Component bbldc_terminateddaterangedaycountadapter [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::TerminatedIsda30360Eom

Purpose:

Provide a parameterized day-count convention implementation.

Classes:

bbldc::TerminatedDateRangeDayCountAdapter: bbldc::DateRangeDayCount adapter

Description:

This component provides a parameterized (template) implementation, bbldc::TerminatedDateRangeDayCountAdapter, of the bbldc::DateRangeDayCount protocol that allows for special handling of a termination date (e.g., maturity date). The template argument can be any type supporting the following two class methods.

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

  double yearsDiff(const bdlt::Date& beginDate,
                   const bdlt::Date& endDate,
                   const bdlt::Date& terminationDate);

The template class bbldc::TerminatedDateRangeDayCountAdapter 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::TerminatedDateRangeDayCountAdapter adapts the various concrete "terminated" day-count convention classes (e.g., bbldc::TerminatedIsda30360Eom) 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 "terminated" day-count implementations, the valid date range is identical to the range of bdlt::Date.

Usage:

This section illustrates intended use of this component.

Example 1: Adapting bbldc::TerminatedIsda30360Eom:

This example shows the procedure for using bbldc::TerminatedDateRangeDayCountAdapter to adapt the bbldc::TerminatedIsda30360Eom day-count convention to the bbldc::DateRangeDayCount protocol, and then the use of the day-count methods.

First, we define an instance of the adapted bbldc::TerminatedIsda30360Eom day-count convention and obtain a reference to the bbldc::DateRangeDayCount:

  const bbldc::TerminatedDateRangeDayCountAdapter<
                                               bbldc::TerminatedIsda30360Eom>
                                              myDcc(bdlt::Date(2004, 2, 29));

  const bbldc::DateRangeDayCount& dcc = myDcc;

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

  const bdlt::Date d1(2003, 10, 18);
  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(72 == 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(0.1999 < yearsDiff && 0.2001 > yearsDiff);