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, conventions have been established for calculating the number of days in the year (known as the basis).

Anaplan defaults to the US 30/360 convention for day count (with a few differences). 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 — formerly known as the National Association of Securities Dealers (NASD).

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

Contains maths calculation – calculation is : DayCountFactor = fraction start, 360 x (Y, subscript 2, - Y, subscript 1, ) + 30 x (M, subscript 2, - M, subscript 1,) + ( D, subscript 2, - D, subscript 1, ), over 360, end of fraction, with 16 items.

Where:

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

There are then various conventions by which you can adjust D1 and D2 for determining 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; and
  • if D1 is 31, then change D1 to 30.

Differences in Anaplan

Anaplan differs from these conventions in that the full set of rules are only applied when calculating COUPDAYSNC. For other calculations, Anaplan does not perform the start date check when applying the first and third conventions, outlined above, but follows these modified conventions instead:

  • 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; and
  • 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, Anaplan also accommodates the following conventions within 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; and
  • Actual/Actual, for which a year may have 365 or 366 days.
Note: Anaplan uses the ISDA convention for Actual/Actual, in which the number of days in leap and non-leap years are calculated separately.