Add day count convention 30/360 #25
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gavincyi
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| start_date.day() >= 31, | ||
| tf.repeat(30, start_date.shape[0]), | ||
| start_date.day() | ||
| ) |
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This would be more succinctly expressed as
d1_days = tf.math.maximum(start_date.day(), 30)
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I guess you meant minimum instead. Fixed in a884fb0.
| tf.repeat(30, start_date.shape[0]), | ||
| start_date.day() | ||
| ) | ||
| d2_days = tf.where( |
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Similar rewrite here would be more efficient:
d2_days = tf.where(tf.math.equal(d1_days, 30) & tf.math.equal(end_date.day(), 31),
30,
end_date.day())
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|
Rebased master and addressed the comments. |
| d1_days = tf.minimum(start_date.day(), 30) | ||
| d2_days = tf.where( | ||
| tf.equal(d1_days, 30) & tf.equal(end_date.day(), 31), | ||
| tf.repeat(30, start_date.shape[0]), |
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No need for the tf.repeat here. tf.where in v2 does broadcasting so simply putting 30 here will work.
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Oops sorry I missed it in the first comment you mentioned. Fixed in 2df67e1
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| month_difference = (end_date.month() - start_date.month()) * 30 | ||
| year_difference = (end_date.year() - start_date.year()) * 360 | ||
|
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| return (day_difference + month_difference + year_difference) / 360 |
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could you please cast (day_difference + month_difference + year_difference) to the correct dtype (before dividing by 360)? As it stands, the output is always of float32.
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Addressed in 6fd5297
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Add day count convention 30/360 which is used in Swiss Franc swap pricing.
I have added test cases from ISDA spreadsheet examples