Class DayCountConvention_30E_360

java.lang.Object
net.finmath.time.daycount.DayCountConvention_30E_360
All Implemented Interfaces:
Serializable, DayCountConvention

public class DayCountConvention_30E_360 extends Object implements DayCountConvention, Serializable
Implementation of 30E/360 and 30E+/360. Calculates the day count of 30E/360 as (endDateYear - startDateYear) * 360.0 + (endDateMonth - startDateMonth) * 30.0 + (Math.min(endDateDay, 30.0) - Math.min(startDateDay, 30.0)) This day count convention is sometime called Eurobond basis or 30/360 ISMA. For 30E/360 we have that:
  • The method getDaycount corresponds to the implementation of the "European method" of Excel function DAYS360, i.e., DAYS360(startDate,endDate,TRUE).
  • The method getDaycountFraction corresponds to the implementation of the "30E/360 method" of Excel function YEARFRAC, i.e., YEARFRAC(startDate,endDate,4).
The day count of 30E+/360 is that of 30E/360 whenever endDateDay is ≤ 30, otherwise it is that of 30E/360 plus one.
Version:
1.0
Author:
Christian Fries
See Also:
Serialized Form
  • Constructor Details

    • DayCountConvention_30E_360

      public DayCountConvention_30E_360(boolean is30Eplus360)
      Create a 30E/360 or 30E+/360 day count convention.
      Parameters:
      is30Eplus360 - If true, then 30E+/360 is constructed, otherwise 30E/360 is constructed.
    • DayCountConvention_30E_360

      public DayCountConvention_30E_360()
      Create a 30E/360 daycount convention.
  • Method Details

    • getDaycount

      public double getDaycount(LocalDate startDate, LocalDate endDate)
      Description copied from interface: DayCountConvention
      Return the number of days between startDate and endDate given the specific daycount convention.
      Specified by:
      getDaycount in interface DayCountConvention
      Parameters:
      startDate - The start date given as a LocalDate.
      endDate - The end date given as a LocalDate.
      Returns:
      The number of days within the given period.
    • getDaycountFraction

      public double getDaycountFraction(LocalDate startDate, LocalDate endDate)
      Description copied from interface: DayCountConvention
      Return the daycount fraction corresponding to the period from startDate to endDate given the specific daycount convention.
      Specified by:
      getDaycountFraction in interface DayCountConvention
      Parameters:
      startDate - The start date given as a LocalDate.
      endDate - The end date given as a LocalDate.
      Returns:
      The daycount fraction corresponding to the given period.