com.imsl.finance

Class DayCountBasis

java.lang.Object

com.imsl.finance.DayCountBasis

public class DayCountBasis
extends Object

The Day Count Basis. Rules for computing the number of days between two dates or number of days in a year. For many securities, computations are based on rules other than on the actual calendar.

Field Summary

Fields

Modifier and Type	Field and Description
static DayCountBasis	Basis30e360 Computations are based on the assumption of 30 days per month and 360 days per year.
static DayCountBasis	BasisActual360 Computations are based on the number of days in a month based on the actual calendar value and the number of days, but assuming 360 days per year.
static DayCountBasis	BasisActual365 Computations are based on the number of days in a month based on the actual calendar value and the number of days, but assuming 365 days per year.
static DayCountBasis	BasisActualActual Computations are based on the actual calendar.
static DayCountBasis	BasisNASD Computations are based on the assumption of 30 days per month and 360 days per year.
static BasisPart	BasisPart30E360 Computations are based on the assumption of 30 days per month and 360 days per year.
static BasisPart	BasisPart365 Computations are based on the assumption of 365 days per year.
static BasisPart	BasisPartActual Computations are are based on the actual calendar.
static BasisPart	BasisPartNASD Computations based on the assumption of 30 days per month and 360 days per year.

Constructor Summary

Constructors

Constructor and Description
DayCountBasis(BasisPart monthBasis, BasisPart yearBasis) Creates a new DayCountBasis.

Method Summary

Modifier and Type	Method and Description
BasisPart	getMonthBasis() Returns the (days in month) portion of the Day Count Basis.
BasisPart	getYearBasis() Returns the (days in year) portion of the Day Count Basis.
void	setEOM(boolean EOM) Specifies whether to use the End-Of-Month rule.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

BasisPartNASD

public static final BasisPart BasisPartNASD

Computations based on the assumption of 30 days per month and 360 days per year.

BasisPart30E360

public static final BasisPart BasisPart30E360

Computations are based on the assumption of 30 days per month and 360 days per year. This computes the number of days between two dates differently than BasisPartNASD for months with other than 30 days.

BasisPart365

public static final BasisPart BasisPart365

Computations are based on the assumption of 365 days per year.

BasisPartActual

public static final BasisPart BasisPartActual

Computations are are based on the actual calendar.

BasisNASD

public static final DayCountBasis BasisNASD

Computations are based on the assumption of 30 days per month and 360 days per year.

See Also:

DayCountBasis.BasisPartNASD

BasisActualActual

public static final DayCountBasis BasisActualActual

Computations are based on the actual calendar.

See Also:

DayCountBasis.BasisPartActual

BasisActual360

public static final DayCountBasis BasisActual360

Computations are based on the number of days in a month based on the actual calendar value and the number of days, but assuming 360 days per year.

See Also:

DayCountBasis.BasisPartActual, DayCountBasis.BasisPartNASD

BasisActual365

public static final DayCountBasis BasisActual365

Computations are based on the number of days in a month based on the actual calendar value and the number of days, but assuming 365 days per year.

See Also:

DayCountBasis.BasisPartActual, DayCountBasis.BasisPart365

Basis30e360

public static final DayCountBasis Basis30e360

Computations are based on the assumption of 30 days per month and 360 days per year.

See Also:

DayCountBasis.BasisPart30E360

Constructor Detail

DayCountBasis

public DayCountBasis(BasisPart monthBasis,
                     BasisPart yearBasis)

Creates a new DayCountBasis.

Parameters:

monthBasis - a BasisPart that contains the month basis

yearBasis - a BasisPart that contains the year basis

Method Detail

setEOM

public void setEOM(boolean EOM)

Specifies whether to use the End-Of-Month rule.

If a security follows the End-Of-Month rule:

1. • If Date2 (day) is the last day of February
   • and Date1 (day) is the last day of February
   • change Date2 (day) to 30
2. • If Date1 (day) is the last day of February
   • change Date1 (day) to 30

The EOM rule is only used in day count calculations of the basis type, 30/360 (NASD Superclass).

Parameters:

EOM - a boolean which indicates if the End-Of-Month rule is to be used.

Default: EOM = true.

getMonthBasis

public BasisPart getMonthBasis()

Returns the (days in month) portion of the Day Count Basis.

Returns:

a BasisPart object which represents the month Basis for this DayCountBasis

getYearBasis

public BasisPart getYearBasis()

Returns the (days in year) portion of the Day Count Basis.

Returns:

a BasisPart object which represents the year Basis for this DayCountBasis