DC30_360.java
package org.drip.analytics.daycount;
/*
* -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
*/
/*!
* Copyright (C) 2020 Lakshmi Krishnamurthy
* Copyright (C) 2019 Lakshmi Krishnamurthy
* Copyright (C) 2018 Lakshmi Krishnamurthy
* Copyright (C) 2017 Lakshmi Krishnamurthy
* Copyright (C) 2016 Lakshmi Krishnamurthy
* Copyright (C) 2015 Lakshmi Krishnamurthy
* Copyright (C) 2014 Lakshmi Krishnamurthy
* Copyright (C) 2013 Lakshmi Krishnamurthy
* Copyright (C) 2012 Lakshmi Krishnamurthy
*
* This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
* asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
* analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
* equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
* numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
* and computational support.
*
* https://lakshmidrip.github.io/DROP/
*
* DROP is composed of three modules:
*
* - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
* - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
* - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
*
* DROP Product Core implements libraries for the following:
* - Fixed Income Analytics
* - Loan Analytics
* - Transaction Cost Analytics
*
* DROP Portfolio Core implements libraries for the following:
* - Asset Allocation Analytics
* - Asset Liability Management Analytics
* - Capital Estimation Analytics
* - Exposure Analytics
* - Margin Analytics
* - XVA Analytics
*
* DROP Computational Core implements libraries for the following:
* - Algorithm Support
* - Computation Support
* - Function Analysis
* - Model Validation
* - Numerical Analysis
* - Numerical Optimizer
* - Spline Builder
* - Statistical Learning
*
* Documentation for DROP is Spread Over:
*
* - Main => https://lakshmidrip.github.io/DROP/
* - Wiki => https://github.com/lakshmiDRIP/DROP/wiki
* - GitHub => https://github.com/lakshmiDRIP/DROP
* - Repo Layout Taxonomy => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
* - Javadoc => https://lakshmidrip.github.io/DROP/Javadoc/index.html
* - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
* - Release Versions => https://lakshmidrip.github.io/DROP/version.html
* - Community Credits => https://lakshmidrip.github.io/DROP/credits.html
* - Issues Catalog => https://github.com/lakshmiDRIP/DROP/issues
* - JUnit => https://lakshmidrip.github.io/DROP/junit/index.html
* - Jacoco => https://lakshmidrip.github.io/DROP/jacoco/index.html
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
*
* You may obtain a copy of the License at
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
*
* See the License for the specific language governing permissions and
* limitations under the License.
*/
/**
* <i>DC30_360</i> implements the 30/360 day count convention.
*
* <br><br>
* <ul>
* <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
* <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
* <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/analytics/README.md">Date, Cash Flow, and Cash Flow Period Measure Generation Utilities</a></li>
* <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/analytics/daycount/README.md">Day Count Year Fraction Utilities</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class DC30_360 implements org.drip.analytics.daycount.DCFCalculator {
/**
* Empty DC30_360 constructor
*/
public DC30_360()
{
}
@Override public java.lang.String baseCalculationType()
{
return "DC30_360";
}
@Override public java.lang.String[] alternateNames()
{
return new java.lang.String[] {"30/360", "30U/360", "Bond basis", "30/360 US", "US MUNI: 30/360",
"MUNI30/360", "ISDA30/360", "DC30_360"};
}
@Override public double yearFraction (
final int iStartDate,
final int iEndDate,
final boolean bApplyEOMAdj,
final ActActDCParams actactParams,
final java.lang.String strCalendar)
throws java.lang.Exception
{
DateEOMAdjustment dm = DateEOMAdjustment.MakeDEOMA30_360 (iStartDate, iEndDate, bApplyEOMAdj);
if (null == dm)
throw new java.lang.Exception ("DC30_360::yearFraction => Cannot create DateEOMAdjustment!");
return (360.* (org.drip.analytics.date.DateUtil.Year (iEndDate) -
org.drip.analytics.date.DateUtil.Year (iStartDate)) + 30. *
(org.drip.analytics.date.DateUtil.Month (iEndDate) - org.drip.analytics.date.DateUtil.Month
(iStartDate)) + (org.drip.analytics.date.DateUtil.Date (iEndDate) -
org.drip.analytics.date.DateUtil.Date (iStartDate) + dm.posterior() - dm.anterior()))
/ 360.;
}
@Override public int daysAccrued (
final int iStartDate,
final int iEndDate,
final boolean bApplyEOMAdj,
final ActActDCParams actactParams,
final java.lang.String strCalendar)
throws java.lang.Exception
{
DateEOMAdjustment dm = DateEOMAdjustment.MakeDEOMA30_360 (iStartDate, iEndDate, bApplyEOMAdj);
if (null == dm)
throw new java.lang.Exception ("DC30_360::daysAccrued => Cannot create DateEOMAdjustment!");
return 360 * (org.drip.analytics.date.DateUtil.Year (iEndDate) -
org.drip.analytics.date.DateUtil.Year (iStartDate)) + 30 *
(org.drip.analytics.date.DateUtil.Month (iEndDate) - org.drip.analytics.date.DateUtil.Month
(iStartDate)) + (org.drip.analytics.date.DateUtil.Date (iEndDate) -
org.drip.analytics.date.DateUtil.Date (iStartDate) + dm.posterior() - dm.anterior());
}
}