net.finmath.time.daycount

Class DayCountConvention_ACT_ACT_YEARFRAC

java.lang.Object

net.finmath.time.daycount.DayCountConvention_ACT

net.finmath.time.daycount.DayCountConvention_ACT_ACT_YEARFRAC

All Implemented Interfaces:

DayCountConventionInterface

public class DayCountConvention_ACT_ACT_YEARFRAC
extends DayCountConvention_ACT

Implementation of ACT/ACT as in Excel (2013). Calculates the day count by calculating the actual number of days between startDate and endDate. The method is only exact, if the two calendar dates are (approximately) on the same time. A fractional day is rounded to the approximately nearest day (since daylight saving is not considered, the notion of nearest may be off by one hour). The day count fraction is calculated using ACT_ACT_YEARFRAC convention, that is, it is calculates the daycount fraction corresponding to the Excel (2013) function YEARFRAC(startDate, endDate, 1). The day count fraction is calculated by dividing the actual number of days between start and end date by a denominator, where the denominator is determines as follows:

• If the interval from start to end spans more than one year fraction, denominator is the average number of days per year
• If the interval from start to end spans less or equal one year and if start and end fall in a leap year, denominator is 366.0
• If the interval from start to end spans less or equal one year and if either falls in a leap year and if February 29th of that leap year lies in between start and end (or is equal to start or end), denominator is 366.0
• If the interval from start to end spans less or equal one year and neither of the above applied denominator is 365.0

This method is not identical to ACT/ACT ISDA. For ACT/ACT ISDA use DayCountConvention_ACT_ACT_ISDA.

In addition the method has the defect, that it is not additive (if you consider small intervals). For example YEARFRAC(30.12.2011, 04.01.2012, 1) is not equal to YEARFRAC(30.12.2011, 01.01.2012, 1) + YEARFRAC(01.01.2012, 04.01.2012, 1).

Author:

Christian Fries

Constructor Summary

Constructors

Constructor and Description
DayCountConvention_ACT_ACT_YEARFRAC() Create an ACT/ACT YEARFRAC daycount convention.

Method Summary

Modifier and Type	Method and Description
double	getDaycountFraction(Calendar startDate, Calendar endDate) Return the daycount fraction corresponding to the period from startDate to endDate given the specific daycount convention.
String	toString()

Methods inherited from class net.finmath.time.daycount.DayCountConvention_ACT

daysBetween, getDaycount

Methods inherited from class java.lang.Object

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

Constructor Detail

DayCountConvention_ACT_ACT_YEARFRAC

public DayCountConvention_ACT_ACT_YEARFRAC()

Create an ACT/ACT YEARFRAC daycount convention.

Method Detail

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.

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.

toString

public String toString()

Overrides:

toString in class Object