This calculates the years between two dates using the Actual/Actual ISDA day basis convention. This convention counts the number of calendars between the start and end dates. The definition of a year is contingent on whether the year is a leap year or not. The year fraction is calculated as: $$ \frac{d_1}{{dy}_1} + \frac{d_2}{{dy}_2} + y_2 - y_1 - 1 $$

actual_actual_isda(date1, date2)

Arguments

date1

A date-time object

date2

A date-time object

Value

a numeric value representing the number of years between date1 and date2.

Details

where:

  • \(d_1\) is the remaining days in the first date's year including both the start and end date

  • \(d_2\) is the number of days to the second date from the start of that year

  • \({dy}_1\) is 366 if the first date is in a leap year. Otherwise it is 365

  • \({dy}_2\) is 366 if the second date is in a leap year. Otherwise it is 365

The order of date1 and date2 is not important. If date1 is less than date2 then the result will be non-negative. Otherwise, the result will be negative.

See also