Component bbldc_perioddaterangedaycountadapter [Package bbldc]

Provide a parameterized day-count convention implementation. More...

Namespaces
namespace	bbldc

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Detailed Description

Outline

• Purpose
• Classes
• Description
  • Usage
    • Example 1: Adapting bbldc::PeriodIcmaActualActual

Purpose:

Provide a parameterized day-count convention implementation.

Classes:

bbldc::PeriodDateRangeDayCountAdapter

bbldc::DateRangeDayCount adapter

Description:

This component provides a parameterized (template) implementation, bbldc::PeriodDateRangeDayCountAdapter, of the bbldc::DateRangeDayCount protocol. The template argument can be any type supporting the following two class methods.

  int daysDiff(const bdlt::Date& beginDate, const bdlt::Date& endDate);

  double yearsDiff(const bdlt::Date&              beginDate,
                   const bdlt::Date&              endDate,
                   const bsl::vector<bdlt::Date>& periodDate,
                   double                         periodYearDiff);

The template class bbldc::PeriodDateRangeDayCountAdapter provides convenient support for run-time polymorphic choice of day-count conventions (via conventional use of a base-class pointer or reference) without having to implement each derived type explicitly. In this sense, bbldc::PeriodDateRangeDayCountAdapter adapts the various concrete period-based day-count convention classes (e.g., bbldc::PeriodIcmaActualActual) to a run-time binding mechanism.

The bbldc::DateRangeDayCount protocol requires two methods, firstDate and lastDate, that define a date range for which calculations are valid, to reflect the valid range of, say, a calendar required for the computations. For "period" day-count implementations, the valid date range is from the first to the last period date.

Usage:

This section illustrates intended use of this component.

Example 1: Adapting bbldc::PeriodIcmaActualActual:

This example shows the procedure for using bbldc::PeriodDateRangeDayCountAdapter to adapt the bbldc::PeriodIcmaActualActual day-count convention to the bbldc::DateRangeDayCount protocol, and then the use of the day-count methods. First, we create a schedule of period dates, sched, corresponding to a quarterly payment (periodYearDiff == 0.25):

  bsl::vector<bdlt::Date> sched;
  sched.push_back(bdlt::Date(2003, 10, 1));
  sched.push_back(bdlt::Date(2004,  1, 1));

Then, we define an instance of the adapted day-count convention and obtain a reference to the bbldc::DateRangeDayCount:

  const bbldc::PeriodDateRangeDayCountAdapter<bbldc::PeriodIcmaActualActual>
                                                                 myDcc(sched,
                                                                       0.25);
  const bbldc::DateRangeDayCount&                                dcc = myDcc;

Next, create two bdlt::Date variables, d1 and d2, with which to use the day-count convention methods:

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

Now, use the base-class reference to compute the day count between the two dates:

  const int daysDiff = dcc.daysDiff(d1, d2);
  assert(73 == daysDiff);

Finally, use the base-class reference to compute the year fraction between the two dates:

  const double yearsDiff = dcc.yearsDiff(d1, d2);
  // Need fuzzy comparison since 'yearsDiff' is a 'double'.
  assert(yearsDiff > 0.1983 && yearsDiff < 0.1985);