net.finmath.time.daycount

Class DayCountConvention_ACT_ACT_AFB

java.lang.Object

net.finmath.time.daycount.DayCountConvention_ACT

net.finmath.time.daycount.DayCountConvention_ACT_ACT_AFB

All Implemented Interfaces:

DayCountConventionInterface

public class DayCountConvention_ACT_ACT_AFB
extends DayCountConvention_ACT

Implementation of ACT/ACT AFB. 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_ACT_AFB convention. The algorithm works as follows:

• If the interval from startDate to endDate spans more than a whole year, then the number of whole years is subtracted from the endDate year and added (as an integer) to the day count fraction. Here, subtraction of whole year(s) means:
  • If the end date is on a February 29th and the resulting day is not in a leap year, it will be set to February 28th of that year (i.e., we preserve "end of month").
  • If the end date is on a February 28th of a non-leap year and the resulting day is in a leap year, it will be on February 29th of that year (i.e., we preserve "end of month").
  • Otherwise the resulting day has the same day of month and the same month as the end year.
• For the remaining interval the actual number of days is divided by a denominator, where the denominator is 366.0 if February 29th is in between start and end and 365.0 otherwise.

Constructor Summary

Constructors

Constructor and Description
DayCountConvention_ACT_ACT_AFB() Create an ACT/ACT FBA daycount 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.
java.lang.String	toString()

Methods inherited from class net.finmath.time.daycount.DayCountConvention_ACT

daysBetween, getDaycount

Methods inherited from class java.lang.Object

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

Constructor Detail

DayCountConvention_ACT_ACT_AFB

public DayCountConvention_ACT_ACT_AFB()

Create an ACT/ACT FBA daycount 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.

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.

toString

public java.lang.String toString()

Overrides:

toString in class java.lang.Object