1 /*
2 * ObjectLab, http://www.objectlab.co.uk/open is sponsoring the ObjectLab Kit.
3 *
4 * Based in London, we are world leaders in the design and development
5 * of bespoke applications for the securities financing markets.
6 *
7 * <a href="http://www.objectlab.co.uk/open">Click here to learn more</a>
8 * ___ _ _ _ _ _
9 * / _ \| |__ (_) ___ ___| |_| | __ _| |__
10 * | | | | '_ \| |/ _ \/ __| __| | / _` | '_ \
11 * | |_| | |_) | | __/ (__| |_| |__| (_| | |_) |
12 * \___/|_.__// |\___|\___|\__|_____\__,_|_.__/
13 * |__/
14 *
15 * www.ObjectLab.co.uk
16 *
17 * $Id$
18 *
19 * Copyright 2006 the original author or authors.
20 *
21 * Licensed under the Apache License, Version 2.0 (the "License"); you may not
22 * use this file except in compliance with the License. You may obtain a copy of
23 * the License at
24 *
25 * http://www.apache.org/licenses/LICENSE-2.0
26 *
27 * Unless required by applicable law or agreed to in writing, software
28 * distributed under the License is distributed on an "AS IS" BASIS, WITHOUT
29 * WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. See the
30 * License for the specific language governing permissions and limitations under
31 * the License.
32 */
33 package net.objectlab.kit.datecalc.common;
34
35 /**
36 * Defines some standard Day Count bases.
37 *
38 * To read about the most common Day Count Conventions, you can refer to the
39 * <a href="http://www.fincad.com/support/developerfunc/mathref/Daycount.htm">
40 * following document</a> or <a href="https://en.wikipedia.org/wiki/Day_count_convention">here</a>.
41 *
42 * @author Benoit Xhenseval
43 */
44 public enum PeriodCountBasis {
45 /**
46 * 30/360, means that day count fractions are calculated assuming 30 day
47 * months and 360 days in a year. The second date is only adjusted if the
48 * first date is on the 31st of a month.
49 */
50 CONV_30_360,
51
52 /**
53 * 30E/360, means that day count fractions are calculated assuming 30 day
54 * months and 360 days in a year. In this case, the second date is always
55 * adjusted to the 30th, if it is the 31st.
56 */
57 CONV_360E_ISDA,
58
59 /**
60 * 30E+/360, means that day count fractions are calculated assuming 30 day
61 * months and 360 days in a year. If the second date is on the 31st, it is
62 * adjusted to the 30th and a second month is incremented by one.
63 */
64 CONV_360E_ISMA,
65
66 // -----------------------------------------------------------------------
67 //
68 // ObjectLab, world leaders in the design and development of bespoke
69 // applications for the securities financing markets.
70 // www.ObjectLab.co.uk
71 //
72 // -----------------------------------------------------------------------
73
74 /**
75 * Actual/Actual, means that the numerator is the number of days between the
76 * two dates. The denominator is the actual number of days in the coupon
77 * period multiplied by the coupon frequency. This is mainly relates to
78 * bonds. This normally results in day count factors of 1.0 for annual
79 * coupons, 0.5 for semi annual coupons and 0.25 for quarterly coupons.
80 */
81 ACT_ACT,
82
83 /**
84 * Actual/360, known in the United States as money market basis, has a day
85 * count fraction equal to the number of days between the payment dates,
86 * divided by 360.
87 */
88 ACT_360,
89
90 /**
91 * Actual/365(Fixed), known as bond basis in the United States, means that
92 * the day count fraction is equal to the number of days between the last
93 * payment date and the next date divided by 365.
94 */
95 ACT_365
96 }
97
98 /*
99 * ObjectLab, http://www.objectlab.co.uk/open is sponsoring the ObjectLab Kit.
100 *
101 * Based in London, we are world leaders in the design and development
102 * of bespoke applications for the securities financing markets.
103 *
104 * <a href="http://www.objectlab.co.uk/open">Click here to learn more about us</a>
105 * ___ _ _ _ _ _
106 * / _ \| |__ (_) ___ ___| |_| | __ _| |__
107 * | | | | '_ \| |/ _ \/ __| __| | / _` | '_ \
108 * | |_| | |_) | | __/ (__| |_| |__| (_| | |_) |
109 * \___/|_.__// |\___|\___|\__|_____\__,_|_.__/
110 * |__/
111 *
112 * www.ObjectLab.co.uk
113 */