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

Class DayCountConvention_30E_360_ISDA

  • All Implemented Interfaces:
    Serializable, DayCountConvention
    public class DayCountConvention_30E_360_ISDA
extends Object
implements DayCountConvention, Serializable
    Implementation of 30E/360 ISDA. Calculates the day count as (endDateYear - startDateYear) * 360.0 + (endDateMonth - startDateMonth) * 30.0 + (Math.min(endDateDay,30) - Math.min(startDateDay, 30.0)); where for endDateDay is the to 30, if endDate is not the termination date and the last day of February. The constructor offers a boolean to decide if endDate is treated as a termination date or not. A termination date is the endDate of the last period in a schedule.
    Version:
    1.0
    Author:
    Christian Fries
    See Also:
    Serialized Form

    • Constructor Detail

      • DayCountConvention_30E_360_ISDA

        public DayCountConvention_30E_360_ISDA​(boolean isTreatEndDateAsTerminationDate)
        Create a 30E/360 ISDA daycount convention.
        Parameters:
        isTreatEndDateAsTerminationDate - If true, the end date is treated as a termination date and that case the last day of february is not treated as 30.

      • DayCountConvention_30E_360_ISDA

        public DayCountConvention_30E_360_ISDA()
        Create a 30E/360 ISDA daycount convention using isTreatEndDateAsTerminationDate = false.

    • 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.