net.finmath.time.daycount

Class DayCountConventionFactory

java.lang.Object

net.finmath.time.daycount.DayCountConventionFactory

public class DayCountConventionFactory
extends Object

Factory methods for day count conventions.

Author:

Christian Fries

Constructor Summary

Constructors

Constructor and Description
DayCountConventionFactory() Factory methods for day count conventions.

Method Summary

Modifier and Type	Method and Description
static Calendar	getCalendarForData(Date date) Returns a java.util.Calendar for a given java.util.Date.
static double	getDaycount(Date startDate, Date endDate, String convention) Return the number of days between startDate and endDate given the specific daycount convention.
static DayCountConventionInterface	getDayCountConvention(String convention) Create a day count convention base on a convention string.
static double	getDaycountFraction(Date startDate, Date endDate, String convention) Return the daycount fraction corresponding to the period from startDate to endDate given the specific daycount convention.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

DayCountConventionFactory

public DayCountConventionFactory()

Factory methods for day count conventions.

Method Detail

getDayCountConvention

public static DayCountConventionInterface getDayCountConvention(String convention)

Create a day count convention base on a convention string. The follwoing convention strings are supported

• act/act isda
• 30/360
• 30E/360
• 30U/360
• act/360
• act/365
• act/act yearfrac

Parameters:

convention - A convention string.

Returns:

A day count convention object.

getDaycount

public static double getDaycount(Date startDate,
                                 Date endDate,
                                 String convention)

Return the number of days between startDate and endDate given the specific daycount convention.

Parameters:

startDate - The start date given as a Date.

endDate - The end date given as a Date.

convention - A convention string.

Returns:

The number of days within the given period.

getDaycountFraction

public static double getDaycountFraction(Date startDate,
                                         Date endDate,
                                         String convention)

Return the daycount fraction corresponding to the period from startDate to endDate given the specific daycount convention.

Parameters:

startDate - The start date given as a Date.

endDate - The end date given as a Date.

convention - A convention string.

Returns:

The daycount fraction corresponding to the given period.

getCalendarForData

public static Calendar getCalendarForData(Date date)

Returns a java.util.Calendar for a given java.util.Date.

Parameters:

date - A Date

Returns:

The corresponding calendar