|
DayCount
|
| Either a single number denoting the
DayCount method, or a number in the form ww.ss where ww is
the daycount of whole periods and ss applies to stub
periods. See Using Daycount. |
|
|
| Example: 1 |
Variable Values
|
| Default(s) |
| 5 |
Decimal Year (ACTM/12): ActualMonths / 12 |
| Switches |
| 0 |
30/360 PSA |
| 1 |
ACT/ACT (365 or 366) |
| 2 |
ACT/360: ActualDaysInPeriod / 360 |
| 3 |
ACT/365: ActualDaysInPeriod / 365 |
| 4 |
30E/360: Also known as European 30/360. Standard bond
literature definition. |
| 5 |
Decimal Year (ACTM/12): ActualMonths / 12 |
| 6 |
ACT/ACT (in period) |
| 7 |
30/360 PSA |
| 8 |
ACT (Non Leap)/365: Same as ACT/365 but ignoring Feb
29 |
| 9 |
30/365: Standard bond literature definition (same as
30/360 but with 365 denominator) |
| 10 |
30/360 ISDA |
| 11 |
30/360 ISDA + Feb Adj |
| 12 |
ISDA + Feb EOM Adj |