thirty360.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
 Copyright (C) 2018 Alexey Indiryakov
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
#ifndef quantlib_thirty360_day_counter_h
#define quantlib_thirty360_day_counter_h
 
#include <ql/time/daycounter.hpp>
 
namespace QuantLib {
 
 
    class Thirty360 : public DayCounter {
      public:
        enum Convention {
            USA,
            BondBasis,
            European,
            EurobondBasis,
            Italian,
            German,
            ISMA,
            ISDA,
            NASD
        };
      private:
        class Thirty360_Impl : public DayCounter::Impl {
          public:
            Time yearFraction(const Date& d1, const Date& d2,
                              const Date&, const Date&) const override {
                return dayCount(d1,d2)/360.0;
            }
        };
        class US_Impl final : public Thirty360_Impl {
          public:
            std::string name() const override { return std::string("30/360 (US)"); }
            Date::serial_type dayCount(const Date& d1, const Date& d2) const override;
        };
        class ISMA_Impl final : public Thirty360_Impl {
          public:
            std::string name() const override { return std::string("30/360 (Bond Basis)"); }
            Date::serial_type dayCount(const Date& d1, const Date& d2) const override;
        };
        class EU_Impl final : public Thirty360_Impl {
          public:
            std::string name() const override { return std::string("30E/360 (Eurobond Basis)"); }
            Date::serial_type dayCount(const Date& d1, const Date& d2) const override;
        };
        class IT_Impl final : public Thirty360_Impl {
          public:
            std::string name() const override { return std::string("30/360 (Italian)"); }
            Date::serial_type dayCount(const Date& d1, const Date& d2) const override;
        };
        class ISDA_Impl final : public Thirty360_Impl {
          public:
            explicit ISDA_Impl(const Date& terminationDate)
            : terminationDate_(terminationDate) {}
            std::string name() const override { return std::string("30E/360 (ISDA)"); }
            Date::serial_type dayCount(const Date& d1, const Date& d2) const override;
          private:
            Date terminationDate_;
        };
        class NASD_Impl final : public Thirty360_Impl {
          public:
            std::string name() const override { return std::string("30/360 (NASD)"); }
            Date::serial_type dayCount(const Date& d1, const Date& d2) const override;
        };
        static ext::shared_ptr<DayCounter::Impl>
        implementation(Convention c, const Date& terminationDate);
      public:
        explicit Thirty360(Convention c, const Date& terminationDate = Date())
        : DayCounter(implementation(c, terminationDate)) {}
    };
 
}
 
#endif