quantlib.time.daycounters.thirty360.Thirty360

class Thirty360

Bases: DayCounter

30/360 day count convention

The 30/360 day count can be calculated according to a number of convention.

US convention: if the starting date is the 31st of a month or the last day of February, it becomes equal to the 30th of the same month. If the ending date is the 31st of a month and the starting date is the 30th or 31th of a month, the ending date becomes equal to the 30th. If the ending date is the last of February and the starting date is also the last of February, the ending date becomes equal to the 30th. Also known as “30/360” or “360/360”.

Bond Basis convention: if the starting date is the 31st of a month, it becomes equal to the 30th of the same month. If the ending date is the 31st of a month and the starting date is the 30th or 31th of a month, the ending date also becomes equal to the 30th of the month. Also known as “US (ISMA)”.

European convention: starting dates or ending dates that occur on the 31st of a month become equal to the 30th of the same month. Also known as “30E/360”, or “Eurobond Basis”

Italian convention: starting dates or ending dates that occur on February and are grater than 27 become equal to 30 for computational sake.

ISDA convention: starting or ending dates on the 31st of the month become equal to 30; starting dates or ending dates that occur on the last day of February also become equal to 30, except for the termination date. Also known as “30E/360 ISDA”, “30/360 ISDA”, or “30/360 German”.

NASD convention: if the starting date is the 31st of a month, it becomes equal to the 30th of the same month. If the ending date is the 31st of a month and the starting date is earlier than the 30th of a month, the ending date becomes equal to the 1st of the next month, otherwise the ending date becomes equal to the 30th of the same month.

Valid names for 30/360 daycounts are:

  • USA

  • BondBasis

  • European

  • EurobondBasis

  • Italian

  • German

  • ISMA

  • ISDA

  • NASD

__init__()

Methods

__init__()

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