java.lang.Object
net.finmath.time.daycount.DayCountConvention_ACT
net.finmath.time.daycount.DayCountConvention_ACT_ACT_ISDA
 All Implemented Interfaces:
Serializable
,DayCountConvention
Implementation of ACT/ACT ISDA.
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_ISDA convention, that is, the
day count fraction is n_{1}/365 + n_{2}/366, where
 n_{1} is the number of days falling into a nonleap year,
 n_{2} is the number of days falling into a leap year,
The class passed that standard benchmark test in the IDSA document see net.finmath.tests.time.daycount.DayCountConventionTest
The class can be constructed using isCountLastDayNotFirst = true, which will change its behavior compared to above. In this case the start date is excluded in the counting and the end date is included in the counting. This means that from 31.12.2014 to 01.01.2015 the day count fraction is 1/365 since 2015 is not a leap year.
 Version:
 1.0
 Author:
 Christian Fries
 See Also:
 Serialized Form

Constructor Summary
ConstructorDescriptionCreate an ACT/ACT ISDA day count convention.DayCountConvention_ACT_ACT_ISDA(boolean isCountFirstDayNotLast)
Create an ACT/ACT ISDA day count convention. 
Method Summary
Modifier and TypeMethodDescriptiondouble
getDaycountFraction(LocalDate startDate, LocalDate endDate)
Return the daycount fraction corresponding to the period from startDate to endDate given the specific daycount convention.toString()
Methods inherited from class net.finmath.time.daycount.DayCountConvention_ACT
daysBetween, getDaycount

Constructor Details

DayCountConvention_ACT_ACT_ISDA
public DayCountConvention_ACT_ACT_ISDA(boolean isCountFirstDayNotLast)Create an ACT/ACT ISDA day count convention. Parameters:
isCountFirstDayNotLast
 If this value is false (default), the days are counted including the first day and excluding the last day. If this field is true, the days are counted excluding the first day and including the last day.

DayCountConvention_ACT_ACT_ISDA
public DayCountConvention_ACT_ACT_ISDA()Create an ACT/ACT ISDA day count convention.


Method Details

getDaycountFraction
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.

toString
