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.
/*
* (c) Copyright Christian P. Fries, Germany. Contact: [email protected].
*
* Created on 07.09.2013
*/
package net.finmath.time.daycount;
import java.io.Serializable;
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
* @version 1.0
*/
public class DayCountConvention_ACT_360 extends DayCountConvention_ACT implements DayCountConvention, Serializable {
private static final long serialVersionUID = -2141383519298897543L;
/**
* Create an ACT/360 day count convention.
*/
public DayCountConvention_ACT_360() {
}
/* (non-Javadoc)
* @see net.finmath.time.daycount.DayCountConvention#getDaycountFraction(java.time.LocalDate, java.time.LocalDate)
*/
@Override
public double getDaycountFraction(final LocalDate startDate, final LocalDate endDate) {
if(startDate.isAfter(endDate)) {
return -getDaycountFraction(endDate,startDate);
}
final double daycountFraction = getDaycount(startDate, endDate) / 360.0;
return daycountFraction;
}
}