ISDA day-count conventions with year-fractions and day-counts
A very minimal ISDA day-count function collection, for the conventions
- ThirtyE/360 (Eurobond)
- ThirtyE/360 (ISDA)
Each day count convention is placed in its own module with both
year_fraction() functions, to leverage Python's treatment of modules as first-class objects.
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.