days360isda

Days between dates based on 360-day year (International Swap Dealer Association (ISDA) compliant)

Syntax

NumDays = days360isda(StartDate,EndDate)

Description

NumDays = days360isda(StartDate,EndDate) returns the number of days between StartDate and EndDate based on a 360-day year (that is, all months contain 30 days) and is International Swap Dealer Association (ISDA) compliant. If EndDate is earlier than StartDate, NumDays is negative. Under this convention, all months contain 30 days.

Either input argument can contain multiple values, but if so, the other must contain the same number of values or a single value that applies to all. For example, if StartDate is an n-row datetime, then EndDate must be an N-by-1 vector of integers or a single integer. NumDays is then an N-by-1 vector of date numbers.

Examples

Determine the Number of Days Between Two Dates Given a Basis of 30/360 Based on ISDA Compliance

Determine the NumDays using date character vectors for StartDate and EndDate for the month of January.

StartDate = '1-Jan-2002';
EndDate = '1-Feb-2002';
NumDays = days360isda(StartDate, EndDate)

NumDays = 
30

Determine the NumDays in the month of January using datetimes for StartDate and EndDate.

NumDays = days360isda(datetime(2002,1,1), datetime(2002,2,1))

NumDays = 
30

Determine the NumDays using a datatime array for EndDate.

MoreDays = [datetime(2000,3,15) ; datetime(2000,4,15) ; datetime(2000,6,15)];
NumDays = days360isda(datetime(2000,1,15), MoreDays)

NumDays = 3×1

    60
    90
   150

Input Arguments

StartDate — Start date

datetime array | string array | date character vector

Start date, specified as a scalar or an N-by-1 or 1-by-N vector using a datetime array, string array, or date character vectors.

To support existing code, days360isda also accepts serial date numbers as inputs, but they are not recommended.

Data Types: char | string | datetime

EndDate — End date

datetime array | string array | date character vector

End date, specified as a scalar or an N-by-1 or 1-by-N vector using a datetime array, string array, or date character vectors.

To support existing code, days360isda also accepts serial date numbers as inputs, but they are not recommended.

Data Types: char | string | datetime

Output Arguments

NumDays — Number of days between two dates given a basis of 30/360 based on European convention

vector

Number of days between two dates given a basis of 30/360 based on International Swap Dealer Association (ISDA) compliance, returned as a scalar or an N-by-1 or 1-by-N vector containing the number of days.

References

[1] Addendum to Securities Industry Association, Standard Securities Calculation Methods: Fixed Income Securities Formulas for Analytic Measures. Vol. 2, Spring 1995.

Version History

Introduced before R2006a

R2022b: Serial date numbers not recommended

Although days360isda supports serial date numbers, datetime values are recommended instead. The datetime data type provides flexible date and time formats, storage out to nanosecond precision, and properties to account for time zones and daylight saving time.

To convert serial date numbers or text to datetime values, use the datetime function. For example:

t = datetime(738427.656845093,"ConvertFrom","datenum");
y = year(t)

y =

        2021

There are no plans to remove support for serial date number inputs.