net.finmath.time.daycount

Class DayCountConvention_ACT_360

java.lang.Object

net.finmath.time.daycount.DayCountConvention_ACT

net.finmath.time.daycount.DayCountConvention_ACT_360

All Implemented Interfaces:

DayCountConventionInterface

public class DayCountConvention_ACT_360
extends DayCountConvention_ACT
implements DayCountConventionInterface

Implementation of ACT/360. Calculates the day count by calculating the actual number of days between startDate and endDate. The method is only exact, if the two calendar dates are (approximately) on the same time. A fractional day is rounded to the approximately nearest day (since daylight saving is not considered, the notion of nearest may be off by one hour). The day count fraction is calculated using ACT/360 convention, that is, the day count divided by 360. This day count convention is sometime called Money Market basis.

• The method getDaycountFraction corresponds to the implementation of the "ACT/360 method" of Excel function YEARFRAC, i.e., YEARFRAC(startDate,endDate,2).

Constructor Summary

Constructors

Constructor and Description
DayCountConvention_ACT_360() Create an ACT/360 day count convention.

Method Summary

Modifier and Type	Method and Description
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 net.finmath.time.daycount.DayCountConvention_ACT

daysBetween, getDaycount

Methods inherited from class java.lang.Object

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

Methods inherited from interface net.finmath.time.daycount.DayCountConventionInterface

getDaycount

Constructor Detail

DayCountConvention_ACT_360

public DayCountConvention_ACT_360()

Create an ACT/360 day count convention.

Method Detail

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.