Day Count Bases and Dates
Many financial functions require date arguments, and depend on differences between two dates, either as a number of days or as a fraction of a year. This chapter discusses the date format expected by AIMMS’s financial functions and the different methods to compute date differences used from which you can choose in many functions.
Format of Date Arguments
All date arguments in AIMMS’s financial functions should be provided in
the fixed string date format "ccyy-mm-dd". So, 15 August, 2000
should be passed to a financial function as the string "2000-08-15".
If you want to pass an element from a daily calendar as a date argument,
you should convert it to the fixed string date format using the function TimeSlotToString
Day Count Bases
The result of many financial functions depends on the way with which differences between two dates are dealt with. Such functions have a day count basis argument, which determines how the difference between two dates is calculated, either in days or as a fraction of a year. AIMMS supports 5 different day count basis methods, each of which is commonly used in the financial markets. Each of these methods is specified by a way to count days and a way to determine how many days are in a year.
- Method 1 - NASD Method / 360 Days
Calculating with day count basis method 1 means that a year is assumed to consist of 12 periods of 30 days. A year consists of 360 days. The difference between this method and method 5 is the way the last day of a month is handled.
- Method 2 - Actual / Actual
Calculating with day count basis method 2 means that both the number of days between two dates and the number of dates in a year are actual.
- Method 3 - Actual / 360 Days
Calculating with day count basis method 3 means that the number of days between two dates is actual and that the number of days in a year is 360. When using this method, you should note that the year fraction of two dates that are one year apart is larger than 1 (365/360) and that this may lead to unwanted results.
- Method 4 - Actual / 365 Days
Calculating with day count basis method 4 means that the number of days between two dates is actual and that the number of days in a year is 365.
- Method 5 - European Method / 360 Days
Calculating with day count basis method 5 means that a year is assumed to consist of 12 periods of 30 days. A year consists of 360 days. The difference between this method and method 1 is the way the last day of a month is handled.
When the day count basis argument is optional, AIMMS assumes the NASD method 1 by default.
Date Differences
AIMMS supports the following functions for computing differences between two dates: