ISDA day-count conventions with year-fractions and daycounts
Clone or download
Latest commit b2789c5 Oct 3, 2018
Permalink
Type Name Latest commit message Commit time
Failed to load latest commit information.
isda_daycounters minor shuffling, added documentation to README Oct 3, 2018
README.md readme typo Oct 3, 2018

README.md

isda_daycounters

ISDA day-count conventions with year-fractions and day-counts


A very minimal ISDA day-count function collection, for the conventions

  • Actual/360
  • Actual/365
  • Actual/Actual
  • Thirty/360
  • ThirtyE/360 (Eurobond)
  • ThirtyE/360 (ISDA)

as defined in the 2006 ISDA definition guidelines and 2008 ISDA definitions.

Each day count convention is placed in its own module with both day_count() and year_fraction() functions, to leverage Python's treatment of modules as first-class objects.

Why?

For a small instrument valuation tool I was working on in Python I needed ISDA-convention day counters, but didn't particularly feel like using Fincad or QuantLib Python bindings purely for day-count convention implementations for an otherwise independent project.