Component bbldc_periodicmaactualactual [Package bbldc]

Provide stateless functions for period-based ICMA Actual/Actual. More...

Namespaces
namespace	bbldc

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Detailed Description

Outline

• Purpose
• Classes
• Description
  • Usage
    • Example 1: Computing Day Count and Year Fraction

Purpose:

Provide stateless functions for period-based ICMA Actual/Actual.

Classes:

bbldc::PeriodIcmaActualActual

ICMA Act/Act convention stateless functions

Description:

This component provides a struct, bbldc::PeriodIcmaActualActual, that serves as a namespace for defining a suite of date-related functions used to compute the day count and the year fraction between two dates as per the ICMA Actual/Actual day-count convention. In this day-count convention, the day count between two dates is exactly the number of days occurring in the time period and the year fraction is the number of full periods multiplied by the period weighting (periodYearDiff) plus front-stub and back-stub adjustments. The periods are defined by the periodDate elements representing, say, bond coupon payment dates with the first period starting on periodDate[0] and ending on periodDate[1], the second period starting on 'periodDate[1] and ending on periodDate[2], and the 'i-th period starting on periodDate[i - 1] and ending on periodDate[i].

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::PeriodIcmaActualActual 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));

Next, compute the day count between d1 and d2:

  const int daysDiff = bbldc::PeriodIcmaActualActual::daysDiff(d1, d2);
  assert(73 == daysDiff);

Finally, compute the year fraction between the two dates:

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