net.finmath.time.daycount

Class DayCountConvention_30E_360_ISDA

java.lang.Object

net.finmath.time.daycount.DayCountConvention_30E_360_ISDA

All Implemented Interfaces:

DayCountConventionInterface

public class DayCountConvention_30E_360_ISDA
extends java.lang.Object
implements DayCountConventionInterface

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.

Constructor Summary

Constructors

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

Method Summary

Modifier and Type	Method and Description
double	getDaycount(java.util.Calendar startDate, java.util.Calendar endDate) Return the number of days between startDate and endDate given the specific daycount convention.
double	getDaycountFraction(java.util.Calendar startDate, java.util.Calendar 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

equals, 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.

DayCountConvention_30E_360_ISDA

public DayCountConvention_30E_360_ISDA()

Create a 30E/360 ISDA daycount convention.

Method Detail

getDaycount

public double getDaycount(java.util.Calendar startDate,
                          java.util.Calendar endDate)

Description copied from interface: DayCountConventionInterface

Return the number of days between startDate and endDate given the specific daycount convention.

Specified by:

getDaycount in interface DayCountConventionInterface

Parameters:

startDate - The start date given as a Calendar.

endDate - The end date given as a Calendar.

Returns:

The number of days within the given period.

getDaycountFraction

public double getDaycountFraction(java.util.Calendar startDate,
                                  java.util.Calendar endDate)

Description copied from interface: DayCountConventionInterface

Return the daycount fraction corresponding to the period from startDate to endDate given the specific daycount convention.

Specified by:

getDaycountFraction in interface DayCountConventionInterface

Parameters:

startDate - The start date given as a Calendar.

endDate - The end date given as a Calendar.

Returns:

The daycount fraction corresponding to the given period.