Home > Requirements > Date And Time > Year Fractions Computation > Actualactual (ISDA) Day Count Convention
Report generated 11-04-2023 10:42

Feature: Actualactual (ISDA) Day Count Convention

Names:

The name of this convention is Actual/Actual ISDA; Also known as

  • Actual/Actual (Historical)
  • Actual/Actual
  • Act/Act
    And according to ISDA also known as
  • Actual/365
  • Act/365
  • A/365

Computation Method:

The number of accrued days is equal to the actual number of days between the start date and the end date.
The year fraction is the sum of the accrued days falling in a non-leap year divided by 365 and the
accrued days falling in a leap year divided by 366. Here is the general formula:

\[YearFraction = \frac{Days\ not\ in\ leap\ year}{365} + \frac{Days\ in\ leap\ year}{366}\]

The days in the numerators are calculated on a Julian day difference basis. In this convention the first day
of the period is included and the last day is excluded.

Scenarios

Given the dates {start date} and {end date}

When the ActualActual(ISDA) day count convention is used

Then the year fraction should be {day count fraction}

Examples:

start dateend dateday count fraction
2006-08-202007-02-200.5041096
2007-02-202007-08-200.4958904
2007-08-202008-02-200.5041096
2008-02-202008-08-200.4972678
2008-08-202009-02-200.5041096
2009-02-202009-08-200.4958904

Given the dates {start date} and {end date}

When the ActualActual(ISDA) day count convention is used

Then the year fraction should be {day count fraction}

Examples:

start dateend dateday count fraction
2006-02-282006-08-310.504109589
2006-08-312007-02-280.495890411
2007-02-282007-08-310.504109589
2007-08-312008-02-290.49726776
2008-02-292008-08-310.50273224
2008-08-312009-02-280.495890411
2009-02-282009-08-310.504109589
2009-08-312010-02-280.495890411
2010-02-282010-08-310.504109589
2010-08-312011-02-280.495890411
2011-02-282011-08-310.504109589
2011-08-312012-02-290.49726776

Given the dates {start date} and {end date}

When the ActualActual(ISDA) day count convention is used

Then the year fraction should be {day count fraction}

Examples:

start dateend dateday count fraction
2000-01-012004-01-014.00
2000-01-012004-02-294.16120219
2000-01-012005-01-015.00
2000-01-012005-12-315.9972603

Given the dates {start date} and {end date}

When the ActualActual(ISDA) day count convention is used

Then the year fraction should be {day count fraction}

Examples:

start dateend dateday count fraction
2003-11-012004-05-010.49772438
1999/02-012000-07-011.412336253
2002-08-152004-01-151.419073284
1999-07-302000-06-300.919193053
1999-11-302000-04-300.415540085
2006-01-312006-02-280.076712329
2006-01-302006-02-280.079452055
2006-02-282006-03-030.008219178
2006-02-142006-02-280.038356164
2006-09-302006-10-310.084931507
2006-10-312006-11-280.076712329
2007-08-312008-02-280.495890411
2008-02-282008-08-280.49726776
2008-02-282008-08-300.50273224
2008-02-282008-08-310.505464481
2007-02-282008-02-281.00000000
2007-02-282008-02-291.001367989
2008-02-292009-02-280.99726776
2008-02-292008-03-300.081967213
2008-02-292008-03-310.084699454

Feature Coverage By Scenario

Test Outcomes

Test Performance

Key Statistics

Number of Scenarios 4 Total Duration 1s
Total Number of Test Cases 42 Fastest Test 15ms
Number of Manual Test Cases 0 Slowest Test 45ms
Tests Started Apr 11, 2023 10:42:16 Average Execution Time 25ms
Tests Finished Apr 11, 2023 10:42:17 Total Execution Time 1s

