DayCounters

AFBActualActual

Also known as "Actual/Actual (Euro)" is a ActualActual subtype day count convention where the denominator is either 365 (if the calculation period does not contain 29th February) or 366 (if the calculation period includes 29th February). For periods longer than one year... to be completed.

Actual360([lastday = false])

Day count convention, also known as "Actual/360", "Act/360", or "A/360". Can include the last day in computations depending on the lastday value.

Actual365

Is an alias for ISDAActualActual.

Actual365Fixed

Day count convention, also known as "Actual/365 (Fixed)", "Act/365 (Fixed)", or "A/365F".

ActualActual

Day count convention that can be calculated according to the ISDA, ISMA and AFB conventions. The difference between these conventions lie in the computation of the denominator. The numerator is, in all cases, equal to the actual number of days between two dates, including the first one and excluding the last one.

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

Annual

Once a year.

ArgentinaCalendar

Buenos Aires, Argentina, stock exchange calendar.

Bimonthly

Every two months.

Biweekly

Every two weeks.

BondActualActual

Is an alias for ISMAActualActual.

BondBasisThirty360

Is an alias for USAThirty360.

BrazilCalendar

Brazilian calendar.

BrazilExchange

Holidays for the Bovespa stock exchange.

BrazilSettlement

Calendar including public holidays.

BusinessDay(v)

Construct a BusinessDay object with the given v value. Input must be losslessly convertible to an Int64.

BusinessDayConvention

Supertype for elements that provide algorithms used to adjust a date in case it is not a valid business day.

BusinessMonth(v)

Construct a BusinessMonth object with the given v value. Input must be losslessly convertible to an Int64.

BusinessWeek(v)

Construct a BusinessWeek object with the given v value. Input must be losslessly convertible to an Int64.

BusinessYear(v)

Construct a BusinessYear object with the given v value. Input must be losslessly convertible to an Int64.

Daily

Once a day.

DayCountConvention

Supertype for elements that provide methods for determining the length of a time period according to given market convention, both as a number of days and as a year fraction.

EuroActualActual

Is an alias for AFBActualActual.

EurobondBasisThirty360

Is an alias for EuropeanThirty360.

EuropeanThirty360

Also known as "30E/360", or "Eurobond Basis" is a Thirty360 subtype day count convention. Starting dates or ending dates that occur on the 31st of a month become equal to the 30th of the same month.

EveryFourthMonth

Every four months.

EveryFourthWeek

Every four weeks.

FederalReserve

to be done.

Following

A BusinessDayConvention subtype that chooses the first business day after the given holiday.

GermanThirty360([islastperiod = false])

Also known as "30E/360 ISDA" is a Thirty360 subtype day count convention. Starting dates or ending dates that occur on the last day of February become equal to 30 for computational sake, except for the termination date.

GovernmentBond

Government bond market calendar (data from http://www.bondmarkets.com).

HalfMonthModifiedFollowing

A BusinessDayConvention subtype that chooses the first business day after the given holiday unless that day crosses the mid-month (15th) or the end of month, in which case choose the first business day before the holiday.

HistoricalActualActual

Is an alias for ISDAActualActual.

ISDAActualActual

Also known as "Actual/Actual (Historical)", "Actual/Actual", "Act/Act", and according to ISDA also "Actual/365", "Act/365", and "A/365", is a ActualActual subtype day count convention where the denominator varies depending on whether a portion of relevant calculation period falls within a leap year (for the portion of the calculation period falling within a leap year, the denominator is 366 and for the portion falling outside a leap year, the denominator is 365).

ISMAActualActual

Also known as "Actual/Actual (Bond)" is a ActualActual subtype day count convention where the denominator is the actual number of days in the period...

ItalianThirty360

Is a Thirty360 subtype day count convention. Starting dates or ending dates that occur on February and are grater than 27 become equal to 30 for computational sake.

LiborImpact

to be done.

ModifiedFollowing

A BusinessDayConvention subtype that chooses the first business day after the given holiday unless it belongs to a different month, in which case choose the first business day before the holiday.

ModifiedPreceding

A BusinessDayConvention subtype that chooses the first business day before the given holiday unless it belongs to a different month, in which case choose the first business day after the holiday.

Monthly

Once a month.

NERC

North American Energy Reliability Council calendar (data from http://www.nerc.com/~oc/offpeaks.html):

NYSE

Stock exchange calendar (data from http://www.nyse.com).

Nearest

A BusinessDayConvention subtype that chooses the nearest business day to the given holiday. If both the preceding and following business days are equally far away, default to following business day.

NoFrequency

Null frequency.

Once

Only once, e.g., a zero-coupon.

OtherFrequency

Some other unknown frequency.

Preceding

A BusinessDayConvention subtype that chooses the first business day before the given holiday.

Quarterly

Every three months.

Semiannual

Twice a year.

Settlement

Calendar including public holidays (see: http://www.opm.gov/fedhol/).

TARGETCalendar

TARGET calendar (European Central Bank).

Thirty360

Day count convention that can be calculated according to to US, European, Italian or German conventions.

USAThirty360

Also known as "30/360", "360/360", or "Bond Basis" is a Thirty360 subtype day count 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.

Unadjusted

A BusinessDayConvention subtype that provides no date adjustment.

UnitedStatesCalendar

Supertype for United States calendars.

Weekly

Once a week.

adjustdate(dt::Date, calendar::BusinessCalendar, [convention::BusinessDayConvention = Following()]) -> Date

Adjusts a non-business day to the appropriate near business day with respect to the given convention. The convention defaults to Following if not provided.

advance(dt::Date, step::DatePeriod, calendar::BusinessCalendar, [convention::BusinessDayConvention = Following()])

Advances the given date dt, step number of days and returns the result. step can be either a DatePeriod or a BusinessDatePeriod. In the first case, the date advances using calendar days and if it falls in a holiday (i.e., a non business day), it is adjusted using the convention. On the second case, the date advances using business days, so it is expected that step can be converted to BusinessDay. It is important to note that if the provided step is either 0 days or 0 businessdays and dt is a holiday, it will be adjusted using the convention.

julia> dt = Date(2001, 12, 26)
2001-12-26

julia> advance(dt, Day(4), ArgentinaCalendar())
2002-01-02

julia> advance(dt, BusinessDay(4), ArgentinaCalendar())
2002-01-03

julia> dt = Date(2002, 1, 1)
2002-01-01

julia> advance(dt, Day(0), ArgentinaCalendar())
2002-01-02

julia> advance(dt, BusinessDay(0), ArgentinaCalendar())
2002-01-02

daycount(dt1::Date, dt2::Date, convention::DayCountConvention) -> Int64

Returns the number of days between two dates considering the corresponding DayCountConvention.

daysperyear(::DayCountConvention) -> Int64

Returns the number of days in a year considering the corresponding DayCountConvention.

isbusinessday(dt::Date, calendar::BusinessCalendar) -> Bool

Provides methods for determining whether a date dt is or not a business day. A calendar, defined for specific exchange holiday schedule or for general country holiday schedule, must be provided.

isholiday(dt::Date, calendar::BusinessCalendar) -> Bool

Provides methods for determining whether a date dt is or not a holiday. A calendar, defined for specific exchange holiday schedule or for general country holiday schedule, must be provided.

yearfraction(dt1::Date, dt2::Date, convention::DayCountConvention) -> Real

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