Module net.finmath.lib

Package net.finmath.time.daycount

Class DayCountConvention_ACT_360

java.lang.Object

net.finmath.time.daycount.DayCountConvention_ACT

net.finmath.time.daycount.DayCountConvention_ACT_360

All Implemented Interfaces:

Serializable, DayCountConvention

public class DayCountConvention_ACT_360
extends DayCountConvention_ACT
implements DayCountConvention, Serializable

Implementation of ACT/360. Calculates the day count by calculating the actual number of days between startDate and endDate. A fractional day is rounded to the approximately nearest day. The day count fraction is calculated using ACT/360 convention, that is, the day count divided by 360. This day count convention is sometime called Money Market basis.

• The method getDaycountFraction corresponds to the implementation of the "ACT/360 method" of Excel function YEARFRAC, i.e., YEARFRAC(startDate,endDate,2).

Version:

1.0

Author:

Christian Fries

See Also:

Serialized Form

Constructor Summary

Constructors

Constructor	Description
DayCountConvention_ACT_360()	Create an ACT/360 day count convention.

Method Summary

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

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, toString, wait, wait, wait

Methods inherited from interface net.finmath.time.daycount.DayCountConvention

getDaycount

Constructor Details

DayCountConvention_ACT_360

public DayCountConvention_ACT_360()

Create an ACT/360 day count convention.

Method Details

getDaycountFraction

public double getDaycountFraction(LocalDate startDate, LocalDate endDate)

Description copied from interface: DayCountConvention

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

Specified by:

getDaycountFraction in interface DayCountConvention

Parameters:

startDate - The start date given as a LocalDate.

endDate - The end date given as a LocalDate.

Returns:

The daycount fraction corresponding to the given period.