Package org.drip.analytics.daycount

Day Count Year Fraction Utilities

Author:

Lakshmi Krishnamurthy

Interface Summary

Interface	Description
DCFCalculator	DCFCalculator is the stub for all the day count convention functionality.

Class Summary

Class	Description
ActActDCParams	ActActDCParams contains parameters to represent Act/Act day count.
Convention	Convention contains flags that indicate where the holidays are loaded from, as well as the holiday types and load rules.
DateAdjustParams	DateAdjustParams class contains the parameters needed for adjusting dates.
DateEOMAdjustment	DateEOMAdjustment holds the applicable adjustments for a given date pair.
DC1_1	DC1_1 implements the 1/1 day count convention.
DC28_360	DC28_360 implements the 28/360 day count convention.
DC30_360	DC30_360 implements the 30/360 day count convention.
DC30_365	DC30_365 implements the 30/365 Day Count Convention.
DC30_Act	DC30_Act implements the 30/Act day count convention.
DC30E_360	DC30E_360 implements the 30E/360 day count convention.
DC30E_360_ISDA	DC30E_360_ISDA implements the 30E/360 ISDA day count convention.
DC30EPLUS_360_ISDA	DC30EPLUS_360_ISDA implements the 30E+/360 ISDA day count convention.
DCAct_360	DCAct_360 implements the Act/360 day count convention.
DCAct_364	DCAct_364 implements the Act/364 day count convention.
DCAct_365	DCAct_365 implements the Act/365 day count convention.
DCAct_365L	DCAct_365L implements the Act/365L day count convention.
DCAct_Act	DCAct_Act implements the Act/Act day count convention.
DCAct_Act_ISDA	DCAct_Act_ISDA implements the ISDA Act/Act day count convention.
DCAct_Act_UST	DCAct_Act_UST implements the US Treasury Bond Act/Act Day Count Convention.
DCNL_360	DCNL_360 implements the NL/360 day count convention.
DCNL_365	DCNL_365 implements the NL/365 day count convention.
DCNL_Act	DCNL_Act implements the NL/Act day count convention.