day-count-conventions

Day-count conventions for JavaScript/TypeScript — 30/360, 30E/360, 30E/360-ISDA, 30U/360, ACT/360, ACT/365F, ACT/ACT-ISDA, ACT/ACT-ICMA, ACT/ACT-AFB, BUS/252. Zero dependencies, cross-checked against QuantLib.

npm install day-count-conventions

Why

Every interest accrual, swap leg, and bond coupon depends on a day-count convention, and the details are famously fiddly: does the 31st count as the 30th? Is February month-end special? Which ACT/ACT is your ACT/ACT? npm had no focused, typed implementation of the ISDA 2006 §4.16 definitions — this is that package.

import { dayCount, yearFraction } from "day-count-conventions";

yearFraction("2026-01-15", "2026-07-15", "ACT/360");      // 181/360
yearFraction("2007-01-31", "2007-02-28", "30/360");       // 28/360 (D1 31→30)
yearFraction("2003-11-01", "2004-05-01", "ACT/ACT-ISDA"); // 61/365 + 121/366

// The US Treasury coupon basis:
yearFraction("2026-05-15", "2026-07-15", "ACT/ACT-ICMA", {
  periodEnd: "2026-11-15",  // next coupon
  frequency: 2,             // semiannual
}); // 61 / (2 × 184)

API

yearFraction(start, end, convention, opts?) → number

The year fraction between two dates. Dates are "YYYY-MM-DD" strings (recommended) or Date objects read as UTC calendar dates. Invalid or impossible dates throw RangeError.

• ACT/ACT-ICMA requires opts.frequency (coupon payments/year) and opts.periodEnd (next coupon date); opts.periodStart defaults to start. This is the convention for US Treasury notes and bonds. Both start and end must lie within periodStart … periodEnd; anything else throws RangeError (split longer accruals at coupon dates). For a short first coupon, pass the notional regular period as periodStart/periodEnd. Long irregular coupons are not handled automatically.
• 30E/360-ISDA accepts opts.terminationDate: when the end date is the maturity and falls on the last day of February, it is not adjusted to 30, per ISDA 2006 §4.16(h).
• BUS/252 requires opts.holidays — a predicate (isoDate) => boolean or a list/Set of "YYYY-MM-DD" holiday dates. Weekends are always excluded. Business days are counted from start (inclusive) to end (exclusive).

Convention	Definition
30/360	30/360 Bond Basis, ISDA 2006 §4.16(f)
30E/360	30E/360 Eurobond Basis, ISDA 2006 §4.16(g)
30E/360-ISDA	30E/360 (ISDA), ISDA 2006 §4.16(h)
30U/360	30/360 US (SIA): Bond Basis plus the February month-end rule (QuantLib Thirty360.USA)
ACT/360	ISDA 2006 §4.16(e)
ACT/365F	Actual/365 (Fixed), ISDA 2006 §4.16(d)
ACT/ACT-ISDA	ISDA 2006 §4.16(b)
ACT/ACT-ICMA	ISDA 2006 §4.16(c), ICMA Rule 251 (single coupon period)
ACT/ACT-AFB	Actual/Actual (Euro), ISDA 1998 EMU memo; French AFB basis
BUS/252	Business days / 252 (Brazil)

When end is before start the result is negative and antisymmetric (yearFraction(b, a) === -yearFraction(a, b)). For BUS/252 this differs from QuantLib, which counts reversed intervals with different endpoint inclusion.

dayCount(start, end, convention, opts?) → number

The day count under the convention: actual calendar days for ACT conventions, the 360-basis count for the 30/360 family.

CONVENTIONS

The list of supported convention strings.

Correctness

• Anchored to published examples (the ISDA 1998 EMU-memo ACT/ACT and AFB cases; a live US Treasury accrual reproduced to TreasuryDirect's own published accrued interest).
• Cross-checked against QuantLib 1.43. The committed test fixtures (test/fixtures.ts, generated by test/generate-fixtures.py) cover every convention on 650 date pairs weighted toward month ends, 28/29/30/31 and leap Februaries, plus 400 ACT/ACT-ICMA coupon-period accruals and 300 BUS/252 intervals on QuantLib's Brazil calendar. During the audit the same comparison passed on 48,000 date pairs per convention.
• All day arithmetic uses UTC calendar math — no timezone drift, no DST surprises.

Related

Part of a small fixed-income toolkit: 32nds (Treasury quote notation) · accrued-interest · sifma-holidays (bond-market calendar) · treasurydirect (auction data client).

Author

Built by Moshe Malka — engineering leader in New York City. Studio work at Quentin.Code.

MIT © Moshe Malka