# Questions tagged [daycounting]

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### Calculation of Cashflows Using ISMA Day Count in Fixed-Rate Bond

I'm working with a fixed-rate bond in QuantLib, and I have set the day count convention to ISMA, but I would like to understand how this specific day count convention is used in the calculation of the ...
60 views

### Calculation of accruals using Actual/Actual AFB day count convention in QuantLib library

I am using the QuantLib library to calculate accruals for a fixed rate leg, using the "Actual/Actual AFB" day count convention. The payment period is annual, and the cash flows occur between ...
173 views

### Does QuantLib have a DayCount convention that supports India financial year calculations?

I'm currently using QuantLib to perform financial calculations in my application, but I'm having trouble finding a DayCount convention that supports the India financial year calendar (April 1 to March ...
124 views

### Python Quanlib : yearFraction returns same number when I change the valuation date

I am completely new to python/coding so apologies in advance if the question is too basic but I could not find the answer elsewhere. I am trying to calculate the daycount fraction from the settlement ...
1 vote
169 views

### Day Count Convention & Compounding Frequency Assumption in Interest Rate Swaps and Discount Factors

This question concerns old LIBOR Swaps where their fixed legs are based on 30/360, and floating legs on Act/360. Q1. Let's assume the simple self-discounting case where spot rates are obtained ...
1 vote
166 views

### Business day convention in fixed income

I have a question regarding the business day convention. Suppose I have a bond that matures on the 17th of September 2023 and pays an annual coupon of $1%$. It has a $30/360$ day-count convention and ...
2k views

### Implementation of Act/Act IDSA / ICMA / Bond Day Count Convention

I read the following definitions of day count rules (ii) if “Actual/Actual (ISDA)” or “Act/Act (ISDA)” is specified, the actual number of days in the Interest Period divided by 365 (or, if any ...
416 views

### Which Day Count Convention applies in a Cross Currency Swap

What is the rule (assuming there is one) specifying which day count convention should prevail in a cross-currency swap? For example, where EUR follows ACT/360 and GBP follows ACT/365, which of the two ...
65 views

99 views

### Translating dates to times

I am using Act/365 day-count convention. How do I compute the time offset between 2/28/2015 and 3/1/2016? 3/1/2017 Some ideas: Direct day count: count number of days between the dates, and divide by ... 