Module net.finmath.lib
Package net.finmath.time.daycount
Provides various day count conventions, e.g., as used in the definition of coupon payments of interest rate products.
- Author:
- Christian Fries
-
Interface Summary Interface Description DayCountConvention Interface for various day count conventions. -
Class Summary Class Description DayCountConvention_30E_360 Implementation of 30E/360 and 30E+/360.DayCountConvention_30E_360_ISDA Implementation of 30E/360 ISDA.DayCountConvention_30U_360 Calculates the day count using the US 30/360 adjusted method.DayCountConvention_ACT Base class which calculates the day count by calculating the actual number of days between startDate and endDate.DayCountConvention_ACT_360 Implementation of ACT/360.DayCountConvention_ACT_365 Implementation of ACT/365.DayCountConvention_ACT_365A Implementation of ACT/365A.DayCountConvention_ACT_365L Implementation of ACT/365L.DayCountConvention_ACT_ACT_AFB Implementation of ACT/ACT AFB.DayCountConvention_ACT_ACT_ICMA Implementation of ACT/ACT ICMA.DayCountConvention_ACT_ACT_ISDA Implementation of ACT/ACT ISDA.DayCountConvention_ACT_ACT_YEARFRAC Implementation of ACT/ACT as in Excel (2013).DayCountConvention_NL_365 Implementation of NL/365.DayCountConvention_NONE This is a special day count convention, where the day count between two dates is always 0.0 and the year fraction for an interval is always 1.0.DayCountConvention_UNKNOWN Implements a placeholder object for an unknown day count convention, throwing an exception, whenever a day count or day count fraction is requested.DayCountConventionFactory Factory methods for day count conventions.