yearfrac: Duration Between Two Dates in Fractional Year Terms

In Tsunamical28/mdpr: Municipal Data and Pricing

Description

Evaluates the duration between date1 and date2 in fractional year terms via the provided day count convention. For the 30/360 day count convention, it is assumed that there are 30 days in a month. If the bond is EOM, which is available only for the 30/360 day count convention, in a regular year the 3 days between February 28 and March 1 is assigned to February, otherwise to March. In a leap year, only 2 days is assigned to February for EOM. If the eom parameter is set to TRUE, then two additional rules will apply to EOM February dates to achieve the aforementioned behavior.

Usage

yearfrac(date1, date2, conv = "Act/Act", eom = FALSE)

Arguments

date1	starting date
date2	ending date
conv	the day count convention can be either "30/360", "Act/365", or "Act/Act" (default)
eom	option to assign additional days to February for the 30/360 day count convention

Value

fractional years between date1 and date2

Examples

d1 <- as.Date(c("2004-02-25","2003-02-28")
d2 <- as.Date(c("2015-01-01","2015-08-08")
yearfrac(d1, d2, conv = "30/360")
yearfrac(d1, d2, conv = "30/360", eom = TRUE)

Tsunamical28/mdpr documentation built on May 9, 2019, 5:15 p.m.