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

Class DayCountConvention_30E_360

  • All Implemented Interfaces:
    Serializable, DayCountConvention
    public class DayCountConvention_30E_360
extends Object
implements DayCountConvention, Serializable
    Implementation of 30E/360 and 30E+/360. Calculates the day count of 30E/360 as (endDateYear - startDateYear) * 360.0 + (endDateMonth - startDateMonth) * 30.0 + (Math.min(endDateDay, 30.0) - Math.min(startDateDay, 30.0)) This day count convention is sometime called Eurobond basis or 30/360 ISMA. For 30E/360 we have that:
    • The method getDaycount corresponds to the implementation of the "European method" of Excel function DAYS360, i.e., DAYS360(startDate,endDate,TRUE).
    • The method getDaycountFraction corresponds to the implementation of the "30E/360 method" of Excel function YEARFRAC, i.e., YEARFRAC(startDate,endDate,4).
    The day count of 30E+/360 is that of 30E/360 whenever endDateDay is ≤ 30, otherwise it is that of 30E/360 plus one.
    Version:
    1.0
    Author:
    Christian Fries
    See Also:
    Serialized Form

    • Constructor Detail

      • DayCountConvention_30E_360

        public DayCountConvention_30E_360​(boolean is30Eplus360)
        Create a 30E/360 or 30E+/360 day count convention.
        Parameters:
        is30Eplus360 - If true, then 30E+/360 is constructed, otherwise 30E/360 is constructed.

      • DayCountConvention_30E_360

        public DayCountConvention_30E_360()
        Create a 30E/360 daycount convention.

    • Method Detail

      • getDaycount

        public double getDaycount​(LocalDate startDate,
                          LocalDate endDate)
        Description copied from interface: DayCountConvention
        Return the number of days between startDate and endDate given the specific daycount convention.
        Specified by:
        getDaycount in interface DayCountConvention
        Parameters:
        startDate - The start date given as a LocalDate.
        endDate - The end date given as a LocalDate.
        Returns:
        The number of days within the given period.

      • 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.