Component bbldc_basicsia30360eom [Package bbldc]

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

Namespaces
namespace	bdlt
namespace	bbldc

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Detailed Description

Outline

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

Purpose:

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

Classes:

bbldc::BasicSia30360Eom

SIA 30/360 eom convention stateless functions

Description:

This component provides a struct, bbldc::BasicSia30360Eom, 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 Standard Industry Association (SIA) 30/360 day-count convention with end-of-month (eom) adjustments. In this day-count convention (also known as "US 30/360" or just "30/360"), each year is assumed to have 12 months and 360 days, with each month consisting of exactly 30 days. Special end-of-month rule adjustments are made to account for the last day of February. Note that in this day-count convention, the second date may or may not be adjusted depending on the first date.

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

   o If De is the last day of February, change De to 30.

   o If Dl is 31 and De is 30 or 31, change Dl to 30.

   o If De is 31, change De to 30.

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

Reference: Standard Securities Calculation Methods (1996) ISBN 1-882936-01-9

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::BasicSia30360Eom 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::BasicSia30360Eom::daysDiff(d1, d2);
  assert(90 == daysDiff);

Finally, compute the year fraction between the two dates:

  const double yearsDiff = bbldc::BasicSia30360Eom::yearsDiff(d1, d2);
  assert(0.25 == yearsDiff);