finMath.net

Daycounting and Swap Leg Schedule Generation

Methodology

The Java package net.finmath.time.daycount provides a bunch of day count conventions used in interest rate products.

The Java package net.finmath.time provides a swap leg schedule generator and schedules and periods.

Spreadsheet

The spreadsheets are given in Excel (xls) and OpenOffice (ods) format.

In order to run the spreadsheet you have to install the Java Object Handler for Spreadsheets, "Obba".

Day Count Fractions.zip
Day Count Fractions (see package net.finmath.time.daycount).

The sheet tests several day count conventions against its native spreadsheet implementation using the YEARFRAC function.

Swap Leg Schedule.zip
Swap Leg Schedule (see package net.finmath.time).

The generates a swap leg schedule, i.e., a sequence of periods with period start date, period end date, fixing date, payment date and period day count fractions, from given meta date, like spot, frequency, date roll convention, holiday calendars, day count convetions.

Source Code

Source code is available from the finmath lib repository, see http://www.finmath.net/java.

Disclaimer

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