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Overview
Eagle supports the BUS/252 day count basis (occasionally referred to as ACT/252) in V11.0 and all subsequent releases. This day count is used for Brazilian vanilla bonds, Brazilian inflation-linked notes, and Brazilian Pre-DI interest rate swaps. While you will typically see all of these securities quoted as BUS/252, the day count works differently between bonds and swaps. In Eagle, two separate day counts were added in order to support this distinction.
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Difference
BUS/252
Period-to-date accrual formula for BUS/252 = ((1 + Interest Rate)^0.5 - 1) / TBD * BDP * Quantity
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Note: Brazilian Pre-DI interest rate swaps only pay one coupon at maturity, so for these securities BDP will always be equal to the number of actual business days that have passed since effective date.
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Reference Data
Calendar Requirement
Securities with Day Count Basis (471) = BUS/252 or ACT/252 must have Business Calendar Name (1480) = BR on the security master file (SMF). A trade booked against an SMF with Day Count Basis = BUS/252 or ACT/252 will fail if any other calendar is supplied.
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