Package cdm.base.datetime.daycount

Enum DayCountFractionEnum

java.lang.Object
java.lang.Enum<DayCountFractionEnum>
cdm.base.datetime.daycount.DayCountFractionEnum
All Implemented Interfaces:
Serializable, Comparable<DayCountFractionEnum>
@RosettaEnum("DayCountFractionEnum") public enum DayCountFractionEnum extends Enum<DayCountFractionEnum>
The enumerated values to specify the day count fraction.
Version:
5.30.0

  • Enum Constant Summary

    Enum Constants
    Enum Constant
    Description
    _1_1
    Per 2006 ISDA Definitions, Section 4.16.
    _30_360
    Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fraction, paragraph (vi), per 2006 ISDA Definitions, Section 4.16.
    _30E_360
    Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fraction, paragraph (vii), per 2006 ISDA Definitions, Section 4.16.
    _30E_360_ISDA
    Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fraction, paragraph (viii), per 2006 ISDA Definitions, Section 4.16.
    ACT_360
    Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fraction, paragraph (v), per 2006 ISDA Definitions, Section 4.16.
    ACT_364
    Per CFTC definitions.
    ACT_365_FIXED
    Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fraction, paragraph (iv), per 2006 ISDA Definitions, Section 4.16.
    ACT_365L
    Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fraction, paragraph (ix), per 2006 ISDA Definitions, Section 4.16.
    ACT_ACT_AFB
    The Fixed/Floating Amount will be calculated in accordance with the 'BASE EXACT/EXACT' day count fraction, as defined in the 'Definitions Communes plusieurs Additifs Techniques' published by the Association Francaise des Banques in September 1994.
    ACT_ACT_ICMA
    Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fraction, paragraph (iii), per 2006 ISDA Definitions, Section 4.16.
    ACT_ACT_ISDA
    Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fraction, paragraph (ii), per 2006 ISDA Definitions, Section 4.16.
    ACT_ACT_ISMA
    The Fixed/Floating Amount will be calculated in accordance with Rule 251 of the statutes, by-laws, rules and recommendations of the International Securities Market Association, as published in April 1999, as applied to straight and convertible bonds issued after December 31, 1998, as though the Fixed/Floating Amount were the interest coupon on such a bond.
    CAL_252
    Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fraction, paragraph (x).
    RBA_BOND_BASIS
    Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fraction, paragraph (xi), the calculation mechanics are driven deterministically by the Calculation Period Frequency (i.e. 0.25 if it is three months, 0.5 if it is 6 months, 1 if it is a year), except that if the first Calculation Period or the final Calculation Period is less than the Calculation Period Frequency, Actual/Actual (ISDA) shall apply to that Calculation Period
    RBA_BOND_BASIS_ANNUAL
    Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fraction, paragraph (xi)(c), if Calculation Periods for the Transaction are twelve months in length (excluding any shorter or longer first and last Calculation Period), 1, except that if the first Calculation Period or the final Calculation Period is less than twelve months, Actual/Actual (ISDA) shall apply to that Calculation Period' 'per 2006 ISDA Definitions Supplement number 43, Day Count Fraction, (k) if 'RBA Bond Basis (semi-annual)' is specified, 0.5.
    RBA_BOND_BASIS_QUARTER
    Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fraction, paragraph (xi)(a), if Calculation Periods for the Transaction are three months in length (excluding any shorter or longer first and last Calculation Period), 0.25, except that if the first Calculation Period or the final Calculation Period is less than three months, Actual/Actual (ISDA) shall apply to that Calculation Period.' 'per 2006 ISDA Definitions Supplement number 43, Day Count Fraction, if 'RBA Bond Basis (quarter)' is specified, 0.25.
    RBA_BOND_BASIS_SEMI_ANNUAL
    Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fraction, paragraph (xi)(b), if Calculation Periods for the Transaction are six months in length (excluding any shorter or longer first and last Calculation Period), 0.5, except that if the first Calculation Period or the final Calculation Period is less than six months, Actual/Actual (ISDA) shall apply to that Calculation Period' 'per 2006 ISDA Definitions Supplement number 43, Day Count Fraction, if 'RBA Bond Basis (semi-annual)' is specified, 0.5.

  • Method Summary

    Modifier and Type
    Method
    Description
    static DayCountFractionEnum
    fromDisplayName(String name)
     
    String
    toDisplayString()
     
    String
    toString()
     
    static DayCountFractionEnum
    valueOf(String name)
    Returns the enum constant of this type with the specified name.
    static DayCountFractionEnum[]
    values()
    Returns an array containing the constants of this enum type, in the order they are declared.

