net.finmath.time.daycount.DayCountConvention_ACT_360 Maven / Gradle / Ivy

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finmath lib is a Mathematical Finance Library in Java. It provides algorithms and methodologies related to mathematical finance.

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/*
 * (c) Copyright Christian P. Fries, Germany. Contact: [email protected].
 *
 * Created on 07.09.2013
 */

package net.finmath.time.daycount;

import java.time.LocalDate;

/**
 * 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 {@link #getDaycountFraction(LocalDate, LocalDate) getDaycountFraction} corresponds to the implementation of the "ACT/360 method" of Excel function YEARFRAC, i.e., YEARFRAC(startDate,endDate,2).
 * 	
 * 
 * 
 * @author Christian Fries
 */
public class DayCountConvention_ACT_360 extends DayCountConvention_ACT implements DayCountConventionInterface {

	/**
	 * Create an ACT/360 day count convention.
	 */
	public DayCountConvention_ACT_360() {
	}
	

	/* (non-Javadoc)
	 * @see net.finmath.time.daycount.DayCountConventionInterface#getDaycountFraction(java.time.LocalDate, java.time.LocalDate)
	 */
	@Override
	public double getDaycountFraction(LocalDate startDate, LocalDate endDate) {
		if(startDate.isAfter(endDate)) return -getDaycountFraction(endDate,startDate);

		double daycountFraction = getDaycount(startDate, endDate) / 360.0;

		return daycountFraction;
	}
}