net.finmath.time.daycount.DayCountConvention_30E_360_ISDA Maven / Gradle / Ivy
/*
* (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;
/**
* Implementation of 30E/360 ISDA.
*
* Calculates the day count as
*
* (endDateYear - startDateYear) * 360.0 + (endDateMonth - startDateMonth) * 30.0 + (Math.min(endDateDay,30) - Math.min(startDateDay, 30.0));
*
* where for endDateDay is the to 30, if endDate is not the termination date and the last day of February.
* The constructor offers a boolean to decide if endDate is treated as a termination date or not.
* A termination date is the endDate of the last period in a schedule.
*
* @author Christian Fries
* @version 1.0
*/
public class DayCountConvention_30E_360_ISDA implements DayCountConvention, Serializable {
private static final long serialVersionUID = -4076488918432119303L;
private final boolean isTreatEndDateAsTerminationDate;
/**
* Create a 30E/360 ISDA daycount convention.
*
* @param isTreatEndDateAsTerminationDate If true, the end date is treated as a termination date and that case the last day of february is not treated as 30.
*/
public DayCountConvention_30E_360_ISDA(final boolean isTreatEndDateAsTerminationDate) {
this.isTreatEndDateAsTerminationDate = isTreatEndDateAsTerminationDate;
}
/**
* Create a 30E/360 ISDA daycount convention using isTreatEndDateAsTerminationDate = false.
*/
public DayCountConvention_30E_360_ISDA() {
this(false);
}
/* (non-Javadoc)
* @see net.finmath.time.daycount.DayCountConvention#getDaycount(java.time.LocalDate, java.time.LocalDate)
*/
@Override
public double getDaycount(final LocalDate startDate, final LocalDate endDate) {
if(startDate.isAfter(endDate)) {
return -getDaycount(endDate,startDate);
}
int startDateDay = startDate.getDayOfMonth();
final int startDateMonth = startDate.getMonthValue();
final int startDateYear = startDate.getYear();
int endDateDay = endDate.getDayOfMonth();
final int endDateMonth = endDate.getMonthValue();
final int endDateYear = endDate.getYear();
// Check if we have last day of February
final boolean isStartDateLastDayOfFebruary = (startDateMonth == Month.FEBRUARY.getValue() && startDateDay == startDate.lengthOfMonth());
final boolean isEndDateLastDayOfFebruary = (endDateMonth == Month.FEBRUARY.getValue() && endDateDay == endDate.lengthOfMonth());
// Last day of February and 31st of a month are both treated as "30".
if(isStartDateLastDayOfFebruary || startDateDay == 31) {
startDateDay = 30;
}
if((isEndDateLastDayOfFebruary && !isTreatEndDateAsTerminationDate) || endDateDay == 31) {
endDateDay = 30;
}
return (endDateYear - startDateYear) * 360.0 + (endDateMonth - startDateMonth) * 30.0 + (endDateDay - Math.min(startDateDay, 30.0));
}
/* (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) {
return getDaycount(startDate, endDate) / 360.0;
}
}