## Basis

Day count *basis* determines how interest accrues over time for
various instruments and the amount transferred on interest payment dates. The
calculation of accrued interest for dates between payments also uses day count basis.
Day count basis is a fraction of `Number of interest accrual days`

/
`Days in the relevant coupon period`

.

**Note**

Although the concept of day count sounds deceptively simple, the actual
calculation of day counts can be complex. You can find a good discussion of day
counts and the formulas for calculating them in Chapter 5 of Stigum and
Robinson, *Money Market and Bond Calculations* in Bibliography. For more information on
`Basis`

, see EMU and Market Conventions: Recent Developments.

Supported day count conventions and basis values are:

Basis Value | Day Count Convention |
---|---|

| actual/actual (default) — Number of days in both a period and a year is the actual number of days. |

| 30/360 SIA — Year fraction is calculated based on a 360 day year with 30-day months, after applying the following rules: If the first date and the second date are the last day of February, the second date is changed to the 30th. If the first date falls on the 31st or is the last day of February, it is changed to the 30th. If after the preceding test, the first day is the 30th and the second day is the 31st, then the second day is changed to the 30th. |

| actual/360 — Number of days in a period is equal to the actual number of days, however the number of days in a year is 360. |

| actual/365 — Number of days in a period is equal to the actual number of days, however the number of days in a year is 365 (even in a leap year). |

| 30/360 PSA — Number of days in every month is set to 30 (including February). If the start date of the period is either the 31st of a month or the last day of February, the start date is set to the 30th, while if the start date is the 30th of a month and the end date is the 31st, the end date is set to the 30th. The number of days in a year is 360. |

| 30/360 ISDA — Number of days in every month is set to 30, except for February where it is the actual number of days. If the start date of the period is the 31st of a month, the start date is set to the 30th while if the start date is the 30th of a month and the end date is the 31st, the end date is set to the 30th. The number of days in a year is 360. |

| 30E /360 — Number of days in every month is set to 30 except for February where it is equal to the actual number of days. If the start date or the end date of the period is the 31st of a month, that date is set to the 30th. The number of days in a year is 360. |

| actual/365 Japanese — Number of days in a period is equal to the actual number of days, except for leap days (29th February) which are ignored. The number of days in a year is 365 (even in a leap year). |

| actual/actual ICMA — Number of days in both a period and a year is the actual number of days and the compounding frequency is annual. |

| actual/360 ICMA — Number of days in a period is equal to the actual number of days, however the number of days in a year is 360 and the compounding frequency is annual. |

| actual/365 ICMA — Number of days in a period is equal to the actual number of days, however the number of days in a year is 365 (even in a leap year) and the compounding frequency is annual. |

| 30/360 ICMA — Number of days in every month is set to 30, except for February where it is equal to the actual number of days. If the start date or the end date of the period is the 31st of a month, that date is set to the 30th. The number of days in a year is 360 and the compounding frequency is annual. |

| actual/365 ISDA — The day count fraction is
calculated using the following formula: |

| bus/252 — The number of days in a period is equal to the actual number of business days. The number of business days in a year is 252. |