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thirty360.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl

 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/reference/license.html>.

 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/

/*! \file thirty360.hpp
    \brief 30/360 day counters
*/

#ifndef quantlib_thirty360_day_counter_h
#define quantlib_thirty360_day_counter_h

#include <ql/daycounter.hpp>

namespace QuantLib {

    //! 30/360 day count convention
    /*! The 30/360 day count can be calculated according to US, European, or
        Italian conventions.

        US (NASD) convention: if the starting date is the 31st of a
        month, it becomes equal to the 30th of the same month.
        If the ending date is the 31st of a month and the starting
        date is earlier than the 30th of a month, the ending date
        becomes equal to the 1st of the next month, otherwise the
        ending date becomes equal to the 30th of the same month.
        Also known as "30/360", "360/360", or "Bond Basis"

        European convention: starting dates or ending dates that
        occur on the 31st of a month become equal to the 30th of the
        same month.
        Also known as "30E/360", or "Eurobond Basis"

        Italian convention: starting dates or ending dates that
        occur on February and are grater than 27 become equal to 30
        for computational sake.

        \ingroup daycounters
    */
00054     class Thirty360 : public DayCounter {
      public:
        enum Convention { USA, BondBasis,
                          European, EurobondBasis,
                          Italian };
      private:
        class US_Impl : public DayCounter::Impl {
          public:
            std::string name() const { return std::string("30/360");}
            BigInteger dayCount(const Date& d1, const Date& d2) const;
            Time yearFraction(const Date& d1, const Date& d2,
                              const Date&, const Date&) const {
                return dayCount(d1,d2)/360.0; }
        };
        class EU_Impl : public DayCounter::Impl {
          public:
            std::string name() const { return std::string("30/360eu");}
            BigInteger dayCount(const Date& d1, const Date& d2) const;
            Time yearFraction(const Date& d1, const Date& d2,
                              const Date&, const Date&) const {
                return dayCount(d1,d2)/360.0; }
        };
        class IT_Impl : public DayCounter::Impl {
          public:
            std::string name() const { return std::string("30/360it");}
            BigInteger dayCount(const Date& d1, const Date& d2) const;
            Time yearFraction(const Date& d1, const Date& d2,
                              const Date&, const Date&) const {
                return dayCount(d1,d2)/360.0; }
        };
        static boost::shared_ptr<DayCounter::Impl> implementation(
                                                                Convention c);
      public:
        Thirty360(Convention c = Thirty360::USA)
        : DayCounter(implementation(c)) {}
    };

}


#endif

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