    Methods inherited from class java.lang.Enum

    clone, compareTo, equals, finalize, getDeclaringClass, hashCode, name, ordinal, valueOf

    Methods inherited from class java.lang.Object

    getClass, notify, notifyAll, wait, wait, wait

  • Enum Constant Details

    • ACT_360

      @RosettaEnumValue(value="ACT_360", displayName="ACT/360") public static final DayCountFractionEnum ACT_360
      Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fraction, paragraph (v), per 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (e) or Annex to the 2000 ISDA Definitions (June 2000 Version), Section 4.16. Day Count Fraction, paragraph (d).

    • ACT_365L

      @RosettaEnumValue(value="ACT_365L", displayName="ACT/365L") public static final DayCountFractionEnum ACT_365L
      Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fraction, paragraph (ix), per 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (i).

    • ACT_364

      @RosettaEnumValue(value="ACT_364", displayName="ACT/364") public static final DayCountFractionEnum ACT_364
      Per CFTC definitions.

    • ACT_365_FIXED

      @RosettaEnumValue(value="ACT_365_FIXED", displayName="ACT/365.FIXED") public static final DayCountFractionEnum ACT_365_FIXED
      Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fraction, paragraph (iv), per 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (d) or Annex to the 2000 ISDA Definitions (June 2000 Version), Section 4.16. Day Count Fraction, paragraph (c).

    • ACT_ACT_AFB

      @RosettaEnumValue(value="ACT_ACT_AFB", displayName="ACT/ACT.AFB") public static final DayCountFractionEnum ACT_ACT_AFB
      The Fixed/Floating Amount will be calculated in accordance with the 'BASE EXACT/EXACT' day count fraction, as defined in the 'Definitions Communes plusieurs Additifs Techniques' published by the Association Francaise des Banques in September 1994.

    • ACT_ACT_ICMA

      @RosettaEnumValue(value="ACT_ACT_ICMA", displayName="ACT/ACT.ICMA") public static final DayCountFractionEnum ACT_ACT_ICMA
      Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fraction, paragraph (iii), per 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (c). This day count fraction code is applicable for transactions booked under the 2021 ISDA Definitions and the 2006 ISDA Definitions. Transactions under the 2000 ISDA Definitions should use the ACT/ACT.ISMA code instead.

    • ACT_ACT_ISDA

      @RosettaEnumValue(value="ACT_ACT_ISDA", displayName="ACT/ACT.ISDA") public static final DayCountFractionEnum ACT_ACT_ISDA
      Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fraction, paragraph (ii), per 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (b) or Annex to the 2000 ISDA Definitions (June 2000 Version), Section 4.16. Day Count Fraction, paragraph (b). Note that going from FpML 2.0 Recommendation to the FpML 3.0 Trial Recommendation the code in FpML 2.0 'ACT/365.ISDA' became 'ACT/ACT.ISDA'.

    • ACT_ACT_ISMA

      @RosettaEnumValue(value="ACT_ACT_ISMA", displayName="ACT/ACT.ISMA") public static final DayCountFractionEnum ACT_ACT_ISMA
      The Fixed/Floating Amount will be calculated in accordance with Rule 251 of the statutes, by-laws, rules and recommendations of the International Securities Market Association, as published in April 1999, as applied to straight and convertible bonds issued after December 31, 1998, as though the Fixed/Floating Amount were the interest coupon on such a bond. This day count fraction code is applicable for transactions booked under the 2000 ISDA Definitions. Transactions under the 2021 ISDA Definitions and the 2006 ISDA Definitions should use the ACT/ACT.ICMA code instead.

    • CAL_252

      @RosettaEnumValue(value="CAL_252", displayName="CAL/252") public static final DayCountFractionEnum CAL_252
      Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fraction, paragraph (x). Supercedes BUS/252, the number of Business Days in the Calculation Period or Compounding Period in respect of which payment is being made divided by 252.

    • _1_1

      @RosettaEnumValue(value="_1_1", displayName="1/1") public static final DayCountFractionEnum _1_1
      Per 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (a) or Annex to the 2000 ISDA Definitions (June 2000 Version), Section 4.16. Day Count Fraction, paragraph (a).

    • _30E_360

      @RosettaEnumValue(value="_30E_360", displayName="30E/360") public static final DayCountFractionEnum _30E_360
      Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fraction, paragraph (vii), per 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (g) or Annex to the 2000 ISDA Definitions (June 2000 Version), Section 4.16. Day Count Fraction, paragraph (f). Note that the algorithm defined for this day count fraction has changed between the 2000 ISDA Definitions and 2006 ISDA Definitions. See Introduction to the 2006 ISDA Definitions for further information relating to this change.

