Enum DayCountFraction

pub enum DayCountFraction {
    Act360,
    Act365Fixed,
    Nl365,
    Thirty360,
    Thirty360Us,
    ThirtyE360,
    ThirtyE360Isda,
    ActActIsda,
    ActActIcma,
    ActActAfb,
    Bus252,
    One,
}

Expand description

Year-fraction conventions, named per the FpML day-count-fraction scheme.

Variants§

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Act360

ACT/360 — actual days over 360.

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Act365Fixed

ACT/365.FIXED — actual days over 365.

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Nl365

NL/365 — actual days excluding any 29 February, over 365 (the JGB accrued basis; the no-leap variant of ACT/365.FIXED). A leap day strictly inside the window is not counted; a leap-day endpoint is treated as 28 February.

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Thirty360

30/360 — the ISDA 2006 §4.16(f) bond basis: no February rule.

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Thirty360Us

30U/360 — SIFMA’s 30/360 US for securities. The bond basis plus the February rules of an end-of-month security: when the period context states the schedule rolls on the month end, a start on the last day of February counts as the 30th, and so does an end on the last day of February when the start is one too. The end-of-month statement is PeriodContext::Scheduled’s end_of_month; without a context (the two-date form, PeriodContext::Simple) the February rules do not fire and the value is 30/360’s.

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ThirtyE360

30E/360 — Eurobond 30/360.

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ThirtyE360Isda

30E/360.ISDA — 30E/360 with the ISDA end-of-month rule.

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ActActIsda

ACT/ACT.ISDA — actual/actual split across calendar years.

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ActActIcma

ACT/ACT.ICMA — actual/actual reference-period basis. A scheduled context supplies the reference period; without one the two dates are their own reference period — a period of round(12·days/365) months.

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ActActAfb

ACT/ACT.AFB — actual/actual French (AFB) basis.

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Bus252

BUS/252 — business days over 252. BUS/252 is the Brazilian convention (B3, ANBIMA; ISDA’s Brazil business days), so the plain DayCountFraction::year_fraction counts BRBD business days; pass another calendar via DayCountFraction::year_fraction_with_calendar.

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One

1/1 — one per period whatever its length (FpML’s 1/1): a zero-coupon period accrues its whole rate once. A zero-length span accrues 0, and a reversed one −1.

Implementations§

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impl DayCountFraction

pub fn code(self) -> &'static str

The FpML scheme code string (e.g. "ACT/ACT.ISDA").

pub fn reads_end_of_month(self) -> bool

Whether this convention reads the period context’s end-of-month flag — 30U/360 alone, whose February rules apply to an end-of-month schedule. A caller measuring outside an accrual period (a yield’s time axis) hands the schedule’s flag only to a convention that reads it.

pub fn telescopes_daily(self) -> bool

Whether daily accrual fractions telescope: for contiguous dates d₀ < d₁ < … < dₙ, Σ year_fraction(dᵢ, dᵢ₊₁) = year_fraction(d₀, dₙ) exactly in real arithmetic (to ulps in floating point). True for the fixed-denominator date-difference counts — the RFR universe — where the fraction is actual_days / constant. False for the 30/360 family (day numbers snap, so consecutive-date fractions are not differences), the ACT/ACT family (per-interval denominators), and BUS/252 (business-day numerator needs a calendar walk). Consumers use this to collapse a summed daily grid into one end-to-end fraction (e.g. the overnight coupon’s deferred observation grid).

pub(crate) fn splits_additively(self) -> bool

Whether the context-free fraction splits additively at any interior date: year_fraction(a, m) + year_fraction(m, b) = year_fraction(a, b) for every a ≤ m ≤ b, in exact arithmetic.

True where each date maps to one day number whichever end of a span it is — the actual-day counts, 30E/360 and 30E/360.ISDA (both snap a 31st to the 30th either way) — and for ACT/ACT.ISDA and BUS/252, whose numerators are counts over the span. False for 30/360 and 30U/360, where a 31st stays the 31st at the end of a span that did not start on a 30th, for ACT/ACT.AFB, and for ACT/ACT.ICMA, whose denominators are the span’s own.

A bond’s yield time axis reads it: where the fraction does not split, a time is accumulated period by period.

pub fn year_fraction(self, start: NaiveDate, end: NaiveDate) -> f64

The accrual year fraction between start and end (end >= start).

This is the context-free convenience form: it is exact for the eight conventions that do not need period context (ACT/360, ACT/365.FIXED, NL/365, 30/360, 30E/360, ACT/ACT.ISDA, ACT/ACT.AFB, BUS/252). 30E/360.ISDA evaluates without the February-maturity exception (the common case), and 30U/360 without the end-of-month February rules.

ACT/ACT.ICMA has no reference period here, so the two dates are their own: a regular coupon period is exactly its share of a year. A bond’s accrual, whose reference period is the schedule’s, supplies a PeriodContext::Scheduled through DayCountFraction::year_fraction_with_context.

For BUS/252 this counts Brazilian (BRBD) business days, the calendar the convention belongs to; use DayCountFraction::year_fraction_with_calendar to count against another one.

pub fn year_fraction_with_context( self, start: NaiveDate, end: NaiveDate, context: PeriodContext, ) -> f64

The accrual year fraction between start and end, given the period context a period-aware convention may require.

The eight context-free conventions ignore context. ACT/ACT.ICMA measures against the context’s reference period, and under PeriodContext::Simple against the two dates themselves, as year_fraction does. 30E/360.ISDA consults the context’s schedule end to suppress the day-30 collapse at a February maturity. 30U/360 applies its February rules when the context states an end-of-month schedule.

pub fn year_fraction_with_calendar( self, start: NaiveDate, end: NaiveDate, calendar: &dyn Calendar, ) -> f64

The accrual year fraction between start and end, counting BUS/252 business days against calendar (so jurisdiction holidays are excluded, not just weekends). Every other convention is a deterministic function of the two dates and ignores calendar, delegating to DayCountFraction::year_fraction.

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