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EU 30/360

Bases: Convention

The 30/360 (EU) day count convention, also known as '30E/360' or 'Eurobond basis'.

Computes the number of days in a period divided by 360, using the formula:

f = [[360 * (Y2 - Y1)] + [30 * (M2 - M1)] + (D2 - D1)] / 360

Where
  • Y1, Y2: Years of the start and end dates.
  • M1, M2: Months of the start and end dates.
  • D1: First calendar day, adjusted to 30 if 31.
  • D2: End calendar day, adjusted to 30 if 31.

Parameters:

Name Type Description Default
use_post_dates bool

Whether to use post dates for cash flow day counts. Defaults to True.

 True
include_non_financing_flows bool

Whether to include non-financing cash flows in periodic factor computations. Defaults to False.

 False
use_xirr_method bool

Whether to use XIRR method for time periods, referencing the first cash flow date. Defaults to False.

 False
Source code in curo/daycount/eu_30_360.py 
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class EU30360(Convention):
    """
    The 30/360 (EU) day count convention, also known as '30E/360' or 'Eurobond basis'.

    Computes the number of days in a period divided by 360, using the formula:

    `f = [[360 * (Y2 - Y1)] + [30 * (M2 - M1)] + (D2 - D1)] / 360`

    Where:
        - Y1, Y2: Years of the start and end dates.
        - M1, M2: Months of the start and end dates.
        - D1: First calendar day, adjusted to 30 if 31.
        - D2: End calendar day, adjusted to 30 if 31.

    Args:
        use_post_dates (bool, optional): Whether to use post dates for cash flow day counts.
            Defaults to True.
        include_non_financing_flows (bool, optional): Whether to include non-financing cash flows
            in periodic factor computations. Defaults to False.
        use_xirr_method (bool, optional): Whether to use XIRR method for time periods,
            referencing the first cash flow date. Defaults to False.
    """
    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 day count factor between two dates using the EU 30/360 convention.

        Args:
            start (pd.Timestamp): Start date of the period.
            end (pd.Timestamp): End date of the period.

        Returns:
            DayCountFactor: The day count factor with year fraction and operands.

        Raises:
            ValueError: If `end` is before `start`.
        """
        if end < start:
            raise ValueError("end must be after start")
        if end == start:
            return DayCountFactor(primary_period_fraction=0.0, discount_factor_log=["0/360"])

        dd1 = start.day
        mm1 = start.month
        yyyy1 = start.year
        dd2 = end.day
        mm2 = end.month
        yyyy2 = end.year

        # Adjust day to 30 if 31
        z = 30 if dd1 == 31 else dd1
        dt1 = 360 * yyyy1 + 30 * mm1 + z

        z = 30 if dd2 == 31 else dd2
        dt2 = 360 * yyyy2 + 30 * mm2 + z

        numerator = abs(dt2 - dt1)
        factor = numerator / 360
        return DayCountFactor(
            primary_period_fraction=factor,
            discount_factor_log=[DayCountFactor.operands_to_string(numerator, 360)]
        )

compute_factor(start, end)

Computes the day count factor between two dates using the EU 30/360 convention.

Parameters:

Name Type Description Default
start Timestamp

Start date of the period.

 required
end Timestamp

End date of the period.

 required

Returns:

Name Type Description
DayCountFactor DayCountFactor

The day count factor with year fraction and operands.

Raises:

Type Description
ValueError

If end is before start.
Source code in curo/daycount/eu_30_360.py 
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def compute_factor(self, start: pd.Timestamp, end: pd.Timestamp) -> DayCountFactor:
    """
    Computes the day count factor between two dates using the EU 30/360 convention.

    Args:
        start (pd.Timestamp): Start date of the period.
        end (pd.Timestamp): End date of the period.

    Returns:
        DayCountFactor: The day count factor with year fraction and operands.

    Raises:
        ValueError: If `end` is before `start`.
    """
    if end < start:
        raise ValueError("end must be after start")
    if end == start:
        return DayCountFactor(primary_period_fraction=0.0, discount_factor_log=["0/360"])

    dd1 = start.day
    mm1 = start.month
    yyyy1 = start.year
    dd2 = end.day
    mm2 = end.month
    yyyy2 = end.year

    # Adjust day to 30 if 31
    z = 30 if dd1 == 31 else dd1
    dt1 = 360 * yyyy1 + 30 * mm1 + z

    z = 30 if dd2 == 31 else dd2
    dt2 = 360 * yyyy2 + 30 * mm2 + z

    numerator = abs(dt2 - dt1)
    factor = numerator / 360
    return DayCountFactor(
        primary_period_fraction=factor,
        discount_factor_log=[DayCountFactor.operands_to_string(numerator, 360)]
    )