Implements different day counting conventions for finance applications.
The following counting conventions are implemented:
- 30E/360
- Act/360
- Act/Act
- Eurobond
- Bondbasis
This package implements two public functions Days(date1, date2, convention) and
Fraction(date1, date2, date3, convention)
Daysreturns the number of days between two dates (date2 - date1) for the given counting conventionFractionreturns the fraction of days between two dates ((date2-date1)/(date3-date1))