org.jfin.date.daycount.defaultimpl

Class ISDAActualActual

java.lang.Object

org.jfin.date.daycount.DaycountCalculator

org.jfin.date.daycount.defaultimpl.ISDAActualActual

public class ISDAActualActual
extends DaycountCalculator

Based upon the implementation from QuantLib http://www.quantlib.org/ If startCalendar and endCalendar are equal dates, returns zero.

Constructor Summary

Constructors

Constructor and Description
ISDAActualActual()

Method Summary

Modifier and Type	Method and Description
double	calculateDaycountFraction(java.util.Calendar startCalendar, java.util.Calendar endCalendar) Calculates the ISDA Actual actual day count fraction between two dates.
double	calculateDaycountFraction(java.util.Calendar startCalendar, java.util.Calendar endCalendar, java.util.Calendar periodStartCalendar, java.util.Calendar periodEndCalendar) Calculates the ISDA Actual actual day count fraction between two dates.
int[]	getDenominators(java.util.List<Period> subPeriods) Calculates the denominators for a set of periods
int[]	getNumerators(java.util.List<Period> subPeriods) Calculates the numerators for a set of periods
java.util.List<Period>	getPeriods(java.util.Calendar startCalendar, java.util.Calendar endCalendar) Generate a list of the sub periods (up to and including year boundaries) that are required to calculate the ISDA Actual Actual day count fraction

Methods inherited from class org.jfin.date.daycount.DaycountCalculator

calculateDaycountFraction, daysBetween

Methods inherited from class java.lang.Object

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

Constructor Detail

ISDAActualActual

public ISDAActualActual()

Method Detail

calculateDaycountFraction

public double calculateDaycountFraction(java.util.Calendar startCalendar,
                                        java.util.Calendar endCalendar)
                                 throws DaycountException

Calculates the ISDA Actual actual day count fraction between two dates.

Specified by:

calculateDaycountFraction in class DaycountCalculator

Returns:

The day count fraction of a year

Throws:

DaycountException

calculateDaycountFraction

public double calculateDaycountFraction(java.util.Calendar startCalendar,
                                        java.util.Calendar endCalendar,
                                        java.util.Calendar periodStartCalendar,
                                        java.util.Calendar periodEndCalendar)
                                 throws DaycountException

Calculates the ISDA Actual actual day count fraction between two dates. ISDA Actual/Actual does not vary depending on the reference period, so this is exactly equivelent to calling calculateDaycountFraction(startCalendar, endCalendar)

Specified by:

calculateDaycountFraction in class DaycountCalculator

Returns:

The day count fraction of a year

Throws:

DaycountException

getPeriods

public java.util.List<Period> getPeriods(java.util.Calendar startCalendar,
                                         java.util.Calendar endCalendar)

Generate a list of the sub periods (up to and including year boundaries) that are required to calculate the ISDA Actual Actual day count fraction

Parameters:

startCalendar - The start calendar of the period

endCalendar - The end calendar of the period

Returns:

A list of sub periods between the start and end calendars

getNumerators

public int[] getNumerators(java.util.List<Period> subPeriods)

Calculates the numerators for a set of periods

Parameters:

subPeriods - A list of the sub periods

Returns:

An array of type int containing the numberators for the periods

getDenominators

public int[] getDenominators(java.util.List<Period> subPeriods)

Calculates the denominators for a set of periods

Parameters:

subPeriods - A list of the sub periods

Returns:

An array of type int containing the denominators of the sub periods