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

Class DayCountConvention_ACT_ACT_ICMA

  • All Implemented Interfaces:
    Serializable, DayCountConvention
    public class DayCountConvention_ACT_ACT_ICMA
extends DayCountConvention_ACT
implements Serializable
    Implementation of ACT/ACT ICMA. 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_ICMA convention, that is, the day count fraction is n/(f*m), where
    • n is the number of days between period start and the given day,
    • m is the number of days between period start and period end,
    • f is the number of periods within a year
    where the start date is included in the counting and the end date is excluded in the counting. In contrast to other daycount conventions this daycount conventions requires information on an associated schedule of periods. It depends on the definition of period start and period end and on the frequency. This is implemented by providing an object implementing an net.finmath.time.Period upon construction.

    The class can be constructed using isCountLastDayNotFirst = true, which will change its behavior compared to above. In this case the start date is excluded in the counting and the end date is included in the counting. This means that from 31.12.2014 to 01.01.2015 the day count fraction is 1/365 since 2015 is not a leap year.

    Note: The daycount method DayCountConvention_ACT_ACT_ISDA is a special case of this method for frequency being one, having annual periods from January 1st to December 31st.
    Version:
    1.0
    Author:
    Christian Fries
    See Also:
    Serialized Form

    • Constructor Detail

      • DayCountConvention_ACT_ACT_ICMA

        public DayCountConvention_ACT_ACT_ICMA​(ArrayList<Period> periods,
                                       int frequency)
        Create an ACT/ACT ICMA day count convention.
        Parameters:
        periods - A sorted list of periods defining the periods. From the periods, only the period end dates are used as interval boundaries, except for the start date of the first interval, where the period start date is used.
        frequency - The frequency, i.e., the number of periods which make up a year.

    • Method Detail

      • 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.