# day_count: day_count In quantdates: Manipulate Dates for Finance

## Description

Function to count the number of years between two dates according to the given convention.

## Usage

 1 day_count(tfinal, tinitial, convention = "ACT/365") 

## Arguments

 tfinal Final date. tinitial Initial date. convention Character that specifies the convention. See details.

## Details

The convention accepts the following values:

• 30/360.

DayCount = (360*(Y_2-Y_1)+30*(M_2-M_1) + (D_2-D_1))/360

Here the dates are in the following format

• tfinal = Y_2-M_2-D_2 (YYYY-MM-DD).

• tinitial = Y_1-M_1-D_1 (YYYY-MM-DD).

It is important to note that

• D_1=\min(D_1,30)

• If D_1=30 then D_2=\min(D_2,30)

• ACT/365 (Default).

DayCount = \frac{Days(tintial, tfinal)}{365}

Also known as ACT/365 Fixed.

• ACT/360.

DayCount = \frac{Days(tintial, tfinal)}{365}

• ACT/365L.

DayCount = \frac{Days(tintial, tfinal)}{DiY}

If February 29 is in the range from Date1 (exclusive) to Date2 (inclusive), then DiY = 366, else DiY = 365.

• NL/365.

If February 29 is not in the period then actual number of days between dates is used. Else actual number of days minus 1 is used. Day count basis = 365.

• ACT/ACT-ISDA.

DayCount = \frac{Days\; not\; in\; leap\; year}{365} + \frac{Days\; in\; leap\; year}{366}

• ACT/ACT-AFB.

DayCount = \frac{Days(tintial, tfinal)}{DiY}

The basic rule is that if February 29 is in the range from Date1 (inclusive) to Date2 (exclusive), then DiY = 366, else DiY = 365.

If the period from Date1 to Date2 is more than one year, the calculation is split into two parts:

• The number of complete years, counted back from the last day of the period.

• The remaining initial stub, calculated using the basic rule.

## Value

Number of years between the specified dates according to the convention.

Julian Chitiva

## Source

International Swaps and Derivatives Association - ISDA.

## References

International Swaps and Derivatives Association. (2006). 2006 ISDA definitions. New York, N.Y: International Swaps and Derivatives Association.

## Examples

 1 2 3 4 5 6 7 #Function accepts Dates as Dates or as characters. day_count(tfinal='2023-03-08',tinitial='2019-02-28',convention='ACT/365') day_count(tfinal=as.Date('2023-03-08'),tinitial=as.Date('2019-02-28'),convention='ACT/360') day_count(tfinal='2023-03-08',tinitial=as.Date('2019-02-28'),convention='30/360') day_count(tfinal='2023-03-08',tinitial='2019-02-28',convention='NL/365') day_count(tfinal='2023-03-08',tinitial='2019-02-28',convention='ACT/ACT-ISDA') day_count(tfinal='2023-03-08',tinitial='2019-02-28',convention='ACT/ACT-AFB') 

quantdates documentation built on July 1, 2020, 5:26 p.m.