Component bbldc_basicactual360 [Package bbldc]

Provide stateless functions for the Actual/360 convention. More...

Namespaces
namespace	bbldc

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Detailed Description

Outline

• Purpose
• Classes
• Description
  • Usage
    • Example 1: Computing Day Count and Year Fraction

Purpose:

Provide stateless functions for the Actual/360 convention.

Classes:

bbldc::BasicActual360

Actual/360 convention stateless functions

Description:

This component provides a struct, bbldc::BasicActual360, that serves as a namespace for defining a suite of date-related functions used to compute the day count and the year fraction between two dates as per the Actual/360 day-count convention. In this day-count convention, we simply measure the number of days occurring in a time period, and to calculate years, divide that by 360. Note that this means the number of years between January 1, 2005 and January 1, 2006 is about 1.0139. No end-of-month rule adjustments are made. Given beginDate and endDate:

  yearsDiff ::= sign(endDate - beginDate) *
                                 (days between beginDate and endDate) / 360.0

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::BasicActual360 methods. First, create four bdlt::Date variables:

  const bdlt::Date dA(2004, 2, 1);
  const bdlt::Date dB(2004, 3, 1);
  const bdlt::Date dC(2004, 5, 1);
  const bdlt::Date dD(2005, 2, 1);

Then, compute the day count between some pairs of these dates:

  int daysDiff;
  daysDiff = bbldc::BasicActual360::daysDiff(dA, dB);
  assert( 29 == daysDiff);
  daysDiff = bbldc::BasicActual360::daysDiff(dA, dC);
  assert( 90 == daysDiff);
  daysDiff = bbldc::BasicActual360::daysDiff(dA, dD);
  assert(366 == daysDiff);
  daysDiff = bbldc::BasicActual360::daysDiff(dB, dC);
  assert( 61 == daysDiff);

Finally, compute the year fraction between some of the dates:

  double yearsDiff;
  yearsDiff = bbldc::BasicActual360::yearsDiff(dA, dC);
  assert(0.25 == yearsDiff);
  yearsDiff = bbldc::BasicActual360::yearsDiff(dA, dD);
  // Need fuzzy comparison since 'yearsDiff' is a 'double'.
  assert(yearsDiff < 1.0167 && yearsDiff > 1.0166);