Automated Tests

feature Scenario Context Steps Started Total Duration Result
ActualActual (ISDA) day count convention 1: The end dates do not involve last day of February
start date=2006-08-20, end date=2007-02-20, day count fraction=0.5041096
windows 3 10:42:16 015ms SUCCESS
ActualActual (ISDA) day count convention 2: The end dates do not involve last day of February
start date=2007-02-20, end date=2007-08-20, day count fraction=0.4958904
windows 3 10:42:16 015ms SUCCESS
ActualActual (ISDA) day count convention 3: The end dates do not involve last day of February
start date=2007-08-20, end date=2008-02-20, day count fraction=0.5041096
windows 3 10:42:16 036ms FAILURE
ActualActual (ISDA) day count convention 4: The end dates do not involve last day of February
start date=2008-02-20, end date=2008-08-20, day count fraction=0.4972678
windows 3 10:42:16 015ms SUCCESS
ActualActual (ISDA) day count convention 5: The end dates do not involve last day of February
start date=2008-08-20, end date=2009-02-20, day count fraction=0.5041096
windows 3 10:42:16 037ms FAILURE
ActualActual (ISDA) day count convention 6: The end dates do not involve last day of February
start date=2009-02-20, end date=2009-08-20, day count fraction=0.4958904
windows 3 10:42:16 024ms SUCCESS
ActualActual (ISDA) day count convention 1: The end dates include some end-February dates
start date=2006-02-28, end date=2006-08-31, day count fraction=0.504109589
windows 3 10:42:16 022ms SUCCESS
ActualActual (ISDA) day count convention 2: The end dates include some end-February dates
start date=2006-08-31, end date=2007-02-28, day count fraction=0.495890411
windows 3 10:42:16 020ms SUCCESS
ActualActual (ISDA) day count convention 3: The end dates include some end-February dates
start date=2007-02-28, end date=2007-08-31, day count fraction=0.504109589
windows 3 10:42:16 019ms SUCCESS
ActualActual (ISDA) day count convention 4: The end dates include some end-February dates
start date=2007-08-31, end date=2008-02-29, day count fraction=0.49726776
windows 3 10:42:16 034ms FAILURE
ActualActual (ISDA) day count convention 5: The end dates include some end-February dates
start date=2008-02-29, end date=2008-08-31, day count fraction=0.50273224
windows 3 10:42:16 018ms SUCCESS
ActualActual (ISDA) day count convention 6: The end dates include some end-February dates
start date=2008-08-31, end date=2009-02-28, day count fraction=0.495890411
windows 3 10:42:16 025ms FAILURE
ActualActual (ISDA) day count convention 7: The end dates include some end-February dates
start date=2009-02-28, end date=2009-08-31, day count fraction=0.504109589
windows 3 10:42:16 020ms SUCCESS
ActualActual (ISDA) day count convention 8: The end dates include some end-February dates
start date=2009-08-31, end date=2010-02-28, day count fraction=0.495890411
windows 3 10:42:16 017ms SUCCESS
ActualActual (ISDA) day count convention 9: The end dates include some end-February dates
start date=2010-02-28, end date=2010-08-31, day count fraction=0.504109589
windows 3 10:42:16 017ms SUCCESS
ActualActual (ISDA) day count convention 10: The end dates include some end-February dates
start date=2010-08-31, end date=2011-02-28, day count fraction=0.495890411
windows 3 10:42:16 016ms SUCCESS
ActualActual (ISDA) day count convention 11: The end dates include some end-February dates
start date=2011-02-28, end date=2011-08-31, day count fraction=0.504109589
windows 3 10:42:16 016ms SUCCESS
ActualActual (ISDA) day count convention 12: The end dates include some end-February dates
start date=2011-08-31, end date=2012-02-29, day count fraction=0.49726776
windows 3 10:42:16 022ms FAILURE
ActualActual (ISDA) day count convention 1: The start date and the end date include two leap years
start date=2000-01-01, end date=2004-01-01, day count fraction=4.00
windows 3 10:42:16 020ms SUCCESS
ActualActual (ISDA) day count convention 2: The start date and the end date include two leap years
start date=2000-01-01, end date=2004-02-29, day count fraction=4.16120219
windows 3 10:42:16 022ms SUCCESS
