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.