Provide stateless functions for the ISMA 30/360 convention.
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Detailed Description
- Outline
-
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- Purpose:
- Provide stateless functions for the ISMA 30/360 convention.
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- Classes:
-
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- Description:
- This component provides a
struct
, bbldc::BasicIsma30360
, 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 per the ISMA 30/360 day-count convention. In this day-count convention (also known as "European 30/360"), each year is assumed to have 12 months and 360 days, with each month consisting of exactly 30 days. End-of-month rule adjustments are not made to account for the last day of February.
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- ISMA 30/360 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 31, change De to 30.
o If Dl is 31, change Dl to 30.
daysDiff ::= sign(endDate - beginDate) *
(Yl - Ye) * 360 + (Ml - Me) * 30 + Dl - De
Reference: Formulae For Yield And Other Calculations (1992) ISBN: 0-9515474-0-2
- Note that in this day-count convention, dates (
De
and Dl
) are adjusted independently of each other.
- The year fraction is simply the day count divided by 360.
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- Usage:
- This section illustrates intended use of this component.
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- Example 1: Computing Day Count and Year Fraction:
- The following snippets of code illustrate how to use
bbldc::BasicIsma30360
methods. First, create two bdlt::Date
variables, d1
and d2
: Then, compute the day count between the two dates: Finally, compute the year fraction between the two dates: