Convention#

class rateslib.scheduling.Convention(variant)#

Bases: object

Specifier for day count conventions

Attributes Summary

Act360

Act365F

ActActICMA

ActActICMAStubAct365F

ActActISDA

Bus252

One

Thirty360

ThirtyE360

ThirtyE360ISDA

ThirtyU360

YearsAct360

YearsAct365F

YearsMonths

Methods Summary

dcf(start, end[, termination, frequency, ...])

Calculate the day count fraction of a period.

to_json()

Return a JSON representation of the object.

Attributes Documentation

Act360 = <rl.Convention.Act360>#
Act365F = <rl.Convention.Act365F>#
ActActICMA = <rl.Convention.ActActICMA>#
ActActICMAStubAct365F = <rl.Convention.ActActICMAStubAct365F>#
ActActISDA = <rl.Convention.ActActISDA>#
Bus252 = <rl.Convention.Bus252>#
One = <rl.Convention.One>#
Thirty360 = <rl.Convention.Thirty360>#
ThirtyE360 = <rl.Convention.ThirtyE360>#
ThirtyE360ISDA = <rl.Convention.ThirtyE360ISDA>#
ThirtyU360 = <rl.Convention.ThirtyU360>#
YearsAct360 = <rl.Convention.YearsAct360>#
YearsAct365F = <rl.Convention.YearsAct365F>#
YearsMonths = <rl.Convention.YearsMonths>#

Methods Documentation

dcf(start, end, termination=None, frequency=None, stub=None, calendar=None, adjuster=None)#

Calculate the day count fraction of a period.

Parameters:

  • start (datetime) – The adjusted start date of the calculation period.

  • end (datetime) – The adjusted end date of the calculation period.

  • termination (datetime, optional) – The adjusted termination date of the leg. Required only for some convention.

  • frequency (Frequency, str, optional) – The frequency of the period. Required only for some convention.

  • stub (bool, optional) – Indicates whether the period is a stub or not. Required only for some convention.

  • roll (str, int, optional) – Used only if frequency is given in string form. Required only for some convention.

  • calendar (str, Calendar, optional) – Used only of frequency is given in string form. Required only for some convention.

  • adjuster (Adjuster, str, optional) – The Adjuster used to convert unadjusted dates to adjusted accrual dates on the period. Required only for some convention.

Return type:

float

Notes

Further details on the required arguments can be found under Convention at the lower level Rust docs, see rateslib-rs: Scheduling.

to_json()#

Return a JSON representation of the object.

Return type:

str