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. 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.