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Actual/360

Bases: Convention

Implements the Actual/360 day count convention.

Counts the actual number of days between two dates, excluding the end date, and divides by 360 to compute the year fraction. Suitable for compound interest calculations and XIRR when use_xirr_method is True.

Parameters:

Name Type Description Default
use_post_dates bool

If True, uses cash flow post dates for day counts; if False, uses value dates. Defaults to True.

 True
include_non_financing_flows bool

If True, includes non-financing cash flows (e.g., fees) in factor computations; if False, excludes them. Defaults to False.

 False
use_xirr_method bool

If True, uses the XIRR method, setting day count origin to DRAWDOWN; if False, uses NEIGHBOUR. Defaults to False.

 False

Examples:

>>> dc = Actual360()
>>> factor = dc.compute_factor(
...     pd.Timestamp('2020-01-28', tz='UTC'),
...     pd.Timestamp('2020-02-28', tz='UTC')
... )
>>> print(factor)
f = 31/360 = 0.08611111
Source code in curo/daycount/actual_360.py 
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class Actual360(Convention):
    """
    Implements the Actual/360 day count convention.

    Counts the actual number of days between two dates, excluding the end date, and
    divides by 360 to compute the year fraction. Suitable for compound interest
    calculations and XIRR when `use_xirr_method` is True.

    Args:
        use_post_dates: If True, uses cash flow post dates for day counts; if False, uses
            value dates. Defaults to True.
        include_non_financing_flows: If True, includes non-financing cash flows (e.g., fees)
            in factor computations; if False, excludes them. Defaults to False.
        use_xirr_method: If True, uses the XIRR method, setting day count origin to
            DRAWDOWN; if False, uses NEIGHBOUR. Defaults to False.

    Examples:
        >>> dc = Actual360()
        >>> factor = dc.compute_factor(
        ...     pd.Timestamp('2020-01-28', tz='UTC'),
        ...     pd.Timestamp('2020-02-28', tz='UTC')
        ... )
        >>> print(factor)
        f = 31/360 = 0.08611111
    """
    def __init__(
        self,
        use_post_dates: bool = True,
        include_non_financing_flows: bool = False,
        use_xirr_method: bool = False
    ):
        super().__init__(
            use_post_dates=use_post_dates,
            include_non_financing_flows=include_non_financing_flows,
            use_xirr_method=use_xirr_method
        )

    def compute_factor(self, start: pd.Timestamp, end: pd.Timestamp) -> DayCountFactor:
        """
        Computes the year fraction between two dates using Actual/360.

        Args:
            start: The earlier date (pd.Timestamp).
            end: The later date (pd.Timestamp).

        Returns:
            DayCountFactor: The year fraction (days / 360) with operand log.

        Raises:
            ValueError: If `end` is before `start`.

        Examples:
            >>> dc = Actual360()
            >>> factor = dc.compute_factor(
            ...     pd.Timestamp('2020-01-28', tz='UTC'),
            ...     pd.Timestamp('2020-02-28', tz='UTC')
            ... )
            >>> factor.primary_period_fraction 
            0.08611111111111111
            >>> factor.discount_factor_log
            ['31/360']
        """
        if end < start:
            raise ValueError("end must be after start")
        days = (end - start).days if end > start else 0  # Exclude end date, 0 for same day
        factor = days / 360
        return DayCountFactor(
            primary_period_fraction=factor,
            discount_factor_log=[f"{days}/360"]
        )

compute_factor(start, end)

Computes the year fraction between two dates using Actual/360.

Parameters:

Name Type Description Default
start Timestamp

The earlier date (pd.Timestamp).

 required
end Timestamp

The later date (pd.Timestamp).

 required

Returns:

Name Type Description
DayCountFactor DayCountFactor

The year fraction (days / 360) with operand log.

Raises:

Type Description
ValueError

If end is before start.

Examples:

>>> dc = Actual360()
>>> factor = dc.compute_factor(
...     pd.Timestamp('2020-01-28', tz='UTC'),
...     pd.Timestamp('2020-02-28', tz='UTC')
... )
>>> factor.primary_period_fraction 
0.08611111111111111
>>> factor.discount_factor_log
['31/360']
Source code in curo/daycount/actual_360.py 
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def compute_factor(self, start: pd.Timestamp, end: pd.Timestamp) -> DayCountFactor:
    """
    Computes the year fraction between two dates using Actual/360.

    Args:
        start: The earlier date (pd.Timestamp).
        end: The later date (pd.Timestamp).

    Returns:
        DayCountFactor: The year fraction (days / 360) with operand log.

    Raises:
        ValueError: If `end` is before `start`.

    Examples:
        >>> dc = Actual360()
        >>> factor = dc.compute_factor(
        ...     pd.Timestamp('2020-01-28', tz='UTC'),
        ...     pd.Timestamp('2020-02-28', tz='UTC')
        ... )
        >>> factor.primary_period_fraction 
        0.08611111111111111
        >>> factor.discount_factor_log
        ['31/360']
    """
    if end < start:
        raise ValueError("end must be after start")
    days = (end - start).days if end > start else 0  # Exclude end date, 0 for same day
    factor = days / 360
    return DayCountFactor(
        primary_period_fraction=factor,
        discount_factor_log=[f"{days}/360"]
    )