fmdates (version 0.1.4)

year_frac: The years between two dates for a given day basis convention

Description

This calculates the years between two dates using the given day basis convention.

Usage

year_frac(date1, date2, day_basis, maturity_date = NULL)

Arguments

date1

A vector of dates. This will be coerced to a Date class.

date2

A vector of dates. This will be coerced to a Date class.

day_basis

The basis on which the year fraction is calculated. See is_valid_day_basis()

maturity_date

a vector of dates representing the maturity date of the instrument. Only used for 30E/360 ISDA day basis.

Value

a numeric vector representing the number of years between date1 and date2.

Details

The order of date1 and date2 is not important. If date1 is less than date2 then the result will be non-negative. Otherwise, the result will be negative. The parameters will be repeated with recycling such that each parameter's length is equal to maximum length of any of the parameters.

References

http://en.wikipedia.org/wiki/Day_count_convention

See Also

Other counter methods: actual_360, actual_365, actual_actual_isda, is_valid_day_basis, thirty_360_eu_isda, thirty_360_eu_plus, thirty_360_eu, thirty_360_us, thirty_360

Examples

# NOT RUN {
require(lubridate)
year_frac(ymd("2010-03-31"), ymd("2012-03-31"), "30/360us") # 2
year_frac(ymd("2010-02-28"), ymd("2012-03-31"), "act/360")  # 2.116667
year_frac(ymd("2010-02-28"), ymd("2012-03-31"), "act/365")  # 2.087671
year_frac(ymd("2010-02-28"), ymd("2012-03-31"), "act/actisda")  # 2.086998
# }