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Leap Year Conventions

The selected Leap Year convention determines the number of days assumed in a leap year. The conventions supplied by Resolution are defined as follows:

 

Convention

Definition

.

Actual

The number of days in a leap year is 366. The number of days in a non-leap year is 365.

365

The number of days in every year is assumed to be 365, even in a leap year.

365 ISDA

The number of days in a leap year is 366, and the number of days in a non-leap year is 365. However the DayCount fraction (the proportion of a year) is calculated using the following formula:

Result = Daysly /366 + Daysny / 365

Daysly = Actual number of days in period that fall in a leap year.
Daysny = Actual number of days in period that fall in a normal year.

This contrasts the Actual/365 DayCount fraction which is determined by dividing the actual number of days in the period (regardless if there is a leap year) by 365.

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