day-count-conventions

ISDA day-count conventions for JavaScript/TypeScript — 30/360, 30E/360, 30E/360-ISDA, ACT/360, ACT/365F, ACT/ACT-ISDA, ACT/ACT-ICMA. Zero dependencies.

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";

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.
• 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).

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 EMU-memo ACT/ACT case; a live US Treasury accrual reproduced to TreasuryDirect's own published accrued interest).
• Cross-checked against an independent Python reference implementation (test/generate-fixtures.py) over 345 fixtures, including month-end, leap-February, and termination-date edge cases.
• 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