Module net.finmath.lib

Package net.finmath.time.daycount

Class DayCountConventionFactory

java.lang.Object

net.finmath.time.daycount.DayCountConventionFactory

All Implemented Interfaces:

Serializable

public class DayCountConventionFactory
extends Object
implements Serializable

Factory methods for day count conventions.

Version:

1.0

Author:

Christian Fries

See Also:

• Serialized Form

Method Summary

Modifier and Type	Method	Description
static double	getDaycount(LocalDate startDate, LocalDate endDate, String convention)	Return the number of days between startDate and endDate given the specific daycount convention.
static DayCountConvention	getDayCountConvention(String convention)	Create a day count convention base on a convention string.
static double	getDaycountFraction(LocalDate startDate, LocalDate endDate, String convention)	Return the daycount fraction corresponding to the period from startDate to endDate given the specific daycount convention.

Methods inherited from class java.lang.Object

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

Method Details

getDayCountConvention

public static DayCountConvention getDayCountConvention(String convention)

Create a day count convention base on a convention string. The follwoing convention strings are supported

• act/act isda
• 30/360
• 30E/360
• 30U/360
• act/360
• act/365
• act/act yearfrac

Parameters:

convention - A convention string.

Returns:

A day count convention object.

getDaycount

public static double getDaycount(LocalDate startDate,
 LocalDate endDate,
 String convention)

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

Parameters:

startDate - The start date given as a LocalDate.

endDate - The end date given as a LocalDate.

convention - A convention string.

Returns:

The number of days within the given period.

getDaycountFraction

public static double getDaycountFraction(LocalDate startDate,
 LocalDate endDate,
 String convention)

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 LocalDate.

endDate - The end date given as a LocalDate.

convention - A convention string.

Returns:

The daycount fraction corresponding to the given period.