    • _30E_360_ISDA

      @RosettaEnumValue(value="_30E_360_ISDA", displayName="30E/360.ISDA") public static final DayCountFractionEnum _30E_360_ISDA
      Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fraction, paragraph (viii), per 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (h). Note the algorithm for this day count fraction under the 2006 ISDA Definitions is designed to yield the same results in practice as the version of the 30E/360 day count fraction defined in the 2000 ISDA Definitions. See Introduction to the 2006 ISDA Definitions for further information relating to this change.

    • _30_360

      @RosettaEnumValue(value="_30_360", displayName="30/360") public static final DayCountFractionEnum _30_360
      Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fraction, paragraph (vi), per 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (f) or Annex to the 2000 ISDA Definitions (June 2000 Version), Section 4.16. Day Count Fraction, paragraph (e).

    • RBA_BOND_BASIS_QUARTER

      @RosettaEnumValue(value="RBA_BOND_BASIS_QUARTER", displayName="RBA Bond Basis (quarter)") public static final DayCountFractionEnum RBA_BOND_BASIS_QUARTER
      Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fraction, paragraph (xi)(a), if Calculation Periods for the Transaction are three months in length (excluding any shorter or longer first and last Calculation Period), 0.25, except that if the first Calculation Period or the final Calculation Period is less than three months, Actual/Actual (ISDA) shall apply to that Calculation Period.' 'per 2006 ISDA Definitions Supplement number 43, Day Count Fraction, if 'RBA Bond Basis (quarter)' is specified, 0.25. However, Actual/Actual (ISDA) applies to each of the first Calculation Period and the final Calculation Period if such Calculation Period is less than three months'

    • RBA_BOND_BASIS_SEMI_ANNUAL

      @RosettaEnumValue(value="RBA_BOND_BASIS_SEMI_ANNUAL", displayName="RBA Bond Basis (semi-annual)") public static final DayCountFractionEnum RBA_BOND_BASIS_SEMI_ANNUAL
      Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fraction, paragraph (xi)(b), if Calculation Periods for the Transaction are six months in length (excluding any shorter or longer first and last Calculation Period), 0.5, except that if the first Calculation Period or the final Calculation Period is less than six months, Actual/Actual (ISDA) shall apply to that Calculation Period' 'per 2006 ISDA Definitions Supplement number 43, Day Count Fraction, if 'RBA Bond Basis (semi-annual)' is specified, 0.5. However, Actual/Actual (ISDA) applies to each of the first Calculation Period and the final Calculation Period if such Calculation Period is less than six months'

    • RBA_BOND_BASIS_ANNUAL

      @RosettaEnumValue(value="RBA_BOND_BASIS_ANNUAL", displayName="RBA Bond Basis (annual)") public static final DayCountFractionEnum RBA_BOND_BASIS_ANNUAL
      Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fraction, paragraph (xi)(c), if Calculation Periods for the Transaction are twelve months in length (excluding any shorter or longer first and last Calculation Period), 1, except that if the first Calculation Period or the final Calculation Period is less than twelve months, Actual/Actual (ISDA) shall apply to that Calculation Period' 'per 2006 ISDA Definitions Supplement number 43, Day Count Fraction, (k) if 'RBA Bond Basis (semi-annual)' is specified, 0.5. However, Actual/Actual (ISDA) applies to each of the first Calculation Period and the final Calculation Period if such Calculation Period is less than six months'

    • RBA_BOND_BASIS

      @RosettaEnumValue(value="RBA_BOND_BASIS", displayName="RBA Bond Basis") public static final DayCountFractionEnum RBA_BOND_BASIS
      Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fraction, paragraph (xi), the calculation mechanics are driven deterministically by the Calculation Period Frequency (i.e. 0.25 if it is three months, 0.5 if it is 6 months, 1 if it is a year), except that if the first Calculation Period or the final Calculation Period is less than the Calculation Period Frequency, Actual/Actual (ISDA) shall apply to that Calculation Period

  • Method Details

    • values

      public static DayCountFractionEnum[] values()
      Returns an array containing the constants of this enum type, in the order they are declared.
      Returns:
      an array containing the constants of this enum type, in the order they are declared

    • valueOf

      public static DayCountFractionEnum valueOf(String name)
      Returns the enum constant of this type with the specified name. The string must match exactly an identifier used to declare an enum constant in this type. (Extraneous whitespace characters are not permitted.)
      Parameters:
      name - the name of the enum constant to be returned.
      Returns:
      the enum constant with the specified name
      Throws:
      IllegalArgumentException - if this enum type has no constant with the specified name
      NullPointerException - if the argument is null

    • fromDisplayName

      public static DayCountFractionEnum fromDisplayName(String name)

    • toString

      public String toString()
      Overrides:
      toString in class Enum<DayCountFractionEnum>

    • toDisplayString

      public String toDisplayString()