Day Count Fraction

This Issue in United States

Day Count Fraction

Concept of Day Count Fraction in the context of derivatives contract, by the International Swaps and Derivatives Association (ISDA): The number of days between coupon payment dates (calculation period) divided by the number of days in the year as specified in the applicable day count convention. Day count fraction is then input to calculate the accrued interest and the present value of the coupon.

Resources

See Also

• Derivatives Contract