Description Usage Arguments Author(s) References
Implements 30/360, ACT/360, ACT/360 and 30/360E day count conventions.
1 2 3 4 5 6 7 8 9 10 11 12 | yearFraction(
d1,
d2,
r1,
r2,
freq = 2,
convention = c("30/360", "ACT/ACT", "ACT/360", "30/360E")
)
daycount.actual(d1, d2, variant = c("bond"))
daycount.30.360(d1, d2, variant = c("US", "EU", "IT"))
|
d1 |
The starting date of period for day counts |
d2 |
The ending date of period for day counts |
r1 |
The starting date of reference period for ACT/ACT day counts |
r2 |
The ending date of reference period for ACT/ACT day counts |
freq |
The frequency of coupon payments: 1 for annual, 2 for semi-annual, 12 for monthly. |
convention |
The daycount convention |
variant |
Three variants of the 30/360 convention are implemented, but only one variant of ACT/ACT is currently implemented |
Prof. Jayanth R. Varma jrvarma@iima.ac.in
The 30/360 day count was converted from C++ code in the QuantLib library
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