org.drip.analytics.daycount

Class DCAct_Act_ISDA

java.lang.Object

org.drip.analytics.daycount.DCAct_Act_ISDA

All Implemented Interfaces:

DCFCalculator

public class DCAct_Act_ISDA
extends java.lang.Object
implements DCFCalculator

This class implements the ISDA Act/Act day count convention.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
DCAct_Act_ISDA() Empty DCAct_Act_ISDA constructor

Method Summary

Modifier and Type	Method and Description
java.lang.String[]	alternateNames() Retrieves the full set of alternate names corresponding to the DCF Calculator
java.lang.String	baseCalculationType() Retrieves the base calculation type corresponding to the DCF Calculator
int	daysAccrued(int iStartDate, int iEndDate, boolean bApplyEOMAdj, ActActDCParams actactParams, java.lang.String strCalendar) Calculates the number of days accrued between the two given days
double	yearFraction(int iStartDate, int iEndDate, boolean bApplyEOMAdj, ActActDCParams actactParams, java.lang.String strCalendar) Calculates the accrual fraction in years between 2 given days

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

DCAct_Act_ISDA

public DCAct_Act_ISDA()

Empty DCAct_Act_ISDA constructor

Method Detail

baseCalculationType

public java.lang.String baseCalculationType()

Description copied from interface: DCFCalculator

Retrieves the base calculation type corresponding to the DCF Calculator

Specified by:

baseCalculationType in interface DCFCalculator

Returns:

Name of the base calculation type

alternateNames

public java.lang.String[] alternateNames()

Description copied from interface: DCFCalculator

Retrieves the full set of alternate names corresponding to the DCF Calculator

Specified by:

alternateNames in interface DCFCalculator

Returns:

Array of alternate names

yearFraction

public double yearFraction(int iStartDate,
                           int iEndDate,
                           boolean bApplyEOMAdj,
                           ActActDCParams actactParams,
                           java.lang.String strCalendar)
                    throws java.lang.Exception

Description copied from interface: DCFCalculator

Calculates the accrual fraction in years between 2 given days

Specified by:

yearFraction in interface DCFCalculator

Parameters:

iStartDate - Start Date

iEndDate - End Date

bApplyEOMAdj - Apply end-of-month adjustment (true)

actactParams - ActActParams

strCalendar - Holiday Calendar

Returns:

Accrual Fraction in years

Throws:

java.lang.Exception - Thrown if the accrual fraction cannot be calculated

daysAccrued

public int daysAccrued(int iStartDate,
                       int iEndDate,
                       boolean bApplyEOMAdj,
                       ActActDCParams actactParams,
                       java.lang.String strCalendar)
                throws java.lang.Exception

Description copied from interface: DCFCalculator

Calculates the number of days accrued between the two given days

Specified by:

daysAccrued in interface DCFCalculator

Parameters:

iStartDate - Start Date

iEndDate - End Date

bApplyEOMAdj - Apply end-of-month adjustment (true)

actactParams - ActActParams

strCalendar - Holiday Calendar

Returns:

Accrual Fraction in years

Throws:

java.lang.Exception - Thrown if the accrual fraction cannot be calculated