bbldc_calendardaycountutil

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::CalendarDayCountUtil: enum-specified day-count calculations

See also

bbldc_daycountconvention, bbldc_calendarbus252

Description

This component provides a struct, bbldc::CalendarDayCountUtil, 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::CalendarDayCountUtil 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::CalendarDayCountUtil methods. First, create two bdlt::Date variables, d1 and d2:

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

Then, create a calendar with a valid range spanning 2003 and typical weekend days:

bdlt::Calendar calendar;
calendar.setValidRange(bdlt::Date(2003, 1, 1), bdlt::Date(2003, 12, 31));
calendar.addWeekendDay(bdlt::DayOfWeek::e_SUN);
calendar.addWeekendDay(bdlt::DayOfWeek::e_SAT);

Now, compute the day count between d1 and d2 according to the BUS-252 day-count convention:

const int daysDiff = bbldc::CalendarDayCountUtil::daysDiff(
                            d1,
                            d2,
                            calendar,
                            bbldc::DayCountConvention::e_CALENDAR_BUS_252);
assert(52 == daysDiff);

Finally, compute the year fraction between the two dates according to the BUS-252 day-count convention:

const double yearsDiff = bbldc::CalendarDayCountUtil::yearsDiff(
                            d1,
                            d2,
                            calendar,
                            bbldc::DayCountConvention::e_CALENDAR_BUS_252);
// Need fuzzy comparison since 'yearsDiff' is a 'double'.
assert(0.2063 < yearsDiff && 0.2064 > yearsDiff);