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I am looking for

  • a list of day count conventions. Is the list on Wikipedia complete or do you know others?
  • Which rules of thumb are there to choose day count conventions when none is specified, depending for example on product, country or underlying?
  • Are there special cases which can provoke software bugs?

Edit: results and rules-of-thumb DCC so far:

  • 1/1 - ?
  • 30/360 US - US for corporate, US municipal, and some US Agency bonds
  • 30E/360 - money market Switzerland
  • 30E+/360 - ?
  • 30E/360 ISDA - ?
  • 30/360 - for corporate bonds, agency and municipal bonds, mortgage backed securities, Eurobonds, US corporate bonds
  • ACT/360 - for US T-bills, US commercial paper; US and Euro & Switzerland money markets, mortgages
  • ACT/364 - Kenya, Zimbabwe
  • ACT/365 - US Treasury bonds, US treasury notes, UK gilts; German bunds, South Africa (all markets)
  • ACT/365L - ?
  • ACT/365 Fixed - ?
  • ACT/ACT - New Euro bonds, LIFFE UK bond futures, LIFFE German bund futures
  • ACT/ACT ISDA - ?
  • ACT/ACT ISMA - ?
  • ACT/ACT ICMA - ?
  • ACT/ACT AFB - ?
  • NL/365 - ?
  • BUS/252 - Brazil

Wikipedia: day_count_convention
Foreign Exchange Derivatives, by Kotze, 2011
Interest Rate Instruments and Market Conventions Guide, by OpenGamma, 2013
Implementing BUS/252 Daycount Convention, by Kennedy 2012
ESI: Day Count Conventions, by Eclipse Software Inc.
Day Count Conventions and Accrual Factors, by Fincad Corp.

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1 Answer

up vote 4 down vote accepted

There are lots, decide which ones you actually need for your project - follow the coding maxim You Ain't Gonna Need It.

Be aware that those rules have variants: Actual/365 has 2 varieties, fixed and actual, 30/360 has at least 3 varieties (see that Wikipedia article). Then there is Brazillian Bus/252, etc etc.

Consider using a library (like Fincad or Quantlib) which has this stuff set up already and save your time and effort for more interesting things.

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Yes, you are right: don't do unneccessary work. I need an overview of day counting conventions, though. –  Anna Jan 28 at 15:29
If you have all the ones in the OpenGamma doc, then you're probably there regarding overviews. You can't catch them all, so you're on a trail of diminishing returns now. –  Phil H Jan 29 at 7:53
Thx! Still any hints on where I could find references to more exotic conventions? –  Anna Jan 29 at 10:31
Fincad's list: fincad.com/support/developerfunc/mathref/Daycount.htm –  Phil H Jan 29 at 10:48
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