Package net.finmath.time.daycount

Provides various day count conventions, e.g., as used in the definition of coupon payments of interest rate products.

See: Description

Interface Summary

Interface	Description
DayCountConventionInterface	Interface for various day count conventions.

Class Summary

Class	Description
DayCountConvention_30E_360	Implementation of 30E/360 and 30E+/360.
DayCountConvention_30E_360_ISDA	Implementation of 30E/360 ISDA.
DayCountConvention_30U_360	Calculates the day count using the US 30/360 adjusted method.
DayCountConvention_ACT	Base class which calculates the day count by calculating the actual number of days between startDate and endDate.
DayCountConvention_ACT_360	Implementation of ACT/360.
DayCountConvention_ACT_365	Implementation of ACT/365.
DayCountConvention_ACT_365A	Implementation of ACT/365A.
DayCountConvention_ACT_365L	Implementation of ACT/365L.
DayCountConvention_ACT_ACT_AFB	Implementation of ACT/ACT AFB.
DayCountConvention_ACT_ACT_ICMA	Implementation of ACT/ACT ICMA.
DayCountConvention_ACT_ACT_ISDA	Implementation of ACT/ACT ISDA.
DayCountConvention_ACT_ACT_YEARFRAC	Implementation of ACT/ACT as in Excel (2013).
DayCountConvention_NL_365	Implementation of NL/365.
DayCountConvention_NONE	This is a special day count convention, where the day count between two dates is always 0.0 and the year fraction for an interval is always 1.0.
DayCountConvention_UNKNOWN	Implements a placeholder object for an unknown day count convention, throwing an exception, whenever a day count or day count fraction is requested.
DayCountConventionFactory	Factory methods for day count conventions.

Package net.finmath.time.daycount Description

Provides various day count conventions, e.g., as used in the definition of coupon payments of interest rate products.