bbldc_terminatedisda30360eom.h

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/// @file bbldc_terminatedisda30360eom.h
///
/// The content of this file has been pre-processed for Doxygen.
///
 
 
// bbldc_terminatedisda30360eom.h                                     -*-C++-*-
#ifndef INCLUDED_BBLDC_TERMINATEDISDA30360EOM
#define INCLUDED_BBLDC_TERMINATEDISDA30360EOM
 
#include <bsls_ident.h>
BSLS_IDENT("$Id: $")
 
/// @defgroup bbldc_terminatedisda30360eom bbldc_terminatedisda30360eom
/// @brief  Provide stateless functions for ISDA 30/360 eom convention.
/// @addtogroup bbl
/// @{
/// @addtogroup bbldc
/// @{
/// @addtogroup bbldc_terminatedisda30360eom
/// @{
///
/// <h1> Outline </h1>
/// * <a href="#bbldc_terminatedisda30360eom-purpose"> Purpose</a>
/// * <a href="#bbldc_terminatedisda30360eom-classes"> Classes </a>
/// * <a href="#bbldc_terminatedisda30360eom-description"> Description </a>
///   * <a href="#bbldc_terminatedisda30360eom-isda-30360-eom-day-count-algorithm"> ISDA 30360 eom Day Count Algorithm </a>
///   * <a href="#bbldc_terminatedisda30360eom-usage"> Usage </a>
///     * <a href="#bbldc_terminatedisda30360eom-example-1-computing-day-count-and-year-fraction"> Example 1: Computing Day Count and Year Fraction </a>
///
/// # Purpose {#bbldc_terminatedisda30360eom-purpose}
/// Provide stateless functions for ISDA 30/360 eom convention.
///
/// # Classes {#bbldc_terminatedisda30360eom-classes}
///
/// -  bbldc::TerminatedIsda30360Eom: ISDA 30/360 eom stateless functions
///
/// # Description {#bbldc_terminatedisda30360eom-description}
/// This component provides a `struct`,
/// `bbldc::TerminatedIsda30360Eom`, 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 International Swaps and
/// Derivatives Association (ISDA) 30/360 day-count convention with end-of-month
/// (eom) adjustments.  In this day-count convention (also known as "30E/360
/// ISDA"), each year is assumed to have 12 months and 360 days, with each month
/// consisting of exactly 30 days.  Special end-of-month rule adjustments *are*
/// made to account for the last day of February.  Note that in this day-count
/// convention, the second date may or may not be adjusted depending on the
/// termination date (e.g., maturity date).
///
/// ## ISDA 30360 eom Day Count Algorithm {#bbldc_terminatedisda30360eom-isda-30360-eom-day-count-algorithm}
///
///
/// Given `beginDate` and `endDate`, let:
/// @code
/// 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 Dl is the last day of the month, unless Dl is the termination date
///     and is in February, change Dl to 30.
///
///   o If De is the last day of the month, change De to 30.
///
/// daysDiff ::= sign(endDate - beginDate) *
///                                   (Yl - Ye) * 360 + (Ml - Me) * 30 + Dl - De
/// @endcode
/// Reference: http://www.isda.org/c_and_a/docs/30-360-2006ISDADefs.xls
///            (tab labeled "30E-360 ISDA")
///
/// The year fraction is simply the day count divided by 360.
///
/// ## Usage {#bbldc_terminatedisda30360eom-usage}
///
///
/// This section illustrates intended use of this component.
///
/// ### Example 1: Computing Day Count and Year Fraction {#bbldc_terminatedisda30360eom-example-1-computing-day-count-and-year-fraction}
///
///
/// The following snippets of code illustrate how to use
/// `bbldc::TerminatedIsda30360Eom` methods.  First, create two `bdlt::Date`
/// variables, `d1` and `d2`:
/// @code
/// const bdlt::Date d1(2004,  9, 30);
/// const bdlt::Date d2(2004, 12, 31);
/// @endcode
/// Then, compute the day count between the two dates:
/// @code
/// const int daysDiff = bbldc::TerminatedIsda30360Eom::daysDiff(d1, d2);
/// assert(90 == daysDiff);
/// @endcode
/// Finally, compute the year fraction between the two dates:
/// @code
/// const double yearsDiff = bbldc::TerminatedIsda30360Eom::yearsDiff(d1, d2);
/// assert(0.25 == yearsDiff);
/// @endcode
/// @}
/** @} */
/** @} */
 
/** @addtogroup bbl
 * @{
 */
/** @addtogroup bbldc
 * @{
 */
/** @addtogroup bbldc_terminatedisda30360eom
 * @{
 */
 
#include <bblscm_version.h>
 
#include <bdlt_date.h>
 
#include <bsls_platform.h>
 
 
namespace bbldc {
 
                      // =============================
                      // struct TerminatedIsda30360Eom
                      // =============================
 
/// This `struct` provides a namespace for a suite of pure functions that
/// compute values based on dates according to the ISDA 30/360 end-of-month
/// day-count convention.
struct TerminatedIsda30360Eom {
 
    // CLASS METHODS
 
    /// Return the (signed) number of days between the specified `beginDate`
    /// and `endDate`, with the optionally specified `terminationDate`,
    /// according to the ISDA 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.
    /// Also note that, in accordance with the convention definition, there
    /// are no constraints upon the supplied dates.
    static int daysDiff(const bdlt::Date& beginDate,
                        const bdlt::Date& endDate,
                        const bdlt::Date& terminationDate = bdlt::Date());
 
    /// Return the (signed fractional) number of years between the specified
    /// `beginDate` and `endDate`, with the optionally specified
    /// `terminationDate`, according to the ISDA 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`.  Also note that, in accordance with the convention
    /// definition, there are no constraints upon the supplied dates.
    static double yearsDiff(const bdlt::Date& beginDate,
                            const bdlt::Date& endDate,
                            const bdlt::Date& terminationDate
                                                   = bdlt::Date(9999, 12, 31));
};
 
// ============================================================================
//                             INLINE DEFINITIONS
// ============================================================================
 
                      // -----------------------------
                      // struct TerminatedIsda30360Eom
                      // -----------------------------
 
// CLASS METHODS
inline
double TerminatedIsda30360Eom::yearsDiff(const bdlt::Date& beginDate,
                                         const bdlt::Date& endDate,
                                         const bdlt::Date& terminationDate)
{
#if defined(BSLS_PLATFORM_CMP_GNU) && (BSLS_PLATFORM_CMP_VERSION >= 50301)
    // Storing the result value in a 'volatile double' removes extra-precision
    // available in floating-point registers.
 
    const volatile double rv =
#else
    const double rv =
#endif
                      static_cast<double>(daysDiff(beginDate,
                                                   endDate,
                                                   terminationDate)) / 360.0;
 
    return rv;
}
 
}  // close package namespace
 
 
#endif
 
// ----------------------------------------------------------------------------
// Copyright 2017 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 ----------------------------------
 
/** @} */
/** @} */
/** @} */