Daycount-class: Daycount class

Daycount-classR Documentation

Daycount class

Description

Daycount class helps adjusting the terms to compound interest rates. With annual rates it is necessary to convert periods of days or months to years units. The day count convention helps with that by defining the number of days of one year. Together with a calendar it defines the way the wordays are counted between two dates.

Details

Common day count rules are: actual/365, actual/360, business/252, 30/360, ...


fixedincome documentation built on July 9, 2023, 7:28 p.m.