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Act/365A and Act/365F Date Accrual Calculations

Article Quant Q&A · Author: gt6989b
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Summary

The document compares two interpretations of an Act/365 day-count convention for accrual periods spanning a leap day. Both methods count the actual calendar days between the dates; they differ in the denominator. Under Act/365F, the denominator remains 365. Under Act/365A, it is 366 when February 29 falls within the accrual period.

For the example dates, the response gives accrual fractions of 367/366 and 732/366 under Act/365A, versus 367/365 and 732/365 under Act/365F. It says the fixed-denominator result matches the proposed approach of adding whole years and applying a fractional day count. The correct choice therefore depends on which convention the calculation is meant to follow. The answer notes that convention names and regional usage can be ambiguous; it does not establish which convention applies in a particular contract or market.

Key ideas

  • Both conventions use the actual number of calendar days in the accrual period.
  • Act/365F always divides the day count by 365.
  • Act/365A uses 366 when February 29 occurs within the accrual period.
  • The intended convention determines how leap-year accruals should be calculated.

Tags

Fixed incomeStatistics
Full text
# Translating dates to times


# Translating dates to times












I am using Act/365 day-count convention. How do I compute the time offset between 2/28/2015 and 3/1/2016? 3/1/2017

Some ideas:



- Add whole years, and only apply day count convention to the fraction of dates less than a year. Then we end up with $1 \frac{2}{365}$ and $2 \frac{1}{365}$.

Does anyone know which of the 2 approaches is correct? Thanks.

## Answer by TheWright (score 2, accepted)

https://quant.stackexchange.com/a/22447

> I am using Act/365 day-count convention. How do I compute the time offset between 2/28/2015 and 3/1/2016? 3/1/2017

So it is not clear whether you are referring to the Act/365F (Fixed) or the Act/365A (Actual). I think you are trying to us Act/365A as it is much more commonly used in the USA. Where as the Act/365F is more used in the UK from what I know.

If I am wrong and you are trying to use Act/365F then answer 1 is correct.

Under both Act/365A & Act/365F The numerator is the actual number of days in the accrual period.

Under Act/365A The denominator is 366 Feb 29 falls within the accrual period.

Thus:

- For 3/1/2016 the accrual would be 367/366

- For 3/1/2017 the accrual would be 732/366

Under Act/365F The denominator is always 365.

Thus:

- For 3/1/2016 the accrual would be 367/365

- For 3/1/2017 the accrual would be 732/365

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.