jrvFinance (version 1.4.3)

daycount: Day count and year fraction for bond pricing

Description

Implements 30/360, ACT/360, ACT/360 and 30/360E day count conventions.

Usage

yearFraction(
  d1,
  d2,
  r1,
  r2,
  freq = 2,
  convention = c("30/360", "ACT/ACT", "ACT/360", "30/360E")
)
daycount.actual(d1, d2, variant = c("bond"))
daycount.30.360(d1, d2, variant = c("US", "EU", "IT"))

Arguments

d1

The starting date of period for day counts

d2

The ending date of period for day counts

r1

The starting date of reference period for ACT/ACT day counts

r2

The ending date of reference period for ACT/ACT day counts

freq

The frequency of coupon payments: 1 for annual, 2 for semi-annual, 12 for monthly.

convention

The daycount convention

variant

Three variants of the 30/360 convention are implemented, but only one variant of ACT/ACT is currently implemented

References

The 30/360 day count was converted from C++ code in the QuantLib library