 java.lang.Object

 net.finmath.time.daycount.DayCountConvention_ACT

 net.finmath.time.daycount.DayCountConvention_ACT_ACT_AFB

 All Implemented Interfaces:
Serializable
,DayCountConvention
public class DayCountConvention_ACT_ACT_AFB extends DayCountConvention_ACT implements Serializable
Implementation of ACT/ACT AFB. 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_ACT_AFB convention. The algorithm works as follows:
If the interval from startDate to endDate spans more than a whole year, then
the number of whole years is subtracted from the endDate year and added (as an integer) to the day count fraction.
Here, subtraction of whole year(s) means:
 If the end date is on a February 29th and the resulting day is not in a leap year, it will be set to February 28th of that year (i.e., we preserve "end of month").
 If the end date is on a February 28th of a nonleap year and the resulting day is in a leap year, it will be on February 29th of that year (i.e., we preserve "end of month").
 Otherwise the resulting day has the same day of month and the same month as the end year.
 For the remaining interval the actual number of days is divided by a denominator, where the denominator is 366.0 if February 29th is in between start and end and 365.0 otherwise.
 Version:
 1.0
 Author:
 Christian Fries
 See Also:
 Serialized Form


Constructor Summary
Constructors Constructor Description DayCountConvention_ACT_ACT_AFB()
Create an ACT/ACT FBA daycount convention.

Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description double
getDaycountFraction(LocalDate startDate, LocalDate endDate)
Return the daycount fraction corresponding to the period from startDate to endDate given the specific daycount convention.String
toString()

Methods inherited from class net.finmath.time.daycount.DayCountConvention_ACT
daysBetween, getDaycount




Method Detail

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 interfaceDayCountConvention
 Parameters:
startDate
 The start date given as aLocalDate
.endDate
 The end date given as aLocalDate
. Returns:
 The daycount fraction corresponding to the given period.

