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

Class DayCountConvention_ACT_ACT_AFB

java.lang.Object
net.finmath.time.daycount.DayCountConvention_ACT
net.finmath.time.daycount.DayCountConvention_ACT_ACT_AFB
All Implemented Interfaces:
Serializable, DayCountConvention
public class DayCountConvention_ACT_ACT_AFB
extends DayCountConvention_ACT
implements Serializable
Implementation of ACT/ACT AFB. 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_ACT_AFB convention. The algorithm works as follows:
  • If the interval from startDate to endDate spans more than a whole year, then the number of whole years is subtracted from the endDate year and added (as an integer) to the day count fraction. Here, subtraction of whole year(s) means:
    • If the end date is on a February 29th and the resulting day is not in a leap year, it will be set to February 28th of that year (i.e., we preserve "end of month").
    • If the end date is on a February 28th of a non-leap year and the resulting day is in a leap year, it will be on February 29th of that year (i.e., we preserve "end of month").
    • Otherwise the resulting day has the same day of month and the same month as the end year.
  • For the remaining interval the actual number of days is divided by a denominator, where the denominator is 366.0 if February 29th is in between start and end and 365.0 otherwise.
Version:
1.0
Author:
Christian Fries
See Also:
Serialized Form