This gem provides interest day factor calculation based on ISDA conventions e.g. Isda Act 360.
- Since version 0.2 interest_day gem supported 30/360 US EOM and 30/360 Bond Basis conventions.
- Since version 0.3 the gem also supports Isda Act 364
Add this line to your application's Gemfile:
gem 'interest_days'And then execute:
$ bundle install
Or install it yourself as:
$ gem install interest_days
You can simply use the InterestDays::Calculator like:
calculator = InterestDays::Calculator.new(start_date: start, end_date: end, strategy: :isda_act_360)
calculator.interest_day_count_factorcurrently, there are five supported conventions:
- :isda_act_360
- :isda_act_364
- :isda_act_365
- :isda_act_act
- :isda_30_e_360
- :us_eom_30_360
- :bond_basis_30_360
- :icma_act_act
As often, Wikipedia is the best resource, so check it out to get more insights into these conventions.
After checking out the repo, run bin/setup to install dependencies. Then, run rake spec to run the tests. You can also run bin/console for an interactive prompt that will allow you to experiment.
To install this gem onto your local machine, run bundle exec rake install. To release a new version, update the version number in version.rb, and then run bundle exec rake release, which will create a git tag for the version, push git commits and the created tag, and push the .gem file to rubygems.org.
Bug reports and pull requests are welcome on GitHub at https://github.com/eugenmueller/interest_days. ;)
The gem is available as open source under the terms of the MIT License.