Calendar

Date scheduling, business day calendars, day count fractions, and tenor arithmetic.

Related: Pricing Guide demonstrates Schedule-based cashflow generation with business day calendars.

All types are available via flat import:

from vade import Schedule, BusinessCalendar, dcf, add_tenor, add_business_days

See Conventions for all accepted string parameter values.

Schedule

Financial schedule with regular periods and optional stubs.

Schedule(
    effective,
    termination,
    frequency,
    calendar=None,
    adjuster="modified_following",
    roll_day=None,
    front_stub=None,
    back_stub=None,
    stub_inference="short_front",
)

Parameters

Name	Type	Default	Description
`effective`	`datetime.date`	required	Start date of the schedule
`termination`	`datetime.date`	required	End date of the schedule
`frequency`	`str`	required	Period frequency (`"M"`, `"Q"`, `"S"`, `"A"`, `"Z"`)
`calendar`	`BusinessCalendar` or `None`	`None`	Business day calendar (weekends-only if not provided)
`adjuster`	`str`	`"modified_following"`	Business day adjustment rule
`roll_day`	`str`, `int`, or `None`	`None`	Roll day convention (`"eom"`, `"imm"`, or `1`-`31`)
`front_stub`	`datetime.date` or `None`	`None`	Explicit front stub date
`back_stub`	`datetime.date` or `None`	`None`	Explicit back stub date
`stub_inference`	`str`	`"short_front"`	Stub preference (`"short_front"`, `"long_front"`, `"short_back"`, `"long_back"`)

See Conventions for all accepted values for frequency, adjuster, roll_day, and stub_inference.

Properties

Property	Type	Description
`.unadjusted_dates`	`list[datetime.date]`	Unadjusted period boundary dates
`.adjusted_dates`	`list[datetime.date]`	Adjusted period boundary dates
`.n_periods`	`int`	Number of periods

Methods

Method	Returns	Description
`.has_front_stub()`	`bool`	Whether the schedule has a front stub
`.has_back_stub()`	`bool`	Whether the schedule has a back stub

Example

import datetime
from vade import Schedule, BusinessCalendar

schedule = Schedule(
    effective=datetime.date(2024, 1, 15),
    termination=datetime.date(2025, 1, 15),
    frequency="Q",
    calendar=BusinessCalendar("NYC"),
)

schedule.n_periods  # 4
schedule.adjusted_dates  # [datetime.date(2024, 1, 16), datetime.date(2024, 4, 15), datetime.date(2024, 7, 15), datetime.date(2024, 10, 15), datetime.date(2025, 1, 15)]
schedule.has_front_stub()  # False
schedule.has_back_stub()  # False

Note: the effective date 2024-01-15 (Martin Luther King Jr. Day) is adjusted to 2024-01-16 in the adjusted dates.

BusinessCalendar

Business day calendar with holidays and weekend conventions.

BusinessCalendar(name)

Parameters

Name	Type	Default	Description
`name`	`str`	required	Named calendar identifier (e.g., `"NYC"`, `"LDN"`, `"TGT"`)

See Conventions for all named calendars.

Static Methods

`BusinessCalendar.new_custom(holidays, weekmask)`

Create a custom calendar with explicit holidays and weekend mask.

Name	Type	Default	Description
`holidays`	`list[str]`	required	Holiday dates as `"YYYY-MM-DD"` strings
`weekmask`	`list[int]`	required	Weekend day numbers (`0`=Mon, `5`=Sat, `6`=Sun)

Methods

Method	Returns	Description
`.is_holiday(date)`	`bool`	Check if a date is a holiday
`.is_business_day(date)`	`bool`	Check if a date is a business day
`.bus_day_count(start, end)`	`int`	Count business days between start (inclusive) and end (exclusive)
`.union_cal(other)`	`BusinessCalendar`	Create a union calendar (holiday from either calendar)

Example

import datetime
from vade import BusinessCalendar

nyc = BusinessCalendar("NYC")
nyc.is_business_day(datetime.date(2024, 12, 25))  # False
nyc.is_holiday(datetime.date(2024, 12, 25))  # True
nyc.bus_day_count(datetime.date(2024, 1, 1), datetime.date(2024, 1, 31))  # 20

ldn = BusinessCalendar("LDN")
combined = nyc.union_cal(ldn)
combined.is_business_day(datetime.date(2024, 12, 26))  # False (Boxing Day in LDN)
nyc.is_business_day(datetime.date(2024, 12, 26))  # True (not a NYC holiday)

custom = BusinessCalendar.new_custom(["2024-03-01"], [5, 6])
custom.is_holiday(datetime.date(2024, 3, 1))  # True

dcf

Compute the day count fraction between two dates.

dcf(convention, start, end, calendar=None, termination=None)

Parameters

Name	Type	Default	Description
`convention`	`str`	required	Day count convention (e.g., `"act360"`, `"act365f"`, `"30/360"`)
`start`	`datetime.date`	required	Start date
`end`	`datetime.date`	required	End date
`calendar`	`BusinessCalendar` or `None`	`None`	Required for `"bus252"` convention
`termination`	`datetime.date` or `None`	`None`	Required for `"30e/360isda"` convention

See Conventions for all accepted conventions.

Example

import datetime
from vade import dcf

start = datetime.date(2024, 1, 15)
end = datetime.date(2024, 7, 15)

round(dcf("act360", start, end), 10)  # 0.5055555556
round(dcf("act365f", start, end), 10)  # 0.498630137

add_tenor

Add a tenor string to a date.

add_tenor(date, tenor, calendar=None)

Parameters

Name	Type	Default	Description
`date`	`datetime.date`	required	Base date
`tenor`	`str`	required	Tenor string (e.g., `"2Y"`, `"6M"`, `"1W"`, `"3D"`, `"3B"`)
`calendar`	`BusinessCalendar` or `None`	`None`	Required for business day tenors (`"NB"`)

See Conventions for tenor string format.

Example

import datetime
from vade import add_tenor, BusinessCalendar

base = datetime.date(2024, 1, 15)

add_tenor(base, "6M")  # datetime.date(2024, 7, 15)
add_tenor(base, "1Y")  # datetime.date(2025, 1, 15)
add_tenor(base, "3B", BusinessCalendar("NYC"))  # datetime.date(2024, 1, 18)

add_business_days

Add or subtract business days from a date.

add_business_days(date, days, calendar)

Parameters

Name	Type	Default	Description
`date`	`datetime.date`	required	Base date
`days`	`int`	required	Number of business days (positive forward, negative backward)
`calendar`	`BusinessCalendar`	required	Business day calendar

Example

import datetime
from vade import add_business_days, BusinessCalendar

nyc = BusinessCalendar("NYC")
base = datetime.date(2024, 1, 15)

add_business_days(base, 2, nyc)  # datetime.date(2024, 1, 17)
add_business_days(base, -2, nyc)  # datetime.date(2024, 1, 11)

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