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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file thirty360.hpp
\brief 30/360 day counters
*/
#ifndef quantlib_thirty360_day_counter_h
#define quantlib_thirty360_day_counter_h
#include <ql/time/daycounter.hpp>
namespace QuantLib {
//! 30/360 day count convention
/*! The 30/360 day count can be calculated according to US, European, or
Italian conventions.
US (NASD) convention: if the starting date is the 31st of a
month, it becomes equal to the 30th of the same month.
If the ending date is the 31st of a month and the starting
date is earlier than the 30th of a month, the ending date
becomes equal to the 1st of the next month, otherwise the
ending date becomes equal to the 30th of the same month.
Also known as "30/360", "360/360", or "Bond Basis"
European convention: starting dates or ending dates that
occur on the 31st of a month become equal to the 30th of the
same month.
Also known as "30E/360", or "Eurobond Basis"
Italian convention: starting dates or ending dates that
occur on February and are grater than 27 become equal to 30
for computational sake.
\ingroup daycounters
*/
class Thirty360 : public DayCounter {
public:
enum Convention { USA, BondBasis,
European, EurobondBasis,
Italian };
private:
class US_Impl : public DayCounter::Impl {
public:
std::string name() const { return std::string("30/360 (Bond Basis)");}
BigInteger dayCount(const Date& d1,
const Date& d2) const;
Time yearFraction(const Date& d1,
const Date& d2,
const Date&,
const Date&) const {
return dayCount(d1,d2)/360.0; }
};
class EU_Impl : public DayCounter::Impl {
public:
std::string name() const { return std::string("30E/360 (Eurobond Basis)");}
BigInteger dayCount(const Date& d1,
const Date& d2) const;
Time yearFraction(const Date& d1,
const Date& d2,
const Date&,
const Date&) const {
return dayCount(d1,d2)/360.0; }
};
class IT_Impl : public DayCounter::Impl {
public:
std::string name() const { return std::string("30/360 (Italian)");}
BigInteger dayCount(const Date& d1, const Date& d2) const;
Time yearFraction(const Date& d1,
const Date& d2,
const Date&,
const Date&) const {
return dayCount(d1,d2)/360.0; }
};
static boost::shared_ptr<DayCounter::Impl> implementation(
Convention c);
public:
Thirty360(Convention c = Thirty360::BondBasis)
: DayCounter(implementation(c)) {}
};
}
#endif
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