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‎.coverage‎

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‎.coveragerc‎

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# .coveragerc
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[run]
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source = curo
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omit =
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*/__init__.py
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examples/*
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tests/*
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*/tests/*
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*/test_*.py
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[report]
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show_missing = true
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precision = 2
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[html]
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directory = coverage_html

‎.gitignore‎

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# Python-generated files
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__pycache__/
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*.py[oc]
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.pytest_cache/
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build/
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coverage_html/
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dist/
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wheels/
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*.egg-info

‎Makefile‎

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PYTHON = python3
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# Run doctest on specified files
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DOCTEST_FILES = curo/daycount/day_count_factor.py
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# Run all tests
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test: test-pytest test-doctest
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test-pytest:
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uv run pytest tests/ -v -s
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test-doctest:
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$(PYTHON) -m doctest $(DOCTEST_FILES) -v
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coverage:
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$(PYTHON) -m pytest --cov=curo --cov-report=term-missing --cov-report=html tests/ -v
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# Clean up (optional)
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clean:
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rm -rf __pycache__ *.pyc
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# Rebuild the virtual environment if corrupted or outdated
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# [`uv pip install -e .` installs curo in editable mode]
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rebuild-venv:
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rebuild:
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rm -rf .venv
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rm uv.lock
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uv venv
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uv pip install .
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uv pip install -e .
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uv lock
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all-tests:
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uv run pytest tests/ -v -s
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.PHONY: test test-pytest test-doctest clean

‎curo/daycount/__init__.py‎

Whitespace-only changes.

‎curo/daycount/actual_360.py‎

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"""
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Implements the Actual/360 day count convention.
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"""
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import pandas as pd
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from .convention import Convention
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from .day_count_factor import DayCountFactor
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class Actual360(Convention):
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"""
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Implements the Actual/360 day count convention.
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Counts the actual number of days between two dates, excluding the end date, and
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divides by 360 to compute the year fraction. Suitable for compound interest
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calculations and XIRR when `use_xirr_method` is True.
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Args:
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use_post_dates: If True, uses cash flow post dates for day counts; if False, uses
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value dates. Defaults to True.
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include_non_financing_flows: If True, includes non-financing cash flows (e.g., fees)
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in factor computations; if False, excludes them. Defaults to False.
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use_xirr_method: If True, uses the XIRR method, setting day count origin to
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DRAWDOWN; if False, uses NEIGHBOUR. Defaults to False.
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Example:
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>>> dc = Actual360()
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>>> factor = dc.compute_factor(
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... pd.Timestamp('2020-01-28', tz='UTC'),
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... pd.Timestamp('2020-02-28', tz='UTC')
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... )
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>>> print(factor)
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31/360 = 0.08611111
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"""
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def __init__(
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self,
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use_post_dates: bool = True,
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include_non_financing_flows: bool = False,
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use_xirr_method: bool = False
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):
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super().__init__(
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use_post_dates=use_post_dates,
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include_non_financing_flows=include_non_financing_flows,
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use_xirr_method=use_xirr_method
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)
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def compute_factor(self, start: pd.Timestamp, end: pd.Timestamp) -> DayCountFactor:
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"""
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Computes the year fraction between two dates using Actual/360.
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Args:
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start: The earlier date (pd.Timestamp).
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end: The later date (pd.Timestamp).
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Returns:
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DayCountFactor: The year fraction (days / 360) with operand log.
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Raises:
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ValueError: If `end` is before `start`.
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Example:
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>>> dc = Actual360()
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>>> factor = dc.compute_factor(
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... pd.Timestamp('2020-01-28', tz='UTC'),
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... pd.Timestamp('2020-02-28', tz='UTC')
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... )
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>>> factor.year_fraction
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0.08611111111111111
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>>> factor.year_fraction_operands
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['31/360']
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"""
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if end < start:
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raise ValueError("end must be after start")
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days = (end - start).days if end > start else 0 # Exclude end date, 0 for same day
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factor = days / 360
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return DayCountFactor(
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year_fraction=factor,
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year_fraction_operands=[f"{days}/360"]
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)

