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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

Refs:
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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  • $\begingroup$ you can add ACT/365.25 $\endgroup$
    – user24980
    May 19, 2020 at 5:43

2 Answers 2

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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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    $\begingroup$ Yes, you are right: don't do unneccessary work. I need an overview of day counting conventions, though. $\endgroup$
    – user1157
    Jan 28, 2014 at 15:29
  • $\begingroup$ 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. $\endgroup$
    – Phil H
    Jan 29, 2014 at 7:53
  • $\begingroup$ Thx! Still any hints on where I could find references to more exotic conventions? $\endgroup$
    – user1157
    Jan 29, 2014 at 10:31
  • $\begingroup$ Fincad's list: fincad.com/support/developerfunc/mathref/Daycount.htm $\endgroup$
    – Phil H
    Jan 29, 2014 at 10:48
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    $\begingroup$ Strata's list: strata.opengamma.io/day_counts $\endgroup$ May 19, 2020 at 8:51
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Interest of floating-rate notes mostly use the Actual/360 convention. Notable exceptions are floating-rate notes denominated in the British pound and currencies of some former British colonies like Australia (CAD), New Zealand (NZD), Canada (CAD), Hong Kong (HKD), and South Africa (ZAR), whose interests are calculated on an actual/365 Fixed basis.

Treasury bonds from most (in dollar-basis terms) countries use the Actual/Actual (ICMA) convention. ISMA is a previous name of ICMA.

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