dinosaur-lin / businessdays

businessdays

This is an implementation of business calendars used in fixed income. It is a port of quantlib's implementation.

It includes business calendars and day counters.

Business calendars

To check whether a day is a holiday:

   US.Government_bond.is_holiday (Date.create_exn 2018 Jan 31)

What has been implemented:

• US calendar
  • Settlement
  • Libor impact
  • Government bonds

Day counters

To calculate the number of days or year fraction using "30/360" bond basis convention, we call the following code:

    Thirty_360.BondBasis.day_count (Date.create_exn 2018 Jan 31) (Date.create_exn 2018 Feb 28)
    Thirty_360.BondBasis.year_frac (Date.create_exn 2018 Jan 31) (Date.create_exn 2018 Feb 28) 

What has been implemented:

• "30/360" BondBasis
• "30/360" EuroBondBasis
• "30/360" Italian
• Simple day counter
• Business252