Module net.finmath.lib
Package net.finmath.time.daycount

Class DayCountConvention_30U_360

java.lang.Object
net.finmath.time.daycount.DayCountConvention_30U_360
All Implemented Interfaces:
Serializable, DayCountConvention
public class DayCountConvention_30U_360
extends Object
implements DayCountConvention, Serializable
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).
Version:
1.0
Author:
Christian Fries
See Also:
Serialized Form

  • Constructor Details

    • 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 Details