Date arithmetic documentation

Java library providing financial date arithmetic; date adjustment, date offset, day count calculation and schedule generation.

The library supports preceding, modified preceding, following and modified following date adjustments.

The default holiday calendar only provides weekends but can be used without configuration. The distribution also includes an implementation of a holiday calendar which uses files from financialcalendar.com in their tri-col format.

The following day count bases have been implemented:

• Actual/360, Actual/365 Fixed, Actual/366
• European, US and Italian 30/360
• ISDA, ISMA and AFB Actual/Actual
• Business/252

You can use the schedule generator to easily create schedules with regular, short first, long first, short last and long last periods.

The aim is for this to become the benchmark implementation of financial date functions. In order to do this we need to assemble test packs from as wide a range of organisations as possible.

If you would like to use jFin Date Arithmetic, now or in the future, the best way of ensuring that jFin will be fit for you is to take the time to assemble a test pack and contribute it to the project so that it can be included in the tests in the build process. Where there are conflicting tests from different organisations we can examine them case by case and refer to the original convention specifications to arbitrate, always with feedback to the contributors.

An example test pack might be a spreadsheet of day count fractions produced by your existing system.

If possible make sure that you have:

• Both long and short periods
• Periods in leap years and non leap years
• Periods before, after and spanning the 29th of February

For more information, or to submit test packs, e-mail david@jfin.org.

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