net.finmath.time.daycount

Class DayCountConvention_30E_360_ISDA

java.lang.Object

net.finmath.time.daycount.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 Summary

Constructors

Constructor and Description
DayCountConvention_30E_360_ISDA() Create a 30E/360 ISDA daycount convention using isTreatEndDateAsTerminationDate = false.
DayCountConvention_30E_360_ISDA(boolean isTreatEndDateAsTerminationDate) Create a 30E/360 ISDA daycount 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_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.