ActualActual (ISDA) day count convention 3: The start date and the end date include two leap years
start date=2000-01-01, end date=2005-01-01, day count fraction=5.00
windows 3 10:42:16 019ms SUCCESS
ActualActual (ISDA) day count convention 4: The start date and the end date include two leap years
start date=2000-01-01, end date=2005-12-31, day count fraction=5.9972603
windows 3 10:42:16 022ms SUCCESS
ActualActual (ISDA) day count convention 1: Miscellaneous calculation
start date=2003-11-01, end date=2004-05-01, day count fraction=0.49772438
windows 3 10:42:16 020ms SUCCESS
ActualActual (ISDA) day count convention 2: Miscellaneous calculation
start date=1999/02-01, end date=2000-07-01, day count fraction=1.412336253
windows 3 10:42:17 019ms ERROR
ActualActual (ISDA) day count convention 3: Miscellaneous calculation
start date=2002-08-15, end date=2004-01-15, day count fraction=1.419073284
windows 3 10:42:17 035ms SUCCESS
ActualActual (ISDA) day count convention 4: Miscellaneous calculation
start date=1999-07-30, end date=2000-06-30, day count fraction=0.919193053
windows 3 10:42:17 024ms SUCCESS
ActualActual (ISDA) day count convention 5: Miscellaneous calculation
start date=1999-11-30, end date=2000-04-30, day count fraction=0.415540085
windows 3 10:42:17 033ms SUCCESS
ActualActual (ISDA) day count convention 6: Miscellaneous calculation
start date=2006-01-31, end date=2006-02-28, day count fraction=0.076712329
windows 3 10:42:17 033ms SUCCESS
ActualActual (ISDA) day count convention 7: Miscellaneous calculation
start date=2006-01-30, end date=2006-02-28, day count fraction=0.079452055
windows 3 10:42:17 041ms SUCCESS
ActualActual (ISDA) day count convention 8: Miscellaneous calculation
start date=2006-02-28, end date=2006-03-03, day count fraction=0.008219178
windows 3 10:42:17 040ms SUCCESS
ActualActual (ISDA) day count convention 9: Miscellaneous calculation
start date=2006-02-14, end date=2006-02-28, day count fraction=0.038356164
windows 3 10:42:17 033ms SUCCESS
ActualActual (ISDA) day count convention 10: Miscellaneous calculation
start date=2006-09-30, end date=2006-10-31, day count fraction=0.084931507
windows 3 10:42:17 034ms SUCCESS
ActualActual (ISDA) day count convention 11: Miscellaneous calculation
start date=2006-10-31, end date=2006-11-28, day count fraction=0.076712329
windows 3 10:42:17 031ms SUCCESS
ActualActual (ISDA) day count convention 12: Miscellaneous calculation
start date=2007-08-31, end date=2008-02-28, day count fraction=0.495890411
windows 3 10:42:17 036ms FAILURE
ActualActual (ISDA) day count convention 13: Miscellaneous calculation
start date=2008-02-28, end date=2008-08-28, day count fraction=0.49726776
windows 3 10:42:17 025ms SUCCESS
ActualActual (ISDA) day count convention 14: Miscellaneous calculation
start date=2008-02-28, end date=2008-08-30, day count fraction=0.50273224
windows 3 10:42:17 023ms SUCCESS
ActualActual (ISDA) day count convention 15: Miscellaneous calculation
start date=2008-02-28, end date=2008-08-31, day count fraction=0.505464481
windows 3 10:42:17 017ms SUCCESS
ActualActual (ISDA) day count convention 16: Miscellaneous calculation
start date=2007-02-28, end date=2008-02-28, day count fraction=1.00000000
windows 3 10:42:17 030ms FAILURE
ActualActual (ISDA) day count convention 17: Miscellaneous calculation
start date=2007-02-28, end date=2008-02-29, day count fraction=1.001367989
windows 3 10:42:17 045ms FAILURE
ActualActual (ISDA) day count convention 18: Miscellaneous calculation
start date=2008-02-29, end date=2009-02-28, day count fraction=0.99726776
windows 3 10:42:17 028ms FAILURE
ActualActual (ISDA) day count convention 19: Miscellaneous calculation
start date=2008-02-29, end date=2008-03-30, day count fraction=0.081967213
windows 3 10:42:17 016ms SUCCESS
ActualActual (ISDA) day count convention 20: Miscellaneous calculation
start date=2008-02-29, end date=2008-03-31, day count fraction=0.084699454
windows 3 10:42:17 018ms SUCCESS

Manual Tests

No manual tests were recorded
Serenity BDD version 3.6.22