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luna.financial.day_count_convention

DayCountConventionBase Objects​

class DayCountConventionBase(ABC)

Abstract base class for day count conventions used in financial calculations.

denominator​

@property
@abstractmethod
def denominator() -> int

The denominator used for year fraction calculation.

day_count​

def day_count(start: date, end: date) -> SixteenDecimal

Calculates the number of days between two dates based on the day count convention.

Thirty360DayCount Objects​

class Thirty360DayCount(DayCountConventionBase)

Convention with 30 days in a month and 360 days in a year. ISDA recommended method for day count is: 360(y2-y1) + 30(m2-m1-1) + max(0,30-d1) + min(30,d2)

  • Take year diff
  • Take month diff + 1 month to be adjusted by date
  • Since every month is 30 and reduce d1 from it, and take max with 0 in case result is negative ( days to 30 )
  • days in d2, min if more than 30

Actual360DayCount Objects​

class Actual360DayCount(DayCountConventionBase)

Actual difference between dates is calculated, but year is considered to be of 360 days.

Actual365FixedDayCount Objects​

class Actual365FixedDayCount(DayCountConventionBase)

Actual difference between dates is calculated, but year is considered to be of 365 days.

ActualActualISDADayCount Objects​

class ActualActualISDADayCount(DayCountConventionBase)

Actual difference between dates is calculated, also the difference in year.

DayCountConvention Objects​

@enum.unique
class DayCountConvention(enum.Enum)

Enumeration for specifying available day count conventions.

get_day_count_convention​

def get_day_count_convention(
        day_count_convention: str) -> Type[DayCountConvention] | None

Retrieves the appropriate day count convention class based on the provided convention name.