yearfrac: The years between two dates for a given day basis convention

Description Usage Arguments Details Value References See Also Examples

View source: R/dates.R

Description

This calculates the years between two dates using the given day basis convention.

Usage

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yearfrac(DateBegin, DateEnd, DayCountConv, maturity_date = NULL)

Arguments

maturity_date

a vector of dates representing the maturity date of the instrument. Only used for 30E/360 ISDA day basis.

date1

A vector of dates. This will be coerced to a Date class.

date2

A vector of dates. This will be coerced to a Date class.

day_basis

The basis on which the year fraction is calculated. See [is_valid_day_basis()]

Details

The order of date1 and date2 is not important. If date1 is less than date2 then the result will be non-negative. Otherwise, the result will be negative. The parameters will be repeated with recycling such that each parameter's length is equal to maximum length of any of the parameters.

Value

a numeric vector representing the number of years between date1 and date2.

References

http://en.wikipedia.org/wiki/Day_count_convention

See Also

Other counter methods: actual_360, actual_365, actual_actual_isda, is_valid_day_basis, thirty_360_eu_isda, thirty_360_eu_plus, thirty_360_eu, thirty_360_us, thirty_360

Examples

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require(lubridate)
yearfrac(ymd("2010-03-31"), ymd("2012-03-31"), "30/360us") # 2
yearfrac(ymd("2010-02-28"), ymd("2012-03-31"), "act/360")  # 2.116667
yearfrac(ymd("2010-02-28"), ymd("2012-03-31"), "act/365")  # 2.087671
yearfrac(ymd("2010-02-28"), ymd("2012-03-31"), "act/actisda")  # 2.086998

ThVWh/ralibr documentation built on April 4, 2018, 4:41 a.m.