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Finance

  

DayCounter

  

create a new day counter

 

Calling Sequence

Parameters

Description

Conventions

Examples

Compatibility

Calling Sequence

DayCounter(convention)

Parameters

convention

-

counting convention; possible values are: Actual360, Actual365Fixed, AFB, Bond, Euro, Historical, ISDA, ISMA, OneDay, Simple, Thirty360BondBasis, Thirty360EuroBondBasis, Thirty360European, Thirty360Italian, or Thirty360USA

Description

• 

The DayCounter command creates a new day counter based on the specified convention. By default the Actual365Fixed convention is used. The default day count convention can be controlled through the Settings command.

Conventions

• 

The following day count conventions are supported. See CalendarsAndDayCounters for more details.

Actual360

The numerator is the same as ISDA below; the denominator is always 360.

Actual365Fixed

The numerator is the same as ISDA below; the denominator is always 365.

AFB

The numerator is the same as ISDA below; the denominator is either 365 if the calculation period does not include February 29th, or 366 if the calculation period includes February 29th.

Bond

Same meaning as ISMA

Euro

Same meaning as AFB.

Historical

Same meaning as ISDA.

ISDA

The numerator is equal to the actual number of days from (and including) the last coupon payment date or period end date, to (but excluding) the current value date or period end date; the denominator varies depending on whether a portion of the relevant calculation period falls within a leap year. For the portion of the calculation period falling within a leap year, the denominator is 366, for the other portion the denominator is 365.

ISMA

The numerator is the same as ISDA above; the denominator is the actual number of days in the coupon period multiplied by the number of coupon periods in the year.

Simple

This day counter tries to ensure that the whole-month distances are returned as a simple fraction.

OneDay

The numerator and denominator are both set to 1.

Thirty360European

This is one of the 30/360 day count conventions. Starting dates or ending dates that occur on the 31st of a month become equal to the 30th of the same month.

Thirty360Italian

This is one of the 30/360 day count conventions. Starting or ending dates that occur on February and are greater than 27 become equal to 30 for computational sake.

Thirty360USA

This is one of the 30/360 day count conventions. 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.

Examples

withFinance:

daycounter1DayCounter

daycounter1:=moduleend module

(1)

daycounter1convention

Historical

(2)

DayCountJan-01-2006,Nov-01-2006,daycounter1

304

(3)

YearFractionJan-01-2006,Nov-01-2006,daycounter1

0.8328767123

(4)

daycounter2DayCounterISDA

daycounter2:=moduleend module

(5)

DayCountJan-01-2006,Nov-01-2006,daycounter2

304

(6)

YearFractionJan-01-2006,Nov-01-2006,daycounter2

0.8328767123

(7)

daycounter3DayCounterOneDay

daycounter3:=moduleend module

(8)

DayCountJan-01-2006,Nov-01-2006,daycounter3

1

(9)

YearFractionJan-01-2006,Nov-01-2006,daycounter3

1.

(10)

Note that the default value of the day counter can be changed using the Settings command.

DayCounterconvention

Historical

(11)

Settingsdaycounter=Simple

Historical

(12)

DayCounterconvention

Simple

(13)

Compatibility

• 

The Finance[DayCounter] command was introduced in Maple 15.

• 

For more information on Maple 15 changes, see Updates in Maple 15.

See Also

Finance,Examples,CalendarsAndDayCounters

Finance[DayCount]

Finance[FormatDate]

Finance[ParseDate]

Finance[YearFraction]

 


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