/* * ObjectLab, http://www.objectlab.co.uk/open is sponsoring the ObjectLab Kit. * * Based in London, we are world leaders in the design and development * of bespoke applications for the securities financing markets. * * <a href="http://www.objectlab.co.uk/open">Click here to learn more</a> * ___ _ _ _ _ _ * / _ \| |__ (_) ___ ___| |_| | __ _| |__ * | | | | '_ \| |/ _ \/ __| __| | / _` | '_ \ * | |_| | |_) | | __/ (__| |_| |__| (_| | |_) | * \___/|_.__// |\___|\___|\__|_____\__,_|_.__/ * |__/ * * www.ObjectLab.co.uk * * $Id$ * * Copyright 2006 the original author or authors. * * Licensed under the Apache License, Version 2.0 (the "License"); you may not * use this file except in compliance with the License. You may obtain a copy of * the License at * * http://www.apache.org/licenses/LICENSE-2.0 * * Unless required by applicable law or agreed to in writing, software * distributed under the License is distributed on an "AS IS" BASIS, WITHOUT * WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. See the * License for the specific language governing permissions and limitations under * the License. */ package net.objectlab.kit.datecalc.common; /** * Defines some standard Day Count bases. * * To read about the most common Day Count Conventions, you can refer to the * <a href="http://www.fincad.com/support/developerfunc/mathref/Daycount.htm"> * following document</a> or <a href="https://en.wikipedia.org/wiki/Day_count_convention">here</a>. * * @author Benoit Xhenseval */ public enum PeriodCountBasis { /** * 30/360, means that day count fractions are calculated assuming 30 day * months and 360 days in a year. The second date is only adjusted if the * first date is on the 31st of a month. */ CONV_30_360, /** * 30E/360, means that day count fractions are calculated assuming 30 day * months and 360 days in a year. In this case, the second date is always * adjusted to the 30th, if it is the 31st. */ CONV_360E_ISDA, /** * 30E+/360, means that day count fractions are calculated assuming 30 day * months and 360 days in a year. If the second date is on the 31st, it is * adjusted to the 30th and a second month is incremented by one. */ CONV_360E_ISMA, // ----------------------------------------------------------------------- // // ObjectLab, world leaders in the design and development of bespoke // applications for the securities financing markets. // www.ObjectLab.co.uk // // ----------------------------------------------------------------------- /** * Actual/Actual, means that the numerator is the number of days between the * two dates. The denominator is the actual number of days in the coupon * period multiplied by the coupon frequency. This is mainly relates to * bonds. This normally results in day count factors of 1.0 for annual * coupons, 0.5 for semi annual coupons and 0.25 for quarterly coupons. */ ACT_ACT, /** * Actual/360, known in the United States as money market basis, has a day * count fraction equal to the number of days between the payment dates, * divided by 360. */ ACT_360, /** * Actual/365(Fixed), known as bond basis in the United States, means that * the day count fraction is equal to the number of days between the last * payment date and the next date divided by 365. */ ACT_365 } /* * ObjectLab, http://www.objectlab.co.uk/open is sponsoring the ObjectLab Kit. * * Based in London, we are world leaders in the design and development * of bespoke applications for the securities financing markets. * * <a href="http://www.objectlab.co.uk/open">Click here to learn more about us</a> * ___ _ _ _ _ _ * / _ \| |__ (_) ___ ___| |_| | __ _| |__ * | | | | '_ \| |/ _ \/ __| __| | / _` | '_ \ * | |_| | |_) | | __/ (__| |_| |__| (_| | |_) | * \___/|_.__// |\___|\___|\__|_____\__,_|_.__/ * |__/ * * www.ObjectLab.co.uk */