| year_frac {fmdates} | R Documentation |
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 |
date2 |
A vector of dates. This will be coerced to a |
day_basis |
The basis on which the year fraction is calculated. See
|
maturity_date |
a vector of dates representing the maturity date of the instrument. Only used for 30E/360 ISDA day basis. |
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.
Value
a numeric vector representing the number of years between
date1 and date2.
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
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