daycounts

Financial day-count conventions in pure Python with zero dependencies.

Implements seven conventions, a year_fraction dispatcher, and an accrued_interest helper. Requires only the Python standard library (datetime).

pip install daycounts

Conventions

See docs/architecture.md for exact formulas and ISDA 2006 references.

NL/365 (Actual/365 No-Leap)

Numerator = actual days between d1 and d2, minus the number of February 29 occurrences in the half-open interval [d1, d2). Denominator = 365.

year_fraction = (actual_days - leap_days_in_period) / 365

Example: 2020-02-28 to 2020-03-01 -- 2 actual days, 1 Feb 29 in interval, fraction = (2 - 1) / 365 = 1/365.

For periods containing no Feb 29, NL/365 agrees exactly with Actual/365 Fixed.

Actual/365L (ISMA-Year)

Numerator = actual days. Denominator = 366 if either:

• the period [d1, d2) contains a February 29, or
• d2 falls in a leap year;

otherwise denominator = 365.

Rule per ISMA Rule Book (2001) Appendix A; also documented in OpenGamma Strata as DayCounts.ACT_365L.

denom = 366 if (isleap(d2.year) or period_contains_feb29) else 365
year_fraction = actual_days / denom

Examples:

• 2023-01-01 to 2023-07-01: 181 days, d2 in non-leap 2023, no Feb 29 -- 181/365
• 2023-07-01 to 2024-01-01: 184 days, d2 in leap 2024 -- 184/366
• 2020-01-01 to 2020-07-01: 182 days, Feb 29 2020 in period -- 182/366

Usage

import datetime
from daycounts import (
    Convention,
    actual_360,
    actual_365_fixed,
    actual_365l,
    actual_actual_isda,
    nl_365,
    thirty_360_us,
    thirty_e_360,
    year_fraction,
    accrued_interest,
)

d1 = datetime.date(2024, 1, 1)
d2 = datetime.date(2024, 7, 1)

# Direct functions
print(actual_360(d1, d2))           # 0.5055...  (182/360)
print(actual_365_fixed(d1, d2))     # 0.4986...  (182/365)
print(actual_actual_isda(d1, d2))   # 0.4972...  (182/366, all in leap 2024)
print(thirty_360_us(d1, d2))        # 0.5000     (180/360)
print(thirty_e_360(d1, d2))         # 0.5000     (180/360)
print(nl_365(d1, d2))               # 0.4959...  (181/365, Feb 29 removed)
print(actual_365l(d1, d2))          # 0.4972...  (182/366, 2024 is leap)

# Dispatcher (accepts enum or string)
print(year_fraction(d1, d2, Convention.ACTUAL_360))
print(year_fraction(d1, d2, "actual/360"))
print(year_fraction(d1, d2, Convention.NL_365))
print(year_fraction(d1, d2, "nl/365"))
print(year_fraction(d1, d2, Convention.ACTUAL_365L))
print(year_fraction(d1, d2, "actual/365l"))

Accrued interest

# USD 1,000,000 notional, 5% annual coupon, Actual/360
ai = accrued_interest(
    face=1_000_000,
    rate=0.05,
    d1=datetime.date(2024, 1, 1),
    d2=datetime.date(2024, 7, 1),
    convention="actual/360",
)
# -> 25277.78

Convention string values

# Canonical strings (case-insensitive):
"actual/360"
"actual/365f"
"actual/actual isda"
"30/360 us"
"30e/360"
"nl/365"
"actual/365l"

Install

pip install daycounts
uv add daycounts

Requires Python 3.10+. Zero runtime dependencies.

PyPI publication is pending (new-project rate limit); install from source in the meantime:

pip install git+https://github.com/amaar-mc/daycounts.git

Development

git clone https://github.com/amaar-mc/daycounts
cd daycounts
uv venv .venv && source .venv/bin/activate
uv pip install -e ".[dev]"
pytest -q
ruff check .
mypy src

vs yearfrac / QuantLib

• yearfrac (Excel-compatible): supports ~4 conventions, no Actual/Actual ISDA split-year logic.
• QuantLib / financepy / rateslib: correct and comprehensive, but pull in large scientific-stack dependencies (NumPy, Cython, or C++ extensions).
• daycounts: zero-dependency pip package focused on the five most common ISDA conventions, with strict typing and a clean pure-Python API.

License

MIT. Copyright (c) 2026 Amaar Chughtai.