Code Monkey home page Code Monkey logo

isda_daycounters's Introduction

isda_daycounters

ISDA day-count conventions with year-fractions and day-counts


A very minimal ISDA day-count function collection, for the conventions

  • Actual/360
  • Actual/365
  • Actual/Actual
  • Thirty/360
  • ThirtyE/360 (Eurobond)
  • ThirtyE/360 (ISDA)

as defined in the 2006 ISDA definition guidelines and 2008 ISDA definitions.

Each day count convention is placed in its own module with both day_count() and year_fraction() functions, to leverage Python's treatment of modules as first-class objects.

Why?

For a small instrument valuation tool I was working on in Python I needed ISDA-convention day counters, but didn't particularly feel like using Fincad or QuantLib Python bindings purely for day-count convention implementations for an otherwise independent project.


isda_daycounters's People

Contributors

miradulo avatar k2ev avatar rianoc avatar kg1128 avatar

Stargazers

 avatar Alvaro Diaz Valenzuela avatar Pedro Henrique Rezende Oliveira avatar  avatar Tagedieb avatar  avatar  avatar Ognjen Kosanovic avatar  avatar Evgeny Pogrebnyak avatar Shreyas Srinivasan avatar Adam avatar  avatar Michael Hays avatar  avatar toak avatar  avatar  avatar Antonio Oliveira avatar Jesus Ramirez avatar  avatar  avatar Carlos Perales avatar

Watchers

 avatar  avatar

isda_daycounters's Issues

Is this available under some open source license?

I could not see any license file in the repo, and so I wonder whether you have released it under any open source license. I would like to use it in some open source (GNU GPL-3.0) bond pricing functions that I am developing.

actualactual function issues

Why don't you use datetime.datetime(start_year, 1, 1) and use datetime.date. I got errors when I call this function as it is (a couple of lines below there is something similar).

Recommend Projects

  • React photo React

    A declarative, efficient, and flexible JavaScript library for building user interfaces.

  • Vue.js photo Vue.js

    ๐Ÿ–– Vue.js is a progressive, incrementally-adoptable JavaScript framework for building UI on the web.

  • Typescript photo Typescript

    TypeScript is a superset of JavaScript that compiles to clean JavaScript output.

  • TensorFlow photo TensorFlow

    An Open Source Machine Learning Framework for Everyone

  • Django photo Django

    The Web framework for perfectionists with deadlines.

  • D3 photo D3

    Bring data to life with SVG, Canvas and HTML. ๐Ÿ“Š๐Ÿ“ˆ๐ŸŽ‰

Recommend Topics

  • javascript

    JavaScript (JS) is a lightweight interpreted programming language with first-class functions.

  • web

    Some thing interesting about web. New door for the world.

  • server

    A server is a program made to process requests and deliver data to clients.

  • Machine learning

    Machine learning is a way of modeling and interpreting data that allows a piece of software to respond intelligently.

  • Game

    Some thing interesting about game, make everyone happy.

Recommend Org

  • Facebook photo Facebook

    We are working to build community through open source technology. NB: members must have two-factor auth.

  • Microsoft photo Microsoft

    Open source projects and samples from Microsoft.

  • Google photo Google

    Google โค๏ธ Open Source for everyone.

  • D3 photo D3

    Data-Driven Documents codes.