Provides various day count conventions, e.g., as used in the definition of coupon payments of interest rate products.
- Christian Fries
Interface Summary Interface Description DayCountConventionInterface for various day count conventions.
Class Summary Class Description DayCountConvention_30E_360Implementation of 30E/360 and 30E+/360. DayCountConvention_30E_360_ISDAImplementation of 30E/360 ISDA. DayCountConvention_30U_360Calculates the day count using the US 30/360 adjusted method. DayCountConvention_ACTBase class which calculates the day count by calculating the actual number of days between startDate and endDate. DayCountConvention_ACT_360Implementation of ACT/360. DayCountConvention_ACT_365Implementation of ACT/365. DayCountConvention_ACT_365AImplementation of ACT/365A. DayCountConvention_ACT_365LImplementation of ACT/365L. DayCountConvention_ACT_ACT_AFBImplementation of ACT/ACT AFB. DayCountConvention_ACT_ACT_ICMAImplementation of ACT/ACT ICMA. DayCountConvention_ACT_ACT_ISDAImplementation of ACT/ACT ISDA. DayCountConvention_ACT_ACT_YEARFRACImplementation of ACT/ACT as in Excel (2013). DayCountConvention_NL_365Implementation of NL/365. DayCountConvention_NONEThis is a special day count convention, where the day count between two dates is always 0.0 and the year fraction for an interval is always 1.0. DayCountConvention_UNKNOWNImplements a placeholder object for an unknown day count convention, throwing an exception, whenever a day count or day count fraction is requested. DayCountConventionFactoryFactory methods for day count conventions.