1. Calculation functions
  2. All functions
  3. Financial functions
  4. Day count conventions

Many investment management functions rely on knowing the number of days between two dates. As the number of days in a year or month can vary, there are conventions that enable you to calculate the number of days in the year, which is known as the basis.

Anaplan defaults to the US 30/360 convention for day count, with a few differences. However, you can also choose to use other day count conventions.

US 30/360 day count conventions

The US 30/360 day count convention assumes 30 days for every month, and 360 days for the year. This convention was originally defined by the Financial Industry Regulatory Authority (FINRA).

US 30/360 uses the DayCountFactor formula to determine day count:

DayCountFactor=360×(Y2Y1)+30×(M2M1)+(D2D1)360DayCountFactor=\frac{360\times(Y_2-Y_1)+30\times(M_2-M_1)+(D_2-D_1)}{360}


Where:

  • Y is year,
  • M is month, and
  • D is day.

There are then various conventions by which you can adjust D1 and D2 to determine the end of the month, as some months are not 30 days long.

The US 30/360 conventions are:

  • If the investment is End of Month (EOM), the start date is the last day of February, and the end date is the last day of February, then change D2 to 30.
  • If the investment is EOM and the start date is the last day of February, then change D1 to 30.
  • If D2 is 31 and D1 is 30 or 31, then change D2 to 30.
  • If D1 is 31, then change D1 to 30.

Differences in Anaplan

Anaplan conventions differ from these in that the full set of rules is only applied when calculating COUPDAYSNC. For other calculations, the start date check is not performed for the first and third conventions outlined above. Instead, these modified conventions apply:

  • If the investment is EOM and the end date is the last day of February, then change D2 to 30.
  • If the investment is EOM and the start date is the last day of February, then change D1 to 30.
  • If D2 is 31, then change D2 to 30.
  • If D1 is 31, then change D1 to 30.

This allows the date adjustments for D2 to be independent of D1.

Other day count conventions

US 30/360 is the convention used by default in Anaplan. However, these conventions are also accommodated in the basis argument of the management functions:

  • Actual/360 and EUR 30/360, for which a year has 360 days.
  • Actual/365, for which a year has 365 days.
  • Actual/Actual, for which a year may have 365 or 366 days.

Note: Anaplan uses the International Swaps and Derivatives Association (ISDA) convention for Actual/Actual. In this convention, the number of days in leap and non-leap years are calculated separately.

Disclaimer

We may update our documentation occasionally, but will only do so in a way that does not negatively affect the features and functionality of the Anaplan service.