Dates

Date utilities for JIT-compatible date arithmetic. All dates are integer ordinals (days since 1970-01-01) stored as jnp.int32 arrays.

Date Conversion

ymd_to_ordinal

ymd_to_ordinal(year: int, month: int, day: int) -> Int[Array, ""]

Convert a calendar date to an ordinal. Use at the user-facing boundary — inside JIT-traced code, work with ordinals directly.

Day Count Conventions

All day count functions have the signature:

fn(start: Int[Array, "..."], end: Int[Array, "..."]) -> Float[Array, "..."]

They support batched inputs via broadcasting.

act_365

Actual/365 Fixed. Year fraction = actual days / 365.

act_360

Actual/360. Year fraction = actual days / 360. Common for money market instruments.

act_act

Actual/Actual (ISDA simplified). Year fraction = actual days / 365.25.

thirty_360

30/360 Bond Basis (US). Adjusts day counts to assume 30-day months.

year_fraction

year_fraction(start, end, convention="act_365") -> Float[Array, "..."]

Dispatch to any convention by name. Valid names: "act_365", "act_360", "act_act", "30_360".

Schedule Generation

generate_schedule

generate_schedule(
    start_year, start_month, start_day,
    end_year, end_month, end_day,
    frequency=2,
) -> Int[Array, "n_dates"]

Generate coupon payment dates backward from maturity. The start date is excluded; the end date (maturity) is always included.

Arguments:

Parameter	Description
start_*	Issue/settlement date (excluded from schedule)
end_*	Maturity date (included in schedule)
frequency	Payments per year: 1 (annual), 2 (semi-annual), 4 (quarterly)