isda_daycounters

ISDA day-count conventions with year-fractions and day-counts

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A very minimal ISDA day-count function collection, for the conventions

• Actual/360
• Actual/365
• Actual/Actual
• Thirty/360
• ThirtyE/360 (Eurobond)
• ThirtyE/360 (ISDA)

as defined in the 2006 ISDA definition guidelines and 2008 ISDA definitions.

Each day count convention is placed in its own module with both day_count() and year_fraction() functions, to leverage Python's treatment of modules as first-class objects.

Why?

For a small instrument valuation tool I was working on in Python I needed ISDA-convention day counters, but didn't particularly feel like using Fincad or QuantLib Python bindings purely for day-count convention implementations for an otherwise independent project.

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