.. DO NOT EDIT.
.. THIS FILE WAS AUTOMATICALLY GENERATED BY SPHINX-GALLERY.
.. TO MAKE CHANGES, EDIT THE SOURCE PYTHON FILE:
.. "api/gallery/time_value/day_counts/plot_02_isda_actual_actual.py"
.. LINE NUMBERS ARE GIVEN BELOW.

.. only:: html

    .. note::
        :class: sphx-glr-download-link-note

        :ref:`Go to the end <sphx_glr_download_api_gallery_time_value_day_counts_plot_02_isda_actual_actual.py>`
        to download the full example code or to run this example in your browser via JupyterLite.

.. rst-class:: sphx-glr-example-title

.. _sphx_glr_api_gallery_time_value_day_counts_plot_02_isda_actual_actual.py:


ISDA's actual/actual and the day-count zoo
==========================================

When the euro replaced its legacy currencies, markets had to agree on
how to count days. ISDA's 1998 memo *EMU and Market Conventions* set
the competing "actual/actual" methods side by side; under the ISDA
variant, the days falling in each calendar year are divided by that
year's length, 365 or 366. Its example: November 1, 2003 to May 1, 2004
is 61/365 + 121/366 = 0.49772. This script compares that with the other
conventions in :class:`~financialkit.constants.DayCount`.

.. GENERATED FROM PYTHON SOURCE LINES 15-21

.. code-block:: Python

    import matplotlib.pyplot as plt
    import numpy as np

    from financialkit.constants import DayCount
    from financialkit.time_value import year_fraction








.. GENERATED FROM PYTHON SOURCE LINES 22-24

ISDA's example under every convention
-------------------------------------

.. GENERATED FROM PYTHON SOURCE LINES 24-28

.. code-block:: Python


    for dc in DayCount:
        print(f"{dc.value:13s} {year_fraction('2003-11-01', '2004-05-01', dc):.5f}")





.. rst-class:: sphx-glr-script-out

 .. code-block:: none

    ACT/360       0.50556
    ACT/365F      0.49863
    30/360 US     0.50000
    30E/360       0.50000
    ACT/ACT ISDA  0.49772




.. GENERATED FROM PYTHON SOURCE LINES 29-32

Six-month periods through a leap year
-------------------------------------
The same calendar period earns different interest under each convention.

.. GENERATED FROM PYTHON SOURCE LINES 32-45

.. code-block:: Python


    starts = np.arange(np.datetime64("2023-01-01"), np.datetime64("2025-01-01"), 7)
    ends = (starts.astype("datetime64[M]") + 6).astype("datetime64[D]") + (starts - starts.astype("datetime64[M]").astype("datetime64[D]"))
    fig, ax = plt.subplots(figsize=(8, 4.5))
    for dc in DayCount:
        ax.plot(starts, year_fraction(starts, ends, dc), label=dc.value)
    ax.axhline(0.5, color="k", lw=0.8, ls=":")
    ax.set_ylabel("year fraction of a six-month period")
    ax.set_title("The day-count zoo")
    ax.legend(fontsize=8)
    fig.autofmt_xdate()

    plt.show()



.. image-sg:: /api/gallery/time_value/day_counts/images/sphx_glr_plot_02_isda_actual_actual_001.png
   :alt: The day-count zoo
   :srcset: /api/gallery/time_value/day_counts/images/sphx_glr_plot_02_isda_actual_actual_001.png
   :class: sphx-glr-single-img


.. rst-class:: sphx-glr-script-out

 .. code-block:: none

    /Users/cpoli/Code/financialkit/examples/time_value/day_counts/plot_02_isda_actual_actual.py:33: DeprecationWarning: The 'generic' unit for NumPy timedelta is deprecated, and will raise an error in the future. This includes implicit conversion of bare integers (e.g. `+ 1`). Please use a specific unit instead.
      starts = np.arange(np.datetime64("2023-01-01"), np.datetime64("2025-01-01"), 7)
    /Users/cpoli/Code/financialkit/examples/time_value/day_counts/plot_02_isda_actual_actual.py:34: DeprecationWarning: The 'generic' unit for NumPy timedelta is deprecated, and will raise an error in the future. This includes implicit conversion of bare integers (e.g. `+ 1`). Please use a specific unit instead.
      ends = (starts.astype("datetime64[M]") + 6).astype("datetime64[D]") + (starts - starts.astype("datetime64[M]").astype("datetime64[D]"))





.. rst-class:: sphx-glr-timing

   **Total running time of the script:** (0 minutes 0.046 seconds)


.. _sphx_glr_download_api_gallery_time_value_day_counts_plot_02_isda_actual_actual.py:

.. only:: html

  .. container:: sphx-glr-footer sphx-glr-footer-example

    .. container:: lite-badge

      .. image:: images/jupyterlite_badge_logo.svg
        :target: ../../../../lite/lab/index.html?path=api/gallery/time_value/day_counts/plot_02_isda_actual_actual.ipynb
        :alt: Launch JupyterLite
        :width: 150 px

    .. container:: sphx-glr-download sphx-glr-download-jupyter

      :download:`Download Jupyter notebook: plot_02_isda_actual_actual.ipynb <plot_02_isda_actual_actual.ipynb>`

    .. container:: sphx-glr-download sphx-glr-download-python

      :download:`Download Python source code: plot_02_isda_actual_actual.py <plot_02_isda_actual_actual.py>`

    .. container:: sphx-glr-download sphx-glr-download-zip

      :download:`Download zipped: plot_02_isda_actual_actual.zip <plot_02_isda_actual_actual.zip>`


.. only:: html

 .. rst-class:: sphx-glr-signature

    `Gallery generated by Sphinx-Gallery <https://sphinx-gallery.github.io>`_