InterestDays

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

Installation

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

Usage

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_factor

currently, 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.

Development

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.

Contributing

Bug reports and pull requests are welcome on GitHub at https://github.com/eugenmueller/interest_days. ;)

License

The gem is available as open source under the terms of the MIT License.