net.finmath.time.daycount.DayCountConvention_NL_365 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;
import java.time.Month;
import java.time.chrono.IsoChronology;
/**
* Implementation of NL/365.
*
* Calculates the day count by calculating the actual number of days between startDate (excluding) and endDate (including), excluding a leap day (February 29th) if present.
*
* A fractional day is rounded to the approximately nearest day.
*
* The day count fraction is calculated using NL/365 convention, that is, the
* day count is divided by 365.
*
* @author Christian Fries
* @version 1.0
*/
public class DayCountConvention_NL_365 implements DayCountConvention, Serializable {
private static final long serialVersionUID = -8175671041380283261L;
/**
* Create an NL/365 day count convention.
*/
public DayCountConvention_NL_365() {
}
@Override
public double getDaycount(final LocalDate startDate, final LocalDate endDate) {
if(startDate.isAfter(endDate)) {
return -getDaycount(endDate,startDate);
}
// Get actual number of days
double daycount = DayCountConvention_ACT.daysBetween(startDate, endDate);
/*
* Remove leap days, if any.
*/
for(int year = startDate.getYear() ; year <= endDate.getYear(); year++) {
if (IsoChronology.INSTANCE.isLeapYear(year)) {
final LocalDate leapDay = LocalDate.of(year,Month.FEBRUARY, 29);
if(startDate.isBefore(leapDay) && !endDate.isBefore(leapDay)) {
daycount -= 1.0;
}
}
}
if(daycount < 0.0) {
throw new AssertionError("Daycount is negative for startDate not after endDate.");
}
return daycount;
}
@Override
public double getDaycountFraction(final LocalDate startDate, final LocalDate endDate) {
if(startDate.isAfter(endDate)) {
return -getDaycountFraction(endDate,startDate);
}
final double daycountFraction = getDaycount(startDate, endDate) / 365.0;
return daycountFraction;
}
}