DatesAndCalendarExample.cpp

This example show how to create and use dates, calendars and year fractions.

Name: calendar
Object: Calendar
Convention: Following
SpotLag: 1
Holidays: GoodFriday EasterMonday CorpusChristi 1stMay 
Settlemet: SettlementFromSpot 
EndOfMonth: No


This is an example calculation of year fraction between dates: 2015-05-25 and 2015-09-12 according to ACT360 convention.         YF= 0.305556
This is an example calculation of year fraction between dates: 2015-05-25 and 2015-09-12 according to ACT360 add one convention. YF= 0.308333
This is an example calculation of year fraction between dates: 2015-05-25 and 2015-09-12 according to ACTACT ISDA convention.    YF= 0.30137
This is an example calculation of year fraction between dates: 2015-05-25 and 2015-09-12 according to ACT365 convention.         YF= 0.30137
This is an example calculation of year fraction between dates: 2015-05-25 and 2015-09-12 according to 1/1 convention.            YF= 1

#include <juliant.hpp>

using namespace julian;

int main() {
    //
    // Creating dates in three different way
    //
  Date d(2015,AUG,26);
  Date d1(20150525);
  Date d2(2015,9,12);
  
    //
    // Building calendar
    //  
  CorpusChristi corpus_christi;
  EasterMonday easter_monday;
  GoodFriday good_friday;


  Calendar calendar = BuildCalendar()
    .withConvention(FOLLOWING)
    .addHoliday(good_friday)
    .addHoliday(easter_monday)
    .addHoliday(corpus_christi)
    .addHoliday(MAY,1)
    .withSpotLag(1); 

  SHOW(calendar);

    //
    // Testing year fraction conventions
    //   
  ACT360 yf1;
  ACT360addOne yf2;
  ActActISDA yf3;
  ACT365 yf4;
  OneYF yf5;
  

  
  std::cout << "\nThis is an example calculation of year fraction between dates: "
        << d1 << " and " <<d2 << " according to ACT360 convention.         YF= "
        << yf1(d1,d2) << std::endl;
  std::cout << "This is an example calculation of year fraction between dates: "
        << d1 << " and " << d2 << " according to ACT360 add one convention. YF= "
        << yf2(d1,d2) << std::endl;
  std::cout << "This is an example calculation of year fraction between dates: "
        << d1 << " and " << d2 << " according to ACTACT ISDA convention.    YF= "
        << yf3(d1,d2) << std::endl;
  std::cout << "This is an example calculation of year fraction between dates: "
        << d1 << " and " << d2 << " according to ACT365 convention.         YF= "
        << yf4(d1,d2) << std::endl;
  std::cout << "This is an example calculation of year fraction between dates: "
        << d1 << " and " << d2 << " according to 1/1 convention.            YF= "
        << yf5(d1,d2) << std::endl;
    
  return 0;
}