net.finmath.time.daycount

Class DayCountConvention_30U_360

java.lang.Object

net.finmath.time.daycount.DayCountConvention_30U_360

All Implemented Interfaces:

DayCountConventionInterface

public class DayCountConvention_30U_360
extends Object
implements DayCountConventionInterface

Calculates the day count using the US 30/360 adjusted method. The daycount is calculated via (endDateYear - startDateYear) * 360.0 + (endDateMonth - startDateMonth) * 30.0 + (endDateDay - startDateDay) where startDateDay and endDateDay are adjusted towards 30, when being larger than 30 or if isEndOfMonth, also if they fall on the last day of February. See 30/360 US definition for details. This day count convention is sometime called Bond basis.

• The method getDaycount corresponds to the implementation of the "US method" of Excel function DAYS360, i.e., DAYS360(startDate,endDate,FALSE).
• The method getDaycountFraction corresponds to the implementation of the "30U/360 method" of Excel function YEARFRAC, i.e., YEARFRAC(startDate,endDate,0).

Author:

Christian Fries

Constructor Summary

Constructors

Constructor and Description
DayCountConvention_30U_360() Create a 30U/360 day count convention.
DayCountConvention_30U_360(boolean isEndOfMonth) Create a 30U/360 day count convention.

Method Summary

Modifier and Type	Method and Description
double	getDaycount(Calendar startDate, Calendar endDate) Return the number of days between startDate and endDate given the specific daycount convention.
double	getDaycountFraction(Calendar startDate, Calendar endDate) 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

DayCountConvention_30U_360

public DayCountConvention_30U_360()

Create a 30U/360 day count convention.

DayCountConvention_30U_360

public DayCountConvention_30U_360(boolean isEndOfMonth)

Create a 30U/360 day count convention.

Parameters:

isEndOfMonth - If true, an end-of-month day will always count as "30", even if we are in February.

Method Detail

getDaycount

public double getDaycount(Calendar startDate,
                          Calendar endDate)

Description copied from interface: DayCountConventionInterface

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

Specified by:

getDaycount in interface DayCountConventionInterface

Parameters:

startDate - The start date given as a Calendar.

endDate - The end date given as a Calendar.

Returns:

The number of days within the given period.

getDaycountFraction

public double getDaycountFraction(Calendar startDate,
                                  Calendar endDate)

Description copied from interface: DayCountConventionInterface

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

Specified by:

getDaycountFraction in interface DayCountConventionInterface

Parameters:

startDate - The start date given as a Calendar.

endDate - The end date given as a Calendar.

Returns:

The daycount fraction corresponding to the given period.