‎curo/daycount/actual_365.py‎

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"""
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Implements the Actual/365 Fixed day count convention.
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"""
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from .convention import Convention
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from .day_count_factor import DayCountFactor
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import pandas as pd
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class Actual365(Convention):
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"""
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Implements the Actual/365 Fixed day count convention.
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Counts the actual number of days between two dates, excluding the end date, and
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divides by 365 to compute the year fraction. Suitable for compound interest
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calculations and XIRR when `use_xirr_method` is True.
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Args:
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use_post_dates: If True, uses cash flow post dates for day counts; if False, uses
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value dates. Defaults to True.
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include_non_financing_flows: If True, includes non-financing cash flows (e.g., fees)
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in factor computations; if False, excludes them. Defaults to False.
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use_xirr_method: If True, uses the XIRR method, setting day count origin to
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DRAWDOWN; if False, uses NEIGHBOUR. Defaults to False.
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Example:
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>>> dc = Actual365()
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>>> factor = dc.compute_factor(
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... pd.Timestamp('2020-01-28', tz='UTC'),
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... pd.Timestamp('2020-02-28', tz='UTC')
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... )
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>>> print(factor)
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31/365 = 0.08493151
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"""
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def __init__(
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self,
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use_post_dates: bool = True,
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include_non_financing_flows: bool = False,
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use_xirr_method: bool = False
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):
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super().__init__(
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use_post_dates=use_post_dates,
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include_non_financing_flows=include_non_financing_flows,
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use_xirr_method=use_xirr_method
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)
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def compute_factor(self, start: pd.Timestamp, end: pd.Timestamp) -> DayCountFactor:
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"""
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Computes the year fraction between two dates using Actual/365 Fixed.
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Args:
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start: The earlier date (pd.Timestamp).
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end: The later date (pd.Timestamp).
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Returns:
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DayCountFactor: The year fraction (days / 365) with operand log.
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Raises:
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ValueError: If `end` is before `start`.
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Example:
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>>> dc = Actual365()
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>>> factor = dc.compute_factor(
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... pd.Timestamp('2020-01-28', tz='UTC'),
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... pd.Timestamp('2020-02-28', tz='UTC')
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... )
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>>> factor.year_fraction
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0.08493150684931507
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>>> factor.year_fraction_operands
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['31/365']
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"""
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if end < start:
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raise ValueError("end must be after start")
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days = (end - start).days if end > start else 0 # Exclude end date, 0 for same day
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factor = days / 365
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return DayCountFactor(
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year_fraction=factor,
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year_fraction_operands=[f"{days}/365"]
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)

‎curo/daycount/actual_isda.py‎

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"""
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Implements the Actual/Actual (ISDA) day count convention.
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"""
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import calendar
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import pandas as pd
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from .convention import Convention
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from .day_count_factor import DayCountFactor
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class ActualISDA(Convention):
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"""
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Implements the Actual/Actual (ISDA) day count convention.
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Counts the actual number of days between two dates, including the end date for each
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year segment, and divides by 365 (non-leap year) or 366 (leap year). For multi-year
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periods, splits the calculation by year, summing fractions for each year. Suitable
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for compound interest calculations and XIRR when `use_xirr_method` is True.
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Args:
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use_post_dates: If True, uses cash flow post dates for day counts; if False, uses
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value dates. Defaults to True.
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include_non_financing_flows: If True, includes non-financing cash flows (e.g., fees)
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in factor computations; if False, excludes them. Defaults to False.
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use_xirr_method: If True, uses the XIRR method, setting day count origin to
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DRAWDOWN; if False, uses NEIGHBOUR. Defaults to False.
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Example:
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>>> dc = ActualISDA()
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>>> factor = dc.compute_factor(
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... pd.Timestamp('2020-01-28', tz='UTC'),
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... pd.Timestamp('2020-02-28', tz='UTC')
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... )
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>>> print(factor)
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31/366 = 0.08469945
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"""
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def __init__(
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self,
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use_post_dates: bool = True,
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include_non_financing_flows: bool = False,
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use_xirr_method: bool = False
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):
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super().__init__(
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use_post_dates=use_post_dates,
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include_non_financing_flows=include_non_financing_flows,
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use_xirr_method=use_xirr_method
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)
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def compute_factor(self, start: pd.Timestamp, end: pd.Timestamp) -> DayCountFactor:
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"""
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Computes the year fraction between two dates using Actual/Actual (ISDA).
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Args:
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start: The earlier date (pd.Timestamp).
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end: The later date (pd.Timestamp).
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Returns:
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DayCountFactor: The year fraction with operand log.
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Raises:
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ValueError: If `end` is before `start`.
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Example:
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>>> dc = ActualISDA()
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>>> factor = dc.compute_factor(
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... pd.Timestamp('2020-01-28', tz='UTC'),
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... pd.Timestamp('2020-02-28', tz='UTC')
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... )
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>>> factor.year_fraction
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0.08469945355191257
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>>> factor.year_fraction_operands
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['31/366']
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"""
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if end < start:
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raise ValueError("end must be after start")
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if end == start:
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return DayCountFactor(year_fraction=0.0, year_fraction_operands=["0/365"])
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start_year = start.year
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end_year = end.year
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factor = 0.0
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if start_year == end_year:
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# Same year: use single denominator (365 or 366)
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days = (end - start).days
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denominator = 366 if calendar.isleap(start_year) else 365
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factor = days / denominator
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return DayCountFactor(
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year_fraction=factor,
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year_fraction_operands=[f"{days}/{denominator}"]
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)
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# Multi-year: split by year
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operand_log = []
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current_date = start
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current_year = start_year
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while current_year != end_year:
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year_end = pd.Timestamp(f"{current_year}-12-31", tz="UTC")
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days = (year_end - current_date).days + 1 if year_end >= current_date else 0
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denominator = 366 if calendar.isleap(current_year) else 365
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#if days >= 0: # Skip if start is Dec 31 <- Wrong: need to add 1 day
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if days == 0:
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days = 1
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factor += days / denominator
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operand_log.append(f"{days}/{denominator}")
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current_date = year_end + pd.Timedelta(days=1) # Move to Jan 1 next year
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current_year += 1
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# Final partial year
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days = (end - current_date).days if end >= current_date else 0
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denominator = 366 if calendar.isleap(end_year) else 365
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if days > 0:
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factor += days / denominator
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operand_log.append(f"{days}/{denominator}")
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return DayCountFactor(
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year_fraction=factor,
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year_fraction_operands=operand_log
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)

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