Class DayCountConvention_ACT_360

All Implemented Interfaces:
Serializable, DayCountConvention

public class DayCountConvention_ACT_360 extends DayCountConvention_ACT implements DayCountConvention, Serializable
Implementation of ACT/360. Calculates the day count by calculating the actual number of days between startDate and endDate. A fractional day is rounded to the approximately nearest day. The day count fraction is calculated using ACT/360 convention, that is, the day count divided by 360. This day count convention is sometime called Money Market basis.
  • The method getDaycountFraction corresponds to the implementation of the "ACT/360 method" of Excel function YEARFRAC, i.e., YEARFRAC(startDate,endDate,2).
Christian Fries
See Also:
  • Constructor Details

    • DayCountConvention_ACT_360

      public DayCountConvention_ACT_360()
      Create an ACT/360 day count convention.
  • Method Details

    • getDaycountFraction

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