pricing_dates: 4 tools.
| Tool | What it does | Notes |
|---|---|---|
pricing_calendar | Business-day calendar of any market (77 country/exchange calendars, joined or custom): test dates, roll them with a business-day convention, advance them by business days or tenors, count business days between pairs, list holidays or business days over a range, or the first/last business day of the month. | |
pricing_day_count | Year fractions and day counts between date pairs under one or several day count conventions side by side (Actual/360, Actual/365 Fixed and its Canadian/no-leap variants, Actual/Actual ISDA/ISMA/Bond/AFB/Euro, every 30/360 variant, Business/252 on a calendar, 1/1, simple), or the date a year fraction after a start date. | |
pricing_schedule | Coupon or payment schedule: dates from effective to termination at a frequency or tenor, on a calendar with a business-day convention and a date-generation rule (backward, forward, IMM third Wednesdays, twentieth, CDS, CDS2015, zero), with front/back stubs, end-of-month rolling and truncation; or from explicit dates; or a sinking-fund schedule with the amortizing notional per period. | |
pricing_date_tools | Date maths for rates and futures: IMM and ASX futures dates and codes (next dates, test, code <-> date), ECB reserve-maintenance dates, the n-th weekday of a month (third Friday expiries), the next weekday, a date plus tenors, actual days between dates, date facts (weekday, leap year, month end, serial number), tenor normalisation and frequency, and standard CDS maturities. |
fincept_describe_tool.