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Rune Testing is a java library that is utilised by Rosetta Code Generators and models expressed in the Rosetta DSL.
<?xml version="1.0" encoding="UTF-8"?><?xml-stylesheet type="text/css" href="FpML.CodeList.genericode.css"?>
<gcl:CodeList xmlns:gcl="https://docs.oasis-open.org/codelist/ns/genericode/1.0/" xmlns:doc="http://www.fpml.org/coding-scheme/documentation" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://docs.oasis-open.org/codelist/ns/genericode/1.0/ genericode.xsd">
<Annotation>
<Description>
<doc:definition>Defines a scheme of values for specifying how the number of days between
two dates is calculated for purposes of calculation of a fixed or floating payment
amount and the basis for how many days are assumed to be in a year.</doc:definition>
<doc:publicationDate>021-06-25</doc:publicationDate>
</Description>
</Annotation>
<Identification>
<ShortName>dayCountFractionScheme</ShortName>
<Version>2-3</Version>
<CanonicalUri>http://www.fpml.org/coding-scheme/day-count-fraction</CanonicalUri>
<CanonicalVersionUri>http://www.fpml.org/coding-scheme/day-count-fraction-2-3</CanonicalVersionUri>
<LocationUri>http://www.fpml.org/coding-scheme/day-count-fraction-2-3.xml</LocationUri>
</Identification>
<ColumnSet>
<Column Id="Code" Use="required">
<ShortName>Code</ShortName>
<Data Type="token">
<Parameter ShortName="maxLength">63</Parameter>
</Data>
</Column>
<Column Id="Source" Use="optional">
<ShortName>Source</ShortName>
<Data Type="string"/>
</Column>
<Column Id="Description" Use="optional">
<ShortName>Description</ShortName>
<Data Type="string"/>
</Column>
<Key Id="PrimaryKey">
<ShortName>key</ShortName>
<ColumnRef Ref="Code"/>
</Key>
</ColumnSet>
<SimpleCodeList>
<Row>
<Value>
<SimpleValue>1/1</SimpleValue>
</Value>
<Value>
<SimpleValue>FpML</SimpleValue>
</Value>
<Value>
<SimpleValue>Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fractions, paragraph
(i) or 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (a) or
Annex to the 2000 ISDA Definitions (June 2000 Version), Section 4.16. Day Count
Fraction, paragraph (a).</SimpleValue>
</Value>
</Row>
<Row>
<Value>
<SimpleValue>30/360</SimpleValue>
</Value>
<Value>
<SimpleValue>FpML</SimpleValue>
</Value>
<Value>
<SimpleValue>Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fractions, paragraph
(vi) or 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (f)
or Annex to the 2000 ISDA Definitions (June 2000 Version), Section 4.16. Day
Count Fraction, paragraph (e).</SimpleValue>
</Value>
</Row>
<Row>
<Value>
<SimpleValue>30E/360</SimpleValue>
</Value>
<Value>
<SimpleValue>FpML</SimpleValue>
</Value>
<Value>
<SimpleValue>Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fractions, paragraph
(vii) or 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (g)
or Annex to the 2000 ISDA Definitions (June 2000 Version), Section 4.16. Day
Count Fraction, paragraph (f). Note that the algorithm defined for this day
count fraction has changed between the 2000 ISDA Definitions and 2006 ISDA
Definitions. See Introduction to the 2006 ISDA Definitions for further
information relating to this change.</SimpleValue>
</Value>
</Row>
<Row>
<Value>
<SimpleValue>30E/360.ISDA</SimpleValue>
</Value>
<Value>
<SimpleValue>FpML</SimpleValue>
</Value>
<Value>
<SimpleValue>Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fractions, paragraph
(viii) or 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph
(h). Note the algorithm for this day count fraction under the 2006 ISDA
Definitions is designed to yield the same results in practice as the version of
the 30E/360 day count fraction defined in the 2000 ISDA Definitions. See
Introduction to the 2006 ISDA Definitions for further information relating to
this change.</SimpleValue>
</Value>
</Row>
<Row>
<Value>
<SimpleValue>ACT/360</SimpleValue>
</Value>
<Value>
<SimpleValue>FpML</SimpleValue>
</Value>
<Value>
<SimpleValue>er 2021 ISDA Definitions, Section 4.6.1 Day Count Fractions, paragraph
