quantdates (version 2.0.4)

day_count: day_count

Description

Function to count the number of years between two dates according to the given convention.

Usage

day_count(tfinal, tinitial, convention = "ACT/365")

Value

Number of years between the specified dates according to the convention.

Arguments

tfinal

Final date.

tinitial

Initial date.

convention

Character that specifies the convention. See details.

Author

Julian Chitiva

Details

The convention accepts the following values:

• 30/360. $$DayCount = \frac{360\times(Y_2-Y_1)+30\times (M_2-M_1) + (D_2-D_1)}{360}$$ Here the dates are in the following format

  • tfinal = \(Y_2\)-\(M_2\)-\(D_2\) (YYYY-MM-DD).

  • tinitial = \(Y_1\)-\(M_1\)-\(D_1\) (YYYY-MM-DD).

  It is important to note that

  • \(D_1=\min(D_1,30)\)

  • If \(D_1=30\) then \(D_2=\min(D_2,30)\)

• ACT/365 (Default). $$DayCount = \frac{Days(tintial, tfinal)}{365}$$

  Also known as ACT/365 Fixed.

• ACT/360. $$DayCount = \frac{Days(tintial, tfinal)}{360}$$

• ACT/365L. $$DayCount = \frac{Days(tintial, tfinal)}{DiY}$$

  If February 29 is in the range from Date1 (exclusive) to Date2 (inclusive), then DiY = 366, else DiY = 365.

• NL/365.

  If February 29 is not in the period then actual number of days between dates is used. Else actual number of days minus 1 is used. Day count basis = 365.

• ACT/ACT-ISDA. $$DayCount = \frac{Days\; not\; in\; leap\; year}{365} + \frac{Days\; in\; leap\; year}{366}$$

• ACT/ACT-AFB. $$DayCount = \frac{Days(tintial, tfinal)}{DiY}$$

  The basic rule is that if February 29 is in the range from Date1 (inclusive) to Date2 (exclusive), then DiY = 366, else DiY = 365.

  If the period from Date1 to Date2 is more than one year, the calculation is split into two parts:

  • The number of complete years, counted back from the last day of the period.

  • The remaining initial stub, calculated using the basic rule.

References

International Swaps and Derivatives Association. (2006). 2006 ISDA definitions. New York, N.Y: International Swaps and Derivatives Association.

Examples

#Function accepts Dates as Dates or as characters.
day_count(tfinal='2023-03-08',tinitial='2019-02-28',convention='ACT/365')
day_count(tfinal=as.Date('2023-03-08'),tinitial=as.Date('2019-02-28'),convention='ACT/360')
day_count(tfinal='2023-03-08',tinitial=as.Date('2019-02-28'),convention='30/360')
day_count(tfinal='2023-03-08',tinitial='2019-02-28',convention='NL/365')
day_count(tfinal='2023-03-08',tinitial='2019-02-28',convention='ACT/ACT-ISDA')
day_count(tfinal='2023-03-08',tinitial='2019-02-28',convention='ACT/ACT-AFB')