Day Count Convention

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Codebook

Instances of the IDayCountConvention are an integral part of IAccruedInterestRules objects.

IDayCountConvention dcc1 = new BasicDayCountConvention(DayCountMethod.GERMAN);
// creates a 30/360 day count convention
IDayCountConvention dcc2 = new BasicDayCountConvention(DayCountMethod.ENGLISH);
// creates an actual/365 day count convention

The following DayCountMethod values are supported by the BasicDayCountConvention class:

  • ENGLISH
  • FRENCH
  • GERMAN
  • GERMAN_SPECIAL
  • ITALIAN
  • US

In practice, rules are applied that have been established by several organizations. The most important set of rules has been implemented in QFF, namely the ISMA day count conventions.

IDayCountConvention dcc3 = new ISMADayCountConvention(DayCountMethod.ISMA99_NORMAL);

The following DayCountMethod values are supported by the ISMADayCountConvention class:

  • ISMA_YEAR
  • ISMA99_NORMAL
  • ISMA_ULTIMO

See also

Reference