// bbldc_basicpsa30360eom.h -*-C++-*- #ifndef INCLUDED_BBLDC_BASICPSA30360EOM #define INCLUDED_BBLDC_BASICPSA30360EOM #include <bsls_ident.h> BSLS_IDENT("$Id: $") //@PURPOSE: Provide stateless functions for PSA 30/360 end-of-month convention. // //@CLASSES: // bbldc::BasicPsa30360Eom: PSA 30/360 eom convention stateless functions // //@DESCRIPTION: This component provides a 'struct', 'bbldc::BasicPsa30360Eom', // 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 // prescribed by the Public Securities Association (PSA) 30/360 day-count // convention with end-of-month (eom) adjustments. // ///PSA 30/360-eom 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 the last day of February (29 in a leap year, else 28), // change De to 30. // // o If De is 31, change De to 30. // // o If at this point De is 30 and Dl is 31, change Dl to 30. // // daysDiff ::= sign(endDate - beginDate) * // max((Yl - Ye) * 360 + (Ml - Me) * 30 + Dl - De, 0) //.. // The 'max' function is required because 'Dl' has no February adjustment and // simple differences like (19990228 - 19990228) produce -2 without 'max'. // // Reference: PSA Standard Formulas, page SF-17 // // 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::BasicPsa30360Eom' 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::BasicPsa30360Eom::daysDiff(d1, d2); // assert(90 == daysDiff); //.. // Finally, compute the year fraction between the two dates: //.. // const double yearsDiff = bbldc::BasicPsa30360Eom::yearsDiff(d1, d2); // assert(0.25 == yearsDiff); //.. #include <bblscm_version.h> namespace BloombergLP { namespace bdlt { class Date; } // close namespace bdlt namespace bbldc { // ======================= // struct BasicPsa30360Eom // ======================= struct BasicPsa30360Eom { // This 'struct' provides a namespace for a suite of pure functions that // compute values based on dates according to the PSA 30/360 end-of-month // 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 PSA 30/360 end-of-month 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 PSA 30/360 end-of-month // 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 ----------------------------------