bbldc_basicisma30360

Detailed Description

Outline

• Purpose
• Classes
• Description
  • ISMA 30360 Day Count Algorithm
  • Usage
    • Example 1: Computing Day Count and Year Fraction

Purpose

Provide stateless functions for the ISMA 30/360 convention.

Classes

• bbldc::BasicIsma30360: ISMA 30/360 convention stateless functions

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.

ISMA 30360 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.

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::BasicIsma30360 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::BasicIsma30360::daysDiff(d1, d2);
assert(90 == daysDiff);

Finally, compute the year fraction between the two dates:

const double yearsDiff = bbldc::BasicIsma30360::yearsDiff(d1, d2);
assert(0.25 == yearsDiff);