com::ftlabs::fisa::DayCountBasis

com::ftlabs::fisa::DayCountBasis Class Reference

Defines an abstract class that is used to calculate the number of days between two dates, and provides static members for each supported implementation. More...

#include <DayCountBasis.h>

Inheritance diagram for com::ftlabs::fisa::DayCountBasis:

List of all members.


Public Member Functions
virtual double	calculateDaysInPeriod (const FISADate &previousCouponDate, const FISADate &nextCouponDate, int interestFrequency, bool eomAdjust) const =0
	Calculate the total number of days in a coupon period.
virtual double	calculateDaysAccrued (const FISADate &previousCouponDate, const FISADate &nextCouponDate, const FISADate &settlementDate, int interestFrequency, bool eomAdjust) const =0
	Calculate the number of days accrued from the previous coupon date to the settlement date.
virtual double	calculateDaysRemaining (const FISADate &previousCouponDate, const FISADate &nextCouponDate, const FISADate &settlementDate, int interestFrequency, bool eomAdjust) const =0
	Calculate the number of days remaining in a coupon period.
virtual double	calculateDays (const FISADate &earlierDate, const FISADate &laterDate, int interestFrequency, bool eomAdjust) const =0
	Calculates the number of days between two dates using the implemented Day Count method.
virtual int	getDaysInYear (const FISADate &date) const =0
	Calculate the number of days for a given year.
virtual const std::string &	getName (void) const =0
	Get the name of this DayCountBasis implementation.
Static Public Member Functions
static const DayCountBasis *	getByName (const std::string &name)
	Get a pointer to the DayCountBasis implementation that corresponds to the provided name.
Static Public Attributes
static const DayCountBasis_30_360	_30_360
	30/360 (US) DayCountBasis implementation.
static const DayCountBasis_30E_360	_30E_360
	30E/360 (European) DayCountBasis implementation.
static const DayCountBasis_Actual	ACT_ACT
	Act/Act DayCountBasis implementation.
static const DayCountBasis_Actual	ACT_360
	Act/360 DayCountBasis implementation.
static const DayCountBasis_Actual	ACT_365
	Act/365 DayCountBasis implementation.
static const DayCountBasis_Actual	ACT_NL_365
	Act_NL/365 DayCountBasis implementation.
static const DayCountBasis_Act_365_JP	ACT_365_JP
	Act/365_JP (Japanese) DayCountBasis implementation.
Private Types
typedef std::map< std::string, const DayCountBasis * >	daycountbasis_map
Private Member Functions
	DayCountBasis (void)
virtual	~DayCountBasis (void)
Static Private Member Functions
static void	registerDayCountBasis (const std::string &name, const DayCountBasis *dayCountBasis)
Static Private Attributes
static daycountbasis_map	dayCountBases
Friends
class	DayCountBasis_30_360
class	DayCountBasis_30E_360
class	DayCountBasis_Actual
class	DayCountBasis_Act_365_JP

Detailed Description

Defines an abstract class that is used to calculate the number of days between two dates, and provides static members for each supported implementation.

Member Typedef Documentation

typedef std::map<std::string, const DayCountBasis *> com::ftlabs::fisa::DayCountBasis::daycountbasis_map [private]

Constructor & Destructor Documentation

com::ftlabs::fisa::DayCountBasis::DayCountBasis ( void ) [private]

virtual com::ftlabs::fisa::DayCountBasis::~DayCountBasis ( void ) [private, virtual]

Member Function Documentation

static void com::ftlabs::fisa::DayCountBasis::registerDayCountBasis	(	const std::string &	name,
		const DayCountBasis *	dayCountBasis
	)			`[static, private]`

static const DayCountBasis* com::ftlabs::fisa::DayCountBasis::getByName ( const std::string & name ) [static]

Get a pointer to the DayCountBasis implementation that corresponds to the provided name.

Parameters:

name

The name of a DayCountBasis implementation.

Returns:: A DayCountBasis pointer that corresponds to the provided name. If an implementation cannot be found for the provided name, then 0 is returned.

virtual double com::ftlabs::fisa::DayCountBasis::calculateDaysInPeriod	(	const FISADate &	previousCouponDate,
		const FISADate &	nextCouponDate,
		int	interestFrequency,
		bool	eomAdjust
	)			const `[pure virtual]`

Calculate the total number of days in a coupon period.

Parameters:

	previousCouponDate	the previous coupon date.
	nextCouponDate	the next coupon date.
	interestFrequency	the interestFrequency.
	eomAdjust	determines whether the end of month adjustment rule is used.

Returns:: the number of days within the given period.

Implemented in com::ftlabs::fisa::DayCountBasis_30_360, com::ftlabs::fisa::DayCountBasis_Actual, com::ftlabs::fisa::DayCountBasis_30E_360, and com::ftlabs::fisa::DayCountBasis_Act_365_JP.

virtual double com::ftlabs::fisa::DayCountBasis::calculateDaysAccrued	(	const FISADate &	previousCouponDate,
		const FISADate &	nextCouponDate,
		const FISADate &	settlementDate,
		int	interestFrequency,
		bool	eomAdjust
	)			const `[pure virtual]`

Calculate the number of days accrued from the previous coupon date to the settlement date.

Parameters:

	previousCouponDate	the previous coupon date.
	nextCouponDate	the next coupon date.
	settlementDate	the date on which settlement occurs.
	interestFrequency	the interestFrequency.
	eomAdjust	determines whether the end of month adjustment rule is used.

Returns:: the number of days accrued within the given period.

Implemented in com::ftlabs::fisa::DayCountBasis_30_360, com::ftlabs::fisa::DayCountBasis_Actual, com::ftlabs::fisa::DayCountBasis_30E_360, and com::ftlabs::fisa::DayCountBasis_Act_365_JP.

virtual double com::ftlabs::fisa::DayCountBasis::calculateDaysRemaining	(	const FISADate &	previousCouponDate,
		const FISADate &	nextCouponDate,
		const FISADate &	settlementDate,
		int	interestFrequency,
		bool	eomAdjust
	)			const `[pure virtual]`

Calculate the number of days remaining in a coupon period.

Parameters:

	previousCouponDate	the previous coupon date.
	nextCouponDate	the next coupon date.
	settlementDate	the date on which settlement occurs.
	interestFrequency	the interestFrequency.
	eomAdjust	determines whether the end of month adjustment rule is used.

Returns:: the number of days remaining in the given period.

Implemented in com::ftlabs::fisa::DayCountBasis_30_360, com::ftlabs::fisa::DayCountBasis_Actual, com::ftlabs::fisa::DayCountBasis_30E_360, and com::ftlabs::fisa::DayCountBasis_Act_365_JP.

virtual double com::ftlabs::fisa::DayCountBasis::calculateDays	(	const FISADate &	earlierDate,
		const FISADate &	laterDate,
		int	interestFrequency,
		bool	eomAdjust
	)			const `[pure virtual]`

Calculates the number of days between two dates using the implemented Day Count method.

Parameters:

	earlierDate	the starting date of the period.
	laterDate	the ending date of the period.
	interestFrequency	the interestFrequency.
	eomAdjust	determines whether the end of month adjustment rule is used.