business days is the number of business days between the start and end dates according to the Brazilian business calendar.