finpricing.utils.day_count

Module Contents

Classes

DayCountTypes	Generic enumeration.
DayCount

class finpricing.utils.day_count.DayCountTypes

Bases: enum.Enum

Generic enumeration.

Derive from this class to define new enumerations.

ACT_360 = 0

ACT_365 = 1

THIRTY_360 = 2

ACT_ACT_ISDA = 3

Thirty_E_360 = 4

Thirty_E_360_ISDA = 5

class finpricing.utils.day_count.DayCount(dccType: DayCountTypes)

year_frac

days_between(start_date: finpricing.utils.date.Date, end_date: finpricing.utils.date.Date, include_end=False) → tuple

Return the number of days and year fraction using a specific day count convention

Returns:

(days, fraction of year)

Return type:

tuple

year_fraction(start_date: finpricing.utils.date.Date | datetime.date, end_date: finpricing.utils.date.Date | datetime.date, next_coupon_date: finpricing.utils.date.Date = None) → float

Return the fraction of year between two dates using a specific day count convention

The actual calculation is done in days_between() method.

Parameters:

• start_date (Date) – start date of the accrual period

• end_date (Date) – end date of the accrual period. For a bond trade, it is the settlement date of the trade.

• next_coupon_date (Date) – next coupon date of the bond / maturity date of the bond if no more coupon payment

convert_dates_to_times(anchor_date: finpricing.utils.date.Date, dates: list[finpricing.utils.date.Date]) → list[float]

Return a list of time fraction (year fraction) between anchor date and each date in the list

Parameters:

• anchor_date (Date) – anchor date

• dates (list[Date]) – list of dates

Returns:

list of time fraction (year fraction)

Return type:

list[float]

__repr__() → str

Return the string representation of the object