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

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_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.

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.