// bbldc_basicisma30360.h -*-C++-*- #ifndef INCLUDED_BBLDC_BASICISMA30360 #define INCLUDED_BBLDC_BASICISMA30360 #include <bsls_ident.h> BSLS_IDENT("$Id: $") //@PURPOSE: Provide stateless functions for the ISMA 30/360 convention. // //@CLASSES: // bbldc::BasicIsma30360: ISMA 30/360 convention stateless functions // //@DESCRIPTION: This component provides a 'struct', 'bbldc::BasicIsma30360', // that serves as a namespace for defining a suite of date-related functions // used to compute the day count and year fraction between two dates as per the // ISMA 30/360 day-count convention. In this day-count convention (also known // as "European 30/360"), each year is assumed to have 12 months and 360 days, // with each month consisting of exactly 30 days. End-of-month rule // adjustments are *not* made to account for the last day of February. // ///ISMA 30/360 Day Count Algorithm ///------------------------------- // Given 'beginDate' and 'endDate', let: //.. // Ye = year of earlier date Yl = year of later date // Me = month of earlier date Ml = month of later date // De = day of earlier date Dl = day of later date // // o If De is 31, change De to 30. // // o If Dl is 31, change Dl to 30. // // daysDiff ::= sign(endDate - beginDate) * // (Yl - Ye) * 360 + (Ml - Me) * 30 + Dl - De //.. // Reference: Formulae For Yield And Other Calculations (1992) // ISBN: 0-9515474-0-2 // // Note that in this day-count convention, dates ('De' and 'Dl') are adjusted // independently of each other. // // The year fraction is simply the day count divided by 360. // ///Usage ///----- // This section illustrates intended use of this component. // ///Example 1: Computing Day Count and Year Fraction /// - - - - - - - - - - - - - - - - - - - - - - - - // The following snippets of code illustrate how to use 'bbldc::BasicIsma30360' // methods. First, create two 'bdlt::Date' variables, 'd1' and 'd2': //.. // const bdlt::Date d1(2004, 9, 30); // const bdlt::Date d2(2004, 12, 31); //.. // Then, compute the day count between the two dates: //.. // const int daysDiff = bbldc::BasicIsma30360::daysDiff(d1, d2); // assert(90 == daysDiff); //.. // Finally, compute the year fraction between the two dates: //.. // const double yearsDiff = bbldc::BasicIsma30360::yearsDiff(d1, d2); // assert(0.25 == yearsDiff); //.. #include <bblscm_version.h> namespace BloombergLP { namespace bdlt { class Date; } // close namespace bdlt namespace bbldc { // ===================== // struct BasicIsma30360 // ===================== struct BasicIsma30360 { // This 'struct' provides a namespace for a suite of pure functions that // compute values based on dates according to the ISMA 30/360 day-count // convention. // CLASS METHODS static int daysDiff(const bdlt::Date& beginDate, const bdlt::Date& endDate); // Return the (signed) number of days between the specified 'beginDate' // and 'endDate' according to the ISMA 30/360 day-count convention. If // 'beginDate <= endDate', then the result is non-negative. Note that // reversing the order of 'beginDate' and 'endDate' negates the result. static double yearsDiff(const bdlt::Date& beginDate, const bdlt::Date& endDate); // Return the (signed fractional) number of years between the specified // 'beginDate' and 'endDate' according to the ISMA 30/360 day-count // convention. If 'beginDate <= endDate', then the result is // non-negative. Note that reversing the order of 'beginDate' and // 'endDate' negates the result; specifically, // '|yearsDiff(b, e) + yearsDiff(e, b)| <= 1.0e-15' for all dates 'b' // and 'e'. }; } // close package namespace } // close enterprise namespace #endif // ---------------------------------------------------------------------------- // Copyright 2015 Bloomberg Finance L.P. // // 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. // ----------------------------- END-OF-FILE ----------------------------------