bbldc_perioddaycountutil

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::PeriodDayCountUtil: enum-specified day-count calculations

See also

bbldc_daycountconvention, bbldc_periodicmaactualactual

Description

This component provides a struct, bbldc::PeriodDayCountUtil, 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::PeriodDayCountUtil take a trailing DayCountConvention::Enum argument indicating which particular period-based 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::PeriodDayCountUtil 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 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));

Now, compute the day count between d1 and d2 according to the ICMA Actual/Actual day-count convention:

const int daysDiff = bbldc::PeriodDayCountUtil::daysDiff(
                   d1,
                   d2,
                   bbldc::DayCountConvention::e_PERIOD_ICMA_ACTUAL_ACTUAL);
assert(73 == daysDiff);

Finally, compute the year fraction between the two dates according to the ICMA Actual/Actual day-count convention:

const double yearsDiff = bbldc::PeriodDayCountUtil::yearsDiff(
                   d1,
                   d2,
                   sched,
                   0.25,
                   bbldc::DayCountConvention::e_PERIOD_ICMA_ACTUAL_ACTUAL);
// Need fuzzy comparison since 'yearsDiff' is a 'double'.
assert(yearsDiff > 0.1983 && yearsDiff < 0.1985);