DayCountConvention

DayCountConvention

is an option that specifies the day count convention used by DateDifference.

Details

  • DayCountConvention is "ActualActual" by default.
  • Possible values of DayCountConvention are: "Thirty360US", "Thirty360", "ThirtyE360", "ThirtyE360ISDA", "ThirtyEPlus360", "Actual365", "Actual360", "Actual365L", "ActualActualISDA", "ActualActualICMA".

Examples

Basic Examples  (2)

Compute the date difference subject to a typical bond day count:

This is different from the number of days between the two dates:

Day count conventions differ with respect to the count applied to the last days of the month:

Introduced in 2012
 (9.0)