convention

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counting convention; possible values are: Actual360, Actual365Fixed, AFB, Bond, Euro, Historical, ISDA, ISMA, OneDay, Simple, Thirty360BondBasis, Thirty360EuroBondBasis, Thirty360European, Thirty360Italian, or Thirty360USA

Actual360

The numerator is the same as ISDA below; the denominator is always 360.

Actual365Fixed

The numerator is the same as ISDA below; the denominator is always 365.

AFB

The numerator is the same as ISDA below; the denominator is either 365 if the calculation period does not include February 29th, or 366 if the calculation period includes February 29th.

Bond

Same meaning as ISMA

Euro

Same meaning as AFB.

Historical

Same meaning as ISDA.

ISDA

The numerator is equal to the actual number of days from (and including) the last coupon payment date or period end date, to (but excluding) the current value date or period end date; the denominator varies depending on whether a portion of the relevant calculation period falls within a leap year. For the portion of the calculation period falling within a leap year, the denominator is 366, for the other portion the denominator is 365.

ISMA

The numerator is the same as ISDA above; the denominator is the actual number of days in the coupon period multiplied by the number of coupon periods in the year.

Simple

This day counter tries to ensure that the whole-month distances are returned as a simple fraction.

OneDay

The numerator and denominator are both set to 1.

Thirty360European

This is one of the 30/360 day count conventions. Starting dates or ending dates that occur on the 31st of a month become equal to the 30th of the same month.

Thirty360Italian

This is one of the 30/360 day count conventions. Starting or ending dates that occur on February and are greater than 27 become equal to 30 for computational sake.

Thirty360USA

This is one of the 30/360 day count conventions. If the ending date is the 31st of a month and the starting date is earlier than the 30th of a month, the ending date becomes equal to the 1st of the next month, otherwise the ending date becomes equal to the 30th of the same month.