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

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.

Author(s)

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

#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.