Overview
Day count conventions or methods of interest calculation specify how to calculate the size of an interest period between two dates and result in a year or days fraction.
Over the years, many different methods have been introduced, and often the same methods are known under different names.
The ISO 20022 Standard repository provides standardised names and codes for the different interest computation methods.
Names, codes and descriptions as published on the ISO 20022 website can be found on this page. Please note that the codes A015-A020 are not external codes, but are embedded within the message schema.
To learn more about day count convention families and how they differ, visit the Day count convention taxonomy page.
To compare day count conventions, open a Day Count Conventions Window and see how different day count conventions calculate the same data set.
Available day count conventions
InterestThing implements most of the methods described in the ISO 20022 Standard and retains some legacy FinFlow methods not described in the standard.
1. ISO 20022 Interest computation methods
| Code | Method | Other names | FinFlow | |
|---|---|---|---|---|
| A001 |
30/360 ISDA 30/360 American Basic Rule |
30/360 U.S. Municipal |
30/360 ISDA 30/360 |
|
| A002 | 30/365 | - | ||
| A003 | 30/Actual | 30/Actual (ICMA) | - | |
| A004 | Actual/360 | Actual/360 French | act/360 | |
| A005 | Actual/365 Fixed | Actual/365 Fixed English | act/365 F | |
| A006 | Actual/Actual ICMA | - | ||
| A007 | 30E/360 Eurobond basis | 30/360 PSA | 30/360 BMA | |
| A008 | Actual/Actual ISDA |
Actual/Actual Actual/Actual Historical |
act/act | |
| A009 |
Actual/365L Actual/Actual basic rule |
Actual/365 leap Actual/365L |
act/365 L | |
| A010 | Actual/Actual AFB |
Actual/actual Euro Actual/365 Actual |
act/act EUR | |
| A011 |
30/360 ICMA 30/360 basic rule |
30/360 ISMA 30/360 European 30S/360 Special German Eurobond Basis Special German |
30E/360 | |
| A012 | 30E2/360 Eurobond basis 2 | - | ||
| A013 | 30E3/360 Eurobond basis 3 |
30/360 German German |
30E/360 ISDA | |
| A014 |
Actual/365NL Actual/365 no leap |
NL365 | act/365 NL | |
| A016 | 30E+/360 |
30E plus/360 Modified 30E/360 |
30E+/360 | |
| A017 | Actual/364 | - | ||
| A019 | Actual/360 NL | Actual/360 No Leap | - |
Two or four parameters?
Most day count conventions only need a a start and end date to calculate a year fraction.
The Actual/Actual ICMA and 30/Actual methods additionally need a reference date and a frequency to be able to create a periods schedule, which is why they are not available when using year fractions to measure time between dates.
To learn more about reference dates, visit the Reference dates and capitalization page.
Not implemented in InterestThing
| Code | Method | Notes |
|---|---|---|
| A015 | Actual/Actual Ultimo |
Also known as Actual/Actual ICMA Ultimo, this method uses the same calculation as A006 Actual/Actual ICMA, but assumes an end-of-month (EOM) coupon schedule. It is therefore not implemented as a separate method. Instead, A006 Actual/Actual ICMA should be used with an end-of-month (EOM) reference date, ensuring that all generated coupon dates fall on the last day of the month. |
| A018 | Business 252 | This method is primarily used for Brazilian derivatives and fixed-income instruments to calculate interest based on 252 business days per year. |
| A020 | One/One | This is not actually a day count convention: if parties specify the day dount fraction to be 1/1 then in calculating the applicable amount, 1 is simply input into the calculation as the relevant day count fraction. |
2. Legacy FinFlow methods
| Code | Method | Legacy names | Rules |
|---|---|---|---|
| Other | 30/360 IT | 30/360 Italian | If the first date falls
on the 31st or if it is February 28th or 29th, then it
is changed to the 30th. If the second date falls on the 31st or if it is February 28th or 29th, then it is changed to the 30th. |
| Other | 30/360 US bond |
30/360 US (NASD) 30/360 Bond Basis 360/360 |
If the first date falls
on the 31st, it is changed to the 30th. If the second date falls on the 31st and the first date is earlier than the 30th, then the second date is changed to the 1st of the next month, otherwise it is changed to the 30th. |
| Other |
30/360 SIA 30/360 US |
30U/360 30US/360 |
If the first date and
the second date are the last day of February, the second
date is changed to the 30th. If the first date falls on the 31st or if it's the last day of February, it is changed to the 30th. If after the preceding test the first day is the 30th and the second day is the 31st then the second day is changed to the 30th. |
3. Abbreviations
| AFB | Association Française de Banques |
| BMA |
Bond Market Association, formerly PSA or Public Securities Association BMA merged on 1 Oct 2006 with the SIA to form the SIFMA or Securities Industry and Financial Markets Association |
| SIA |
Securities Industry Association SIA merged on 1 Oct 2006 with the BMA to form the SIFMA |
| ISDA | International Swaps and Derivatives Association |
| ICMA | International Capital Market Association |