Package org.drip.analytics.daycount

Interface DCFCalculator

All Known Implementing Classes:

DC1_1, DC28_360, DC30_360, DC30_365, DC30_Act, DC30E_360, DC30E_360_ISDA, DC30EPLUS_360_ISDA, DCAct_360, DCAct_364, DCAct_365, DCAct_365L, DCAct_Act, DCAct_Act_ISDA, DCAct_Act_UST, DCNL_360, DCNL_365, DCNL_Act

public interface DCFCalculator

DCFCalculator is the stub for all the day count convention functionality. It exposes the base/alternate day count convention names, the year-fraction and the days accrued.

• Module = Product Core Module
• Library = Fixed Income Analytics
• Project = Date, Cash Flow, and Cash Flow Period Measure Generation Utilities
• Package = Day Count Year Fraction Utilities

Author:

Lakshmi Krishnamurthy

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

Method Details

baseCalculationType

java.lang.String baseCalculationType()

Retrieves the base calculation type corresponding to the DCF Calculator

Returns:

Name of the base calculation type

alternateNames

java.lang.String[] alternateNames()

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

Returns:

Array of alternate names

yearFraction

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

Calculates the accrual fraction in years between 2 given days

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

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

Calculates the number of days accrued between the two given days

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