Package org.drip.analytics.daycount

Class DC30EPLUS_360_ISDA

java.lang.Object
org.drip.analytics.daycount.DC30EPLUS_360_ISDA
All Implemented Interfaces:
DCFCalculator
public class DC30EPLUS_360_ISDA
extends java.lang.Object
implements DCFCalculator
DC30EPLUS_360_ISDA implements the 30E+/360 ISDA day count convention.

Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    DC30EPLUS_360_ISDA()
    Empty DC30EPLUS_360_ISDA constructor

  • Method Summary

    Modifier and Type Method 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 Details

    • DC30EPLUS_360_ISDA

      public DC30EPLUS_360_ISDA()
      Empty DC30EPLUS_360_ISDA constructor

  • Method Details

    • 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