Crate day_count_conventions

Day Count Conventions

This library supplies common day count conventions for financial applications.

Currently supported day count conventions are:

• Actual/360
• Actual/360 (inc)
• Actual/364
• Actual/365 (A)
• Actual/365 (Fixed)
• Actual/366
• Actual/366 (inc)
• Actual/365.25
• Actual/365.25 (inc)
• NL/365
• 1/1
• 30/360
• 30E/360
• 30E/360 (ISDA)
• 30E+/360 (ISDA)

If there are any conventions that you would like implemented, don’t hestitate to submit a PR or raise in issue on GitHub!

References:

Note: The following sources may have slightly different definitions. As a precaution, please see the documentations for the particular definitions used in this package.

• 1. OpenGamma (Chapter 3)
• 2. Wikipedia
• 3. 2006 ISDA Definitions
• 4. QuantLib
• 5. DeltaQuants

Structs

Actual360

Actual/360

Actual364

Actual/364

Actual366

Actual/366

Actual360Inc

Actual/360 (inc)

Actual365A

Actual/365 (A)

Actual365Fixed

Actual/365 (Fixed)

Actual366Inc

Actual/366 (inc)

Actual36525

Actual/365.25

Actual36525Inc

Actual/365.25 (inc)

DayCountFraction

Wrapper type for a day count fraction that contains information on which counter was used to generate the fraction.

NL365

NL/365

OneOne

1/1

Thirty360

30/360

ThirtyE360

30E/360

ThirtyE360ISDA

30E/360 (ISDA)

ThirtyEPlus360ISDA

30E+/360 (ISDA)

Traits

DayCounter

The DayCounter trait represents any day count conventions. Only one method is required: day_count_function.