MarcusRainbow / QuantMath

Financial maths library for risk-neutral pricing and risk
MIT License
371 stars 43 forks source link

Lots more day-count conventions #15

Open MarcusRainbow opened 6 years ago

MarcusRainbow commented 6 years ago

Wikipedia lists lots of these, such as various flavours of Act/365, Act/Act and 30/360.

Implementing these would be a nice self-contained task requiring no more financial knowledge than you could easily pick up from the Wikipedia entries.