A toolkit for financial computing
module Ito.Time
Day count conventions are specified via the following types:
DayCount
+- Actual360
+- Business252
+- Actual365
+- Thirty360
+- BondThirty360
+- EuroBondThirty360
+- ItalianThirty360
+ ActualActual
+- ISMAActualActual
+- ISDAActualActual
+- AFBActualActual
Business252(BusinessCalendar bc)
Create an instance Business252 day count convention, with a BusinessCalendar as an input. All other day count conventions have a zero argument constructor.
daycount(dc::DayCount, date_start, date_end)
Number of days between the two dates, counted according the specified daycount convention
yearfraction(dc::Daycount, date_start, date_end)
Number of days between the two dates, divided by the number of days in a year, according to the specified daycount convention
yearfraction(dc::ISMAAActualActual, date_start, date_end, reference_date_start, reference_date_end)
Year fraction for the ISMAA Actual/Actual daycount convention, which requires as input the reference start and end dates, typically the coupon dates.
Holiday Calendars are specified using a heirarchy of types. Typically an abstract type is present for a country, and composite types for each specific market within the country. All the composite types can be created via a zero argument constructor
The following types are present currently. More types will be added as further holiday calendars are implemented
BusinessCalendar
+- OrthodoxCalendar
+- WesternCalendar
+- UKCalendar
+- UKSettlementCalendar
+- UKLMECalendar
+- UKLSECalendar
+- USCalendar
+- USSettlementCalendar
+- USGovernmentBondCalendar
+- USNERCCalendar
+- USNYSECalendar
+- IndiaCalendar
+IndiaNSECalendar
isWorkingDay(c::BusinessCalendar, date)
Returns false if the input date is a holiday in the specified calendar, true otherwise
businessDaysBetween(c::BusinessCalendar, from, to, includeFirst::Bool, includeLast::Bool)
businessDaysBetween(c::BusinessCalendar, from, to)
The number of business days between two days