30/360 day count convention More...
#include <ql/time/daycounters/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()
|
explicit |
Definition at line 134 of file thirty360.hpp.
Member Function Documentation
◆ implementation()
|
staticprivate |
Definition at line 35 of file thirty360.cpp.