FpML Issues Tracker

Summary

Brazilian Real interest rate swaps use an unusual day count fraction for calculation of the fixed amounts. The day count is based on business, not calendar (actual) days and a year is assumed to have 252 days. For example, a Fixed Rate Day Count Fraction definition on a confirmation might read:

Calculation Days/252 where Calculation Days is the number of Business Days from and including the Effective Date up to and excluding the Termination Date.

So the suggested new code would be BUS/252 and the associated description would be something like:

"The number of Business Days in the Calculation Period or Compounding Period in respect of which payment is being made divided by 252."