Class: Rupee::DayCount

Inherits:

Object

• Object
• Rupee::DayCount

Extended by:

FindInstance

Defined in:

lib/rupee/day_count.rb,
lib/rupee/day_count/30_360.rb,
lib/rupee/day_count/30e_360.rb,
lib/rupee/day_count/act_360.rb,
lib/rupee/day_count/act_365.rb,
lib/rupee/day_count/act_act.rb,
lib/rupee/day_count/30e+_360.rb,
lib/rupee/day_count/30e_360_isda.rb

Overview

A class representing a day count convention used to determine cash flow and accrual dates for fixed income products

Constant Summary

THIRTY_360 =

Standard US 30/360

DayCount.new "30/360, typical pay-fixed convention" do |from, to|
  m1 = from.month
  m2 = to.month
  d1 = from.day
  d2 = to.day

  if end_of_month?(from)
    d1 = 30
    d2 = 30 if m1 == 2 && end_of_month?(to) && m2 == 2
  end

  d2 = 30 if d2 == 31 && d1 == 30

  (360 * (to.year - from.year) + 30 * (m2 - m1) + (d2 - d1)) / 360.0
end

THIRTY_E_360 =

Standard European 30/360

DayCount.new "30E/360" do |from, to|
  d1 = from.day
  d2 = to.day
  d1 = 30 if d1 == 31
  d2 = 30 if d2 == 31

  (360 * (to.year - from.year) + 30 * (to.month - from.month) +
    (d2 - d1)) / 360.0
end

ACT_360 =

Actual/360

DayCount.new "Actual/360, typical LIBOR convention" do |from, to|
  (to - from) / 360.0
end

ACT_365 =

Actual/365

DayCount.new "Actual/365" do |from, to|
  (to - from) / 365.0
end

ACT_ACT =

Actual/Actual

DayCount.new "Actual/actual" do |from, to|
  1 - from.yday / days_in_year(from) +
    (to.year - from.year - 1) +
    to.yday / days_in_year(to)
end

THIRTY_E_PLUS_360 =

30E+/360

DayCount.new "30E+/360" do |from, to|
  m  = to.month - from.month
  d1 = from.day
  d2 = to.day
  d1 = 30 if d1 == 31
  if d2 == 31
    m += 1
    d2 = 1
  end

  (360 * (to.year - from.year) + 30 * m + (d2 - d1)) / 360.0
end

THIRTY_E_360_ISDA =

30E/360 ISDA, typical for Eurobonds

DayCount.new "30E/360 ISDA" do |from, to|
  d1 = from.day
  d2 = to.day
  d1 = 30 if end_of_month?(from)
  d2 = 30 if end_of_month?(to) # && (d2 != maturity_date || to.month != 2)

  (360 * (to.year - from.year) + 30 * (to.month - from.month) +
    (d2 - d1)) / 360.0
end

Instance Attribute Summary

• #block ⇒ Object readonly

  The formula for determining a day count factor (days divided by years).

• #description ⇒ Object readonly

  A description of the day count convention.

Instance Method Summary

• #initialize(description, &block) ⇒ DayCount constructor

  Create a new DayCount object.

• #period(from, to) ⇒ Object

  Calculates the period in years between the from and true dates.

Methods included from FindInstance

find

Constructor Details

#initialize(description, &block) ⇒ DayCount

Create a new DayCount object

# File 'lib/rupee/day_count.rb', line 21

def initialize(description, &block)
  @description = description
  @block = block
end

Instance Attribute Details

#block ⇒ Object (readonly)

The formula for determining a day count factor (days divided by years)

# File 'lib/rupee/day_count.rb', line 18

def block
  @block
end

#description ⇒ Object (readonly)

A description of the day count convention

# File 'lib/rupee/day_count.rb', line 16

def description
  @description
end

Instance Method Details

#period(from, to) ⇒ Object

Calculates the period in years between the from and true dates

# File 'lib/rupee/day_count.rb', line 28

def period(from, to)
  block.call from, to
end