Basis 0 = NASD number of days in range / 360
Basis 1 = actual number of days in range / actual number of days in year
(365 or 366)
Basis 2 = actual number of days in range / 360
Basis 3 = actual number of days in range / 365
Basis 4 = European number of days in range / 360
Basis 0 and 4 really = number of months in range / 12. If you have a whole
month in the range (ie from the 1st of one month to the 1st of the next),
you will always get a Yearfrac of 0.083333 (ie, 1/12), regardless of the
number of days in the month. For periods of less than one month, Basis 0 and
4 = Basis 2.
Basis 0 and 4 differ in determining how long a month is. Under Basis 0, one
month is 30 days, so from Jan 1 to Jan 31 is a full month, therefore a
Yearfrac of 0.083333. Under Basis 4, one month is a full calendar month, so
Jan 1 to Jan 31 is .080556.
Regards,
Fred.
