Provide stateless functions for ISDA 30/360 eom convention.
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Namespaces |
namespace | bbldc |
Detailed Description
- Outline
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- Purpose:
- Provide stateless functions for ISDA 30/360 eom convention.
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- Classes:
-
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- 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).
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- ISDA 30/360 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.
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- Usage:
- This section illustrates intended use of this component.
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- 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
: Then, compute the day count between the two dates: Finally, compute the year fraction between the two dates: