Day-Count Convention

Debt instruments use a day-count convention to calculate the amount of accrued interest when the next coupon payment is less than a full coupon period away.

The D-ASA MUST specify one day-count convention \([IPCD]\) (uint8).

The day-count convention MUST be identified with one of the following enumerated IDs (uint8):

IDNameACTUSDescription
0Actual/Actual\([AA]\)Year fractions accrue on the basis of the actual number of days per month and per year in the respective period
1Actual/360\([A360]\)Year fractions accrue on the basis of the actual number of days per month and 360 days per year in the respective period
2Actual/365\([A365]\)Year fractions accrue on the basis of the actual number of days per month and 365 days per year in the respective period
330/360 ISDA\([30E360ISDA]\)Year fractions accrue on the basis of 30 days per month and 360 days per year in the respective period (ISDA method)
430/360\([30E360]\)Year fractions accrue on the basis of 30 days per month and 360 days per year in the respective period
528/366\([28E336]\)Year fractions accrue on the basis of 28 days per month and 366 days per year in the respective period
630/365-Year fractions accrue on the basis of 30 days per month and 365 days per year in the respective period
255Continuous-Time fractions accrue on the basis of the number of UNIX time units (non-leap seconds) in the respective time period

The day-count convention defines the day-count factor as a fraction of:

  • Numerator: elapsed time of the accrual period to date;
  • Denominator: time of the full accrual period defined by the time schedule.

The day-count convention MUST be set using the asset_config method.

đź“Ž EXAMPLE

Let’s have a D-ASA with the following coupon dates:

  • date1: starting date for the current coupon’s interest accrual, defined by the time schedule;
  • date2: date through which the interest is being accrued (“to” date), equals to the current block timestamp;
  • date3: next coupon due date, defined by the time schedule.

The day-count factor is calculated as:

Continuous (255) convention:

(date2 - date1) / (date3 - date1)

Actual/Actual (0) convention:

days_in(date2 - date1) / days_in(date3 - date1)

Where days_in returns the actual number of days (equal to 86400 seconds) in the time interval.

Calendar

Calendars define the non-working days which may affect the dates of traditional debt instruments.

The AVM (so the D-ASA) time has no notion of calendars. Conversion of serial UNIX timestamps into a year/month/day triple1 (and vice versa) can be performed by external Algorand Applications2 or client side.

The D-ASA MAY specify a calendar \([CLDR]\).

The calendar MUST be identified with one of the following enumerated IDs (uint8):

IDNameACTUSDescription
0No Calendar\([NC]\)No holidays defined (default if not specified)
1Monday to Friday\([MF]\)Saturdays and Sundays are holidays
255Custom-Custom holidays definition

The calendar MAY be set using the OPTIONAL set_asset_metadata method (see Metadata section).

A reference implementation SHOULD use the default calendar (0).

Business Day Convention

Debt instruments cash flows execution may be stopped on non-working days (according to a calendar).

The business day convention defines how D-ASA execution can be shifted to the next business day (following) or the previous on (preceding).

The D-ASA MAY specify a business day convention \([BDC]\).

It is RECOMMENDED to use an ACTUS business day convention.

The business day convention MAY be set using the OPTIONAL set_asset_metadata method (see Metadata section).

A reference implementation SHOULD NOT adopt a business day convention (as it has no defined calendar).

End of Month Convention

Debt instruments may define due dates as the last day of the month.

The end-of-month convention defines how D-ASA execution can be shifted according to the different number of days in months (31, 30, and 28) according to the calendar.

The D-ASA MAY specify a end-of-month convention \([EOMC]\).

It is RECOMMENDED to use an ACTUS end-of-month convention.

The end-of-month convention MAY be set using the OPTIONAL set_asset_metadata method (see Metadata section).

A reference implementation SHOULD NOT adopt an end-of-month day convention (as it has no defined calendar).

1

The paper "chrono-Compatible Low-Level Date Algorithms" (ref), by Howard Hinnant, provides a list of algorithms for the conversion of serial UNIX time into a proleptic Gregorian calendar (and vice versa).

2

An example of Algorand Application implementing the conversion of serial UNIX time into a proleptic Gregorian calendar year/month/day triple.