A B C D E F G H I J K L M N    
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3 Example: DayCount with ACT/ACT
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5 n  Uses DiffY
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7 ACT/ACT Basis: using an AnnualSequence for Actual/Actual (in period) calculations
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9 ACT/ACT (in period) is a very common basis for bond and other calculations. For example, it is used for government bond calculations in 
10 the US, Canada France, Spain and New Zealand.  It is also used implicitly in the calculation of real estate rents.
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12 ACT/ACT (in period) is quite different from ACT/365 or ACT/(365/366).  ACT/ACT (in period) determines the number of fractional periods
13 between two dates, and then applies that to the annualised rate as determined by multipling the rate per period by the frequency per year.
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15 The following example shows how to do ACT/ACT in period firstly from first principles, then using an AnnualSequence in BusinessFunctions,
16 and finally using the bond formula ACCRINT, supplied with Excel.
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18 The AnnualSequence method is the most flexible because it will be correct even when the day in the month of a periodic payment changes.
19 This is because you have the ability to specify any dates you wish, and the functions will assume an equal periodic payment to be made on each
20 of these dates, even if they are not even.  In the Real Estate industry, UK rental quarter days (AnnualSequence of {25.3,24.07,29.09 and 12.25})
21 are an example of this.
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23 1 Calculation From First Principles
24 Coupon Period TimePeriod
25 From To PmtFreq Days From To Days ACT/ACT or ACT/ACT
26  15 Jan 01  15 Apr 01 4   90 days (a)  15 Jan 01  30 Mar 01   74 days     0.2056 years     0.2056 years  
27 (b)  15 Jan 01  31 Mar 01   75 days     0.2083 years     0.2083 years  
28 (c)  15 Jan 01  1 Apr 01   76 days     0.2111 years     0.2111 years  
29 2 Or, by Using an Annual Sequence    
30 Sequence From To ACT/ACT Checked
31   (1.14)   (a)  15 Jan 01  30 Mar 01       0.2056 years   Correct
32   (4.14)   (b)  15 Jan 01  31 Mar 01       0.2083 years   Correct
33   (7.14)   (c)  15 Jan 01  1 Apr 01       0.2111 years   Correct
34   (10.14)        
35  
36 3 Or, by Using Payment Frequency to estimate the annual sequence
37 using Excels Bond Formulae (ACCRINTM) From To ACT/ACT Checked
38 Maturity  15 Apr 01 (a)  15 Jan 01  30 Mar 01       0.2056 years   Correct
39 Frequency 4 p.a. (b)  15 Jan 01  31 Mar 01       0.2083 years   Correct
40 Basis 1 ACT/ACT (c)  15 Jan 01  1 Apr 01       0.2111 years   Correct
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