// bbldc_terminatedisda30360eom.h -*-C++-*-
#ifndef INCLUDED_BBLDC_TERMINATEDISDA30360EOM
#define INCLUDED_BBLDC_TERMINATEDISDA30360EOM
#include <bsls_ident.h>
BSLS_IDENT("$Id: $")
//@PURPOSE: Provide stateless functions for ISDA 30/360 eom convention.
//
//@CLASSES:
// bbldc::TerminatedIsda30360Eom: ISDA 30/360 eom stateless functions
//
//@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 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 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
//..
// 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
///-----
// 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::TerminatedIsda30360Eom' 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::TerminatedIsda30360Eom::daysDiff(d1, d2);
// assert(90 == daysDiff);
//..
// Finally, compute the year fraction between the two dates:
//..
// const double yearsDiff = bbldc::TerminatedIsda30360Eom::yearsDiff(d1, d2);
// assert(0.25 == yearsDiff);
//..
#include <bblscm_version.h>
#include <bdlt_date.h>
#include <bsls_platform.h>
namespace BloombergLP {
namespace bbldc {
// =============================
// struct TerminatedIsda30360Eom
// =============================
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.
// CLASS METHODS
static int daysDiff(const bdlt::Date& beginDate,
const bdlt::Date& endDate,
const bdlt::Date& terminationDate = bdlt::Date());
// 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 double yearsDiff(const bdlt::Date& beginDate,
const bdlt::Date& endDate,
const bdlt::Date& terminationDate
= bdlt::Date(9999, 12, 31));
// 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.
};
// ============================================================================
// 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
} // close enterprise 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 ----------------------------------