bbldc_terminatedisda30360eom

Detailed Description

Outline

• Purpose
• Classes
• Description
  • ISDA 30360 eom Day Count Algorithm
  • Usage
    • Example 1: Computing Day Count and Year Fraction

Purpose

Provide stateless functions for ISDA 30/360 eom convention.

Classes

• bbldc::TerminatedIsda30360Eom: ISDA 30/360 eom stateless functions

Description

This component provides a struct, bbldc::TerminatedIsda30360Eom, that serves as a namespace for defining a suite of date-related functions used to compute the day count and year fraction between two dates as prescribed by the International Swaps and Derivatives Association (ISDA) 30/360 day-count convention with end-of-month (eom) adjustments. In this day-count convention (also known as "30E/360 ISDA"), each year is assumed to have 12 months and 360 days, with each month consisting of exactly 30 days. Special end-of-month rule adjustments are made to account for the last day of February. Note that in this day-count convention, the second date may or may not be adjusted depending on the termination date (e.g., maturity date).

ISDA 30360 eom Day Count Algorithm

Given beginDate and endDate, let:

Ye =  year of earlier date           Yl =  year of later date
Me = month of earlier date           Ml = month of later date
De =   day of earlier date           Dl =   day of later date
 
  o If Dl is the last day of the month, unless Dl is the termination date
    and is in February, change Dl to 30.
 
  o If De is the last day of the month, change De to 30.
 
daysDiff ::= sign(endDate - beginDate) *
                                  (Yl - Ye) * 360 + (Ml - Me) * 30 + Dl - De

Reference: http://www.isda.org/c_and_a/docs/30-360-2006ISDADefs.xls (tab labeled "30E-360 ISDA")

The year fraction is simply the day count divided by 360.

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::TerminatedIsda30360Eom methods. First, create two bdlt::Date variables, d1 and d2:

const bdlt::Date d1(2004,  9, 30);
const bdlt::Date d2(2004, 12, 31);

Then, compute the day count between the two dates:

const int daysDiff = bbldc::TerminatedIsda30360Eom::daysDiff(d1, d2);
assert(90 == daysDiff);

Finally, compute the year fraction between the two dates:

const double yearsDiff = bbldc::TerminatedIsda30360Eom::yearsDiff(d1, d2);
assert(0.25 == yearsDiff);