quantlib.time.daycounters.actual_actual.ActualActual

class ActualActual(Convention convention=Convention.ISDA, Schedule schedule=Schedule.__new__(Schedule))

Bases: DayCounter

__init__()

Actual/Actual day count

The day count can be calculated according to:

  • the ISDA convention, also known as “Actual/Actual (Historical)”, “Actual/Actual”, “Act/Act”, and according to ISDA also “Actual/365”, “Act/365”, and “A/365”;

  • the ISMA and US Treasury convention, also known as “Actual/Actual (Bond)”;

  • the AFB convention, also known as “Actual/Actual (Euro)”.

For more details, refer to https://www.isda.org/a/pIJEE/The-Actual-Actual-Day-Count-Fraction-1999.pdf

Methods

__init__

Actual/Actual day count

day_count(self, Date date1, Date date2)

Returns the number of days between two dates.

from_name(cls, name)

year_fraction(self, Date date1, Date date2, ...)

Returns the period between two dates as a fraction of year.

Attributes

name