30/360 day count convention More...

#include <thirty360.hpp>

Inheritance diagram for Thirty360:

Collaboration diagram for Thirty360:

Classes
class	EU_Impl

class	ISDA_Impl

class	ISMA_Impl

class	IT_Impl

class	NASD_Impl

class	Thirty360_Impl

class	US_Impl

Public Types
enum	Convention { USA , BondBasis , European , EurobondBasis , Italian , German , ISMA , ISDA , NASD }

Public Member Functions
	Thirty360 (Convention c, const Date &terminationDate=Date())

Public Member Functions inherited from DayCounter
	DayCounter ()=default

bool	empty () const
	Returns whether or not the day counter is initialized. More...

std::string	name () const
	Returns the name of the day counter. More...

Date::serial_type	dayCount (const Date &, const Date &) const
	Returns the number of days between two dates. More...

Time	yearFraction (const Date &, const Date &, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date()) const
	Returns the period between two dates as a fraction of year. More...

Static Private Member Functions
static ext::shared_ptr< DayCounter::Impl >	implementation (Convention c, const Date &terminationDate)

Additional Inherited Members
Protected Member Functions inherited from DayCounter
	DayCounter (ext::shared_ptr< Impl > impl)

Protected Attributes inherited from DayCounter
ext::shared_ptr< Impl >	impl_

Related Functions inherited from DayCounter
bool	operator== (const DayCounter &, const DayCounter &)

bool	operator!= (const DayCounter &, const DayCounter &)

std::ostream &	operator<< (std::ostream &, const DayCounter &)

Detailed Description

30/360 day count convention

The 30/360 day count can be calculated according to a number of conventions.

US convention: if the starting date is the 31st of a month or the last day of February, it becomes equal to the 30th of the same month. If the ending date is the 31st of a month and the starting date is the 30th or 31th of a month, the ending date becomes equal to the 30th. If the ending date is the last of February and the starting date is also the last of February, the ending date becomes equal to the 30th. Also known as "30/360" or "360/360".

Bond Basis convention: if the starting date is the 31st of a month, it becomes equal to the 30th of the same month. If the ending date is the 31st of a month and the starting date is the 30th or 31th of a month, the ending date also becomes equal to the 30th of the month. Also known as "US (ISMA)".

European convention: starting dates or ending dates that occur on the 31st of a month become equal to the 30th of the same month. Also known as "30E/360", or "Eurobond Basis".

Italian convention: starting dates or ending dates that occur on February and are greater than 27 become equal to 30 for computational sake.

ISDA convention: starting or ending dates on the 31st of the month become equal to 30; starting dates or ending dates that occur on the last day of February also become equal to 30, except for the termination date. Also known as "30E/360 ISDA", "30/360 ISDA", or "30/360 German".

NASD convention: if the starting date is the 31st of a month, it becomes equal to the 30th of the same month. If the ending date is the 31st of a month and the starting date is earlier than the 30th of a month, the ending date becomes equal to the 1st of the next month, otherwise the ending date becomes equal to the 30th of the same month.

Examples: BermudanSwaption.cpp, Bonds.cpp, CDS.cpp, ConvertibleBonds.cpp, Gaussian1dModels.cpp, MulticurveBootstrapping.cpp, and Repo.cpp.

Definition at line 76 of file thirty360.hpp.

Member Enumeration Documentation

◆ Convention

enum Convention

Enumerator
USA
BondBasis
European
EurobondBasis
Italian
German
ISMA
ISDA
NASD

Definition at line 78 of file thirty360.hpp.

Constructor & Destructor Documentation

◆ Thirty360()

Thirty360	(	Convention	c,
		const Date &	terminationDate = `Date()`
	)

explicit

Definition at line 134 of file thirty360.hpp.

Member Function Documentation

◆ implementation()

ext::shared_ptr< DayCounter::Impl > implementation	(	Thirty360::Convention	c,
		const Date &	terminationDate
	)

staticprivate

Definition at line 35 of file thirty360.cpp.

Classes

Public Types

Public Member Functions

Static Private Member Functions