Component bbldc_basicdaycountutil [Package bbldc]

Support for day-count calculations of enum-specified conventions. More...

Namespaces
namespace	bbldc

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Detailed Description

Outline

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

Purpose:

Support for day-count calculations of enum-specified conventions.

Classes:

bbldc::BasicDayCountUtil

enum-specified day-count calculation procedures

See also:

Component bbldc_daycountconvention

Description:

This component provides a struct, bbldc::BasicDayCountUtil, that defines a suite of date-related functions used to compute the day count and the year fraction between two dates as prescribed by an enumerated day-count convention. Specifically, the daysDiff and yearsDiff methods defined in bbldc::BasicDayCountUtil take a trailing DayCountConvention::Enum argument indicating which particular day-count convention to apply.

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::BasicDayCountUtil methods. First, create two bdlt::Date variables, d1 and d2:

  const bdlt::Date d1(2003, 10, 19);
  const bdlt::Date d2(2003, 12, 31);

Now, compute the day count between d1 and d2 according to the ISDA Actual/Actual convention:

  const int daysDiff = bbldc::BasicDayCountUtil::daysDiff(
                            d1,
                            d2,
                            bbldc::DayCountConvention::e_ISDA_ACTUAL_ACTUAL);
  assert(73 == daysDiff);

Finally, compute the year fraction between the two dates according to the ISDA Actual/Actual convention:

  const double yearsDiff = bbldc::BasicDayCountUtil::yearsDiff(
                            d1,
                            d2,
                            bbldc::DayCountConvention::e_ISDA_ACTUAL_ACTUAL);
  // Need fuzzy comparison since 'yearsDiff' is a 'double'.
  assert(0.1999 < yearsDiff && 0.2001 > yearsDiff);