Component bbldc_basicpsa30360eom [Package bbldc]

Provide stateless functions for PSA 30/360 end-of-month convention. More...

Namespaces
namespace	bdlt
namespace	bbldc

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Detailed Description

Outline

• Purpose
• Classes
• Description
  • PSA 30/360-eom Day Count Algorithm
  • Usage
    • Example 1: Computing Day Count and Year Fraction

Purpose:

Provide stateless functions for PSA 30/360 end-of-month convention.

Classes:

bbldc::BasicPsa30360Eom

PSA 30/360 eom convention stateless functions

Description:

This component provides a struct, bbldc::BasicPsa30360Eom, 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 Public Securities Association (PSA) 30/360 day-count convention with end-of-month (eom) adjustments.

PSA 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 De is the last day of February (29 in a leap year, else 28),
     change De to 30.

   o If De is 31, change De to 30.

   o If at this point De is 30 and Dl is 31, change Dl to 30.

 daysDiff ::= sign(endDate - beginDate) *
                           max((Yl - Ye) * 360 + (Ml - Me) * 30 + Dl - De, 0)

The max function is required because Dl has no February adjustment and simple differences like (19990228 - 19990228) produce -2 without max.

Reference: PSA Standard Formulas, page SF-17

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::BasicPsa30360Eom 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::BasicPsa30360Eom::daysDiff(d1, d2);
  assert(90 == daysDiff);

Finally, compute the year fraction between the two dates:

  const double yearsDiff = bbldc::BasicPsa30360Eom::yearsDiff(d1, d2);
  assert(0.25 == yearsDiff);