tind (version 0.2.4)

daycount_frac: Differences Between Dates as Year Fractions / Accrual Factors

Description

This function computes difference between two dates as year fraction given day count convention.

Usage

daycount_frac(d1, d2, convention)

Value

A numeric vector.

Arguments

d1

an object of tind class representing start date(s) or an R object coercible to it.

d2

an object of tind class representing end date(s) or an R object coercible to it.

convention

a chacter string determining day count convention to be used, see Details.

Details

Currently, the following day count conventions are supported:

30/360

also known as 30/360 Bond Basis or 360/360, described in ISDA 2006 Section 4.16(f). The formula is as follows: $$\frac{360(y_2-y_1) + 30(m_2-m_1) + (d_2-d_1)}{360},$$ where \(y\) denotes year, \(m\) month, \(d\) day of month. Dates are adjusted accoring to the following rules: if \(d_1\) is 31, it is changed to 30, if \(d_2\) is 31 and \(d_1\) is 30 or 31, \(d_2\) is changed to 30.

30E/360

also known as Eurobond basis, 30/360 ICMA or 30/360 ISMA, described in ICMA Rule 251.1(ii), 251.2 and ISDA 2006 Section 4.16(g). The formula used is the same as above but the adjustment of dates is different: if \(d_1\) or \(d_2\) is 31, it is changed to 30.

ACT/ACT

also known as Actual/Actual and Actual/Actual ISDA, described in ISDA 2006 Section 4.16(b). Days between the dates (start included, end excluded) are divided into two groups: falling in leap and non-leap years. The number of days in leap years is divided by 366, the number of days in non-leap years is divided by 365. Finally, the two fractions are added.

ACT/365F

also known as Actual/365 Fixed, described in ISDA 2006 Section 4.16(d). Difference in days between dates divided by 365.

ACT/360

also known as Actual/360, described in ISDA 2006 Section 4.16(e). Difference in days between dates divided by 360.

References

International Swaps and Derivatives Association, Inc., 2006 ISDA Definitions, New York, 2006.

See Also

year_frac, bizday.

Examples

daycount_frac("2023-01-29", "2023-03-31", "30/360")
1/6 + 2/360
daycount_frac("2023-01-29", "2023-03-31", "30E/360")
1/6 + 1/360
daycount_frac("2023-01-29", "2023-03-31", "ACT/ACT")
61 / 365
daycount_frac("2024-01-29", "2024-03-31", "ACT/ACT")
62 / 366
daycount_frac("2023-01-29", "2023-03-31", "ACT/365F")
61 / 365
daycount_frac("2024-01-29", "2024-03-31", "ACT/365F")
62 / 365
daycount_frac("2023-01-29", "2023-03-31", "ACT/360")
61 / 360
daycount_frac("2024-01-29", "2024-03-31", "ACT/360")
62 / 360