(v) or Per 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph
(e) or Annex to the 2000 ISDA Definitions (June 2000 Version), Section 4.16. Day
Count Fraction, paragraph (d).</SimpleValue>
</Value>
</Row>
<Row>
<Value>
<SimpleValue>ACT/365.FIXED</SimpleValue>
</Value>
<Value>
<SimpleValue>FpML</SimpleValue>
</Value>
<Value>
<SimpleValue>Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fractions, paragraph
(iv) or 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (d)
or Annex to the 2000 ISDA Definitions (June 2000 Version), Section 4.16. Day
Count Fraction, paragraph (c).</SimpleValue>
</Value>
</Row>
<Row>
<Value>
<SimpleValue>ACT/365L</SimpleValue>
</Value>
<Value>
<SimpleValue>FpML</SimpleValue>
</Value>
<Value>
<SimpleValue>Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fractions, paragraph
(ix) or 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph
(i).</SimpleValue>
</Value>
</Row>
<Row>
<Value>
<SimpleValue>ACT/ACT.AFB</SimpleValue>
</Value>
<Value>
<SimpleValue>FpML</SimpleValue>
</Value>
<Value>
<SimpleValue>The Fixed/Floating Amount will be calculated in accordance with the "BASE
EXACT/EXACT" day count fraction, as defined in the "Definitions Communes
plusieurs Additifs Techniques" published by the Association Francaise des
Banques in September 1994.</SimpleValue>
</Value>
</Row>
<Row>
<Value>
<SimpleValue>ACT/ACT.ICMA</SimpleValue>
</Value>
<Value>
<SimpleValue>FpML</SimpleValue>
</Value>
<Value>
<SimpleValue>Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fractions, paragraph
(iii) or 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (c).
This day count fraction code is applicable for transactions booked under the
2006 ISDA Definitions. Transactions under the 2000 ISDA Definitions should use
the ACT/ACT.ISMA code instead.</SimpleValue>
</Value>
</Row>
<Row>
<Value>
<SimpleValue>ACT/ACT.ISDA</SimpleValue>
</Value>
<Value>
<SimpleValue>FpML</SimpleValue>
</Value>
<Value>
<SimpleValue>Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fractions, paragraph
(ii) or 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (b)
or Annex to the 2000 ISDA Definitions (June 2000 Version), Section 4.16. Day
Count Fraction, paragraph (b). Note that going from FpML 2.0 Recommendation to
the FpML 3.0 Trial Recommendation the code in FpML 2.0 'ACT/365.ISDA' became
'ACT/ACT.ISDA'.</SimpleValue>
</Value>
</Row>
<Row>
<Value>
<SimpleValue>ACT/ACT.ISMA</SimpleValue>
</Value>
<Value>
<SimpleValue>FpML</SimpleValue>
</Value>
<Value>
<SimpleValue>The Fixed/Floating Amount will be calculated in accordance with Rule 251
of the statutes, by-laws, rules and recommendations of the International
Securities Market Association, as published in April 1999, as applied to
straight and convertible bonds issued after December 31, 1998, as though the
Fixed/Floating Amount were the interest coupon on such a bond. This day count
fraction code is applicable for transactions booked under the 2000 ISDA
Definitions. Transactions under the 2006 ISDA Definitions should use the
ACT/ACT.ICMA code instead.</SimpleValue>
</Value>
</Row>
<Row>
<Value>
<SimpleValue>BUS/252</SimpleValue>
</Value>
<Value>
<SimpleValue>FpML</SimpleValue>
</Value>
<Value>
<SimpleValue>The number of Business Days in the Calculation Period or Compounding
Period in respect of which payment is being made divided by 252. Per 2021 ISDA
Definitions, Section 4.6.1 Day Count Fractions, paragraph (v) -
Calculation/252</SimpleValue>
</Value>
</Row>
<Row>
<Value>
<SimpleValue>RBA</SimpleValue>
</Value>
<Value>
<SimpleValue>FpML</SimpleValue>
</Value>
<Value>
<SimpleValue>Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fractions, paragraph
(xi) or 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph
(j)(k) or (l)- RBA Bond Basis. The calculation mechanics are driven
deterministically by the Calculation Period Frequency.</SimpleValue>
</Value>
</Row>
</SimpleCodeList>
</gcl:CodeList> © 2015 - 2025 Weber Informatics LLC | Privacy Policy