daycount: Day count and year fraction for bond pricing

In jrvFinance: Basic Finance; NPV/IRR/Annuities/Bond-Pricing; Black Scholes

Description

Implements 30/360, ACT/360, ACT/360 and 30/360E day count conventions.

Usage

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"))

Arguments

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

Author(s)

Prof. Jayanth R. Varma [e-mail]

References

The 30/360 day count was converted from C++ code in the QuantLib library

jrvFinance documentation built on Nov. 5, 2021, 5:07 p.m.