net.finmath.time.daycount

Class DayCountConvention_30E_360

java.lang.Object

net.finmath.time.daycount.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 Summary

Constructors

Constructor and Description
DayCountConvention_30E_360() Create a 30E/360 daycount convention.
DayCountConvention_30E_360(boolean is30Eplus360) Create a 30E/360 or 30E+/360 day count convention.

Method Summary

Modifier and Type	Method and Description
double	getDaycount(LocalDate startDate, LocalDate endDate) Return the number of days between startDate and endDate given the specific daycount convention.
double	getDaycountFraction(LocalDate startDate, LocalDate endDate) Return the daycount fraction corresponding to the period from startDate to endDate given the specific daycount convention.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

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.