DayCounts.jl

Summary

Pricing fixed-income securities involves estimating year fractions between dates. However, the fraction of a year between two dates depends on factors such as leap years and there are various conventions for dealing with this.

In this package, we collect various day count conventions and provide a method yearfrac for computing the year fraction between dates.

Example

using DayCounts, Dates
import DayCounts: Thirty360, Actual360,Actual365Fixed,ActualActualISDA,ActualActualExcel, yearfrac

basis = [Thirty360(), Actual360(), Actual365Fixed(), ActualActualISDA(),ActualActualExcel()];

println("Year fraction between Jan 1 and April 1:\n")

for y in 2019:2020
    println("\n",y,isleapyear(y) ? " (Leap Year)" : " (No Leap Year)")
    
    for b in basis
       yf = yearfrac(Date(y,1,1),Date(y,4,1),b)
       println(b,": ",yf)
    end
end

The above code prints the following:

Year fraction between Jan 1 and April 1:

2019 (No Leap Year)
Thirty360(): 0.25
Actual360(): 0.25
Actual365Fixed(): 0.2465753424657534
ActualActualISDA(): 0.2465753424657534
ActualActualExcel(): 0.2465753424657534

2020 (Leap Year)
Thirty360(): 0.25
Actual360(): 0.25277777777777777
Actual365Fixed(): 0.2493150684931507
ActualActualISDA(): 0.24863387978142076
ActualActualExcel(): 0.24863387978142076

References

We used the following sources:

• https://en.wikipedia.org/wiki/Day_count_convention
• https://business.nasdaq.com/media/day-count-fractions_tcm5044-53854.pdf
• https://www.isda.org/2008/12/22/30-360-day-count-conventions