FpML Issues Tracker

1206: When to use ACT/365L and ACT/ACT.AFB – difference between them

November 12, 2014

closed

Minor

Have not tried

Coding Scheme

dewiain

mgratacos

Summary

From reading the documentation I am not clear on the differences between ACT/365L and ACT/ACT.AFB

Is there a best practice when to use ACT/365L? Any markets using it?

Thanks very much

Notes:

  • mgratacos

    09/18/15 7:38 pm

    If ACT/365L is specified, the actual number of days in the Calculation or Compounding Period is divided by 365 unless if the later Period End Date of the Calculation or Compounding Period falls in a leap year, then it is divided by 366.

    If ACT/ACT.AFB is specified, the actual number of days in the Calculation or Compounding Period is divided by 365 unless if the Calculation or Compounding Period contains the 29th of February, then it is divided by 366.

    The difference is appreciated in a leap year with a Calculation Period not containing the 29th of February; for example a Calculation Period from April 1st to April 30th.

    ACT/365L = 30/366
    ACT/ACT.AFB = 30/365

  • mgratacos

    07/24/18 7:22 am

    The previous comment describes the differences between the codes.

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