thirty_360_eu

0th

Percentile

The years between two dates using the 30/360 (EU) day basis convention.

This calculates the years between two dates using the 30/360 (EU) day basis convention. This convention assumes that months consists of 30 days and years consist of 360 calendar days. This is also known as the 30/360 ICMA, Eurobond (ISDA 2006) and Special German basis.

Keywords
internal
Usage
thirty_360_eu(date1, date2)
Arguments
date1

A date-time object

date2

A date-time object

Details

The day count is determined after making the following (ordered) modifications:

1. If the start date is the 31st, set the start date to the 30th

2. If the end date is 31st, set the end date to the 30th

The year fraction is then calculated as: $$\frac{(d_2-d_1) + (m_2-m_1)\times 30 + (y_2-y_1)\times 360}{360}$$

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.

Value

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

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