Floating Rate Day Count Fraction - ISDA Definition

2006 ISDA Definitions A Jolly Contrarian owner’s manual™ 6.2(f) in a Nutshell™ The JC’s Nutshell™ summary of this term has moved uptown to the subscription-only ninja tier. For the cost of ½ a weekly 🍺 you can get it here. Sign up at Substack. You can even ask questions! Ask about it here. 6.2(f) in all its glory 6.2(f) “Floating Rate Day Count Fraction” means, in respect of any calculation of a Floating Amount: (i) if a Floating Rate Day Count Fraction is specified for the Swap Transaction or the Floating Rate Payer, the Floating Rate Day Count Fraction so specified; and (ii) if the Floating Rate Option specified as the applicable Floating Rate Option is listed in Section 6.2(g) and a Floating Rate Day Count Fraction is not specified for the Swap Transaction or the Floating Rate Payer, the Day Count Fraction indicated for that Floating Rate Option in Section 6.2(g); and (iii) in all other cases, if a Floating Rate Option defined in Section 7.1 (Rate Options) is specified as the applicable Floating Rate Option, “Actual/360”. edit 2021 ISDA Interest Rate Derivatives Definitions Resources and Navigation Template:M res DI 2006 Premium version of this page

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Glorious use of day count fractions, that.