/*
* (c) Copyright Christian P. Fries, Germany. All rights reserved. Contact: email@christianfries.com.
*
* Created on 07.09.2013
*/
package net.finmath.time.daycount;
import java.util.Calendar;
/**
* 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.
*
* @author Christian Fries
*/
public class DayCountConvention_30E_360_ISDA implements DayCountConventionInterface {
private final boolean isTreatEndDateAsTerminationDate;
/**
* Create a 30E/360 ISDA daycount convention.
*/
public DayCountConvention_30E_360_ISDA(boolean isTreatEndDateAsTerminationDate) {
this.isTreatEndDateAsTerminationDate = isTreatEndDateAsTerminationDate;
}
/**
* Create a 30E/360 ISDA daycount convention.
*/
public DayCountConvention_30E_360_ISDA() {
this(false);
}
/* (non-Javadoc)
* @see net.finmath.time.daycount.DayCountConventionInterface#getDaycount(java.util.Calendar, java.util.Calendar)
*/
@Override
public double getDaycount(Calendar startDate, Calendar endDate) {
if(startDate.after(endDate)) return -getDaycount(endDate,startDate);
double startDateDay = startDate.get(Calendar.DAY_OF_MONTH);
double startDateMonth = startDate.get(Calendar.MONTH);
double startDateYear = startDate.get(Calendar.YEAR);
double endDateDay = endDate.get(Calendar.DAY_OF_MONTH);
double endDateMonth = endDate.get(Calendar.MONTH);
double endDateYear = endDate.get(Calendar.YEAR);
// Check if we have last day of February
boolean isStartDateLastDayOfFebruary = (startDateMonth == 1 && startDateDay == startDate.getActualMaximum(Calendar.DAY_OF_MONTH));
boolean isEndDateLastDayOfFebruary = (endDateMonth == 1 && endDateDay == endDate.getActualMaximum(Calendar.DAY_OF_MONTH));
// Last day of February and 31st of a month are both treated as "30".
if(isStartDateLastDayOfFebruary || startDateDay == 31) startDateDay = 30;
if((isEndDateLastDayOfFebruary && !isTreatEndDateAsTerminationDate) || endDateDay == 31) endDateDay = 30;
return (endDateYear - startDateYear) * 360.0 + (endDateMonth - startDateMonth) * 30.0 + (endDateDay - Math.min(startDateDay, 30.0));
}
/* (non-Javadoc)
* @see net.finmath.time.daycount.DayCountConventionInterface#getDaycountFraction(java.util.GregorianCalendar, java.util.GregorianCalendar)
*/
@Override
public double getDaycountFraction(Calendar startDate, Calendar endDate) {
return getDaycount(startDate, endDate) / 360.0;
}
}
Ads help maintain this website.