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

Class DayCountConvention_30U_360

  • All Implemented Interfaces:
    Serializable, DayCountConvention
    public class DayCountConvention_30U_360
extends Object
implements DayCountConvention, Serializable
    Calculates the day count using the US 30/360 adjusted method. The daycount is calculated via (endDateYear - startDateYear) * 360.0 + (endDateMonth - startDateMonth) * 30.0 + (endDateDay - startDateDay) where startDateDay and endDateDay are adjusted towards 30, when being larger than 30 or if isEndOfMonth, also if they fall on the last day of February. See 30/360 US definition for details. This day count convention is sometime called Bond basis.
    • The method getDaycount corresponds to the implementation of the "US method" of Excel function DAYS360, i.e., DAYS360(startDate,endDate,FALSE).
    • The method getDaycountFraction corresponds to the implementation of the "30U/360 method" of Excel function YEARFRAC, i.e., YEARFRAC(startDate,endDate,0).
    Version:
    1.0
    Author:
    Christian Fries
    See Also:
    Serialized Form

    • Constructor Detail

      • DayCountConvention_30U_360

        public DayCountConvention_30U_360()
        Create a 30U/360 day count convention.

      • DayCountConvention_30U_360

        public DayCountConvention_30U_360​(boolean isEndOfMonth)
        Create a 30U/360 day count convention.
        Parameters:
        isEndOfMonth - If true, an end-of-month day will always count as "30", even if we are in February.

    • 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.