Add a couple of rarely used day count conventions.

QuantLib.vcxproj

@@ -1784,13 +1784,15 @@
     <ClInclude Include="ql\time\dategenerationrule.hpp" />
     <ClInclude Include="ql\time\daycounter.hpp" />
     <ClInclude Include="ql\time\daycounters\actual360.hpp" />
+    <ClInclude Include="ql\time\daycounters\actual364.hpp" />
     <ClInclude Include="ql\time\daycounters\actual365fixed.hpp" />
     <ClInclude Include="ql\time\daycounters\actualactual.hpp" />
     <ClInclude Include="ql\time\daycounters\all.hpp" />
     <ClInclude Include="ql\time\daycounters\business252.hpp" />
     <ClInclude Include="ql\time\daycounters\one.hpp" />
     <ClInclude Include="ql\time\daycounters\simpledaycounter.hpp" />
     <ClInclude Include="ql\time\daycounters\thirty360.hpp" />
+    <ClInclude Include="ql\time\daycounters\thirty365.hpp" />
     <ClInclude Include="ql\time\ecb.hpp" />
     <ClInclude Include="ql\time\frequency.hpp" />
     <ClInclude Include="ql\time\imm.hpp" />
@@ -2726,6 +2728,7 @@
     <ClCompile Include="ql\time\daycounters\business252.cpp" />
     <ClCompile Include="ql\time\daycounters\simpledaycounter.cpp" />
     <ClCompile Include="ql\time\daycounters\thirty360.cpp" />
+    <ClCompile Include="ql\time\daycounters\thirty365.cpp" />
     <ClCompile Include="ql\time\ecb.cpp" />
     <ClCompile Include="ql\time\frequency.cpp" />
     <ClCompile Include="ql\time\imm.cpp" />

QuantLib.vcxproj.filters

@@ -2823,6 +2823,9 @@
     <ClInclude Include="ql\time\daycounters\actual360.hpp">
       <Filter>time\daycounters</Filter>
     </ClInclude>
+    <ClInclude Include="ql\time\daycounters\actual364.hpp">
+      <Filter>time\daycounters</Filter>
+    </ClInclude>
     <ClInclude Include="ql\time\daycounters\actual365fixed.hpp">
       <Filter>time\daycounters</Filter>
     </ClInclude>
@@ -2844,6 +2847,9 @@
     <ClInclude Include="ql\time\daycounters\thirty360.hpp">
       <Filter>time\daycounters</Filter>
     </ClInclude>
+    <ClInclude Include="ql\time\daycounters\thirty365.hpp">
+      <Filter>time\daycounters</Filter>
+    </ClInclude>
     <ClInclude Include="ql\legacy\all.hpp">
       <Filter>legacy</Filter>
     </ClInclude>
@@ -5898,6 +5904,9 @@
     <ClCompile Include="ql\time\daycounters\thirty360.cpp">
       <Filter>time\daycounters</Filter>
     </ClCompile>
+    <ClCompile Include="ql\time\daycounters\thirty365.cpp">
+      <Filter>time\daycounters</Filter>
+    </ClCompile>
     <ClCompile Include="ql\legacy\libormarketmodels\lfmcovarparam.cpp">
       <Filter>legacy\libormarketmodels</Filter>
     </ClCompile>

ql/CMakeLists.txt

@@ -889,6 +889,7 @@ set(QuantLib_SRC
     time/daycounters/business252.cpp
     time/daycounters/simpledaycounter.cpp
     time/daycounters/thirty360.cpp
+    time/daycounters/thirty365.cpp
     time/ecb.cpp
     time/frequency.cpp
     time/imm.cpp
@@ -2230,13 +2231,15 @@ set(QuantLib_HDR
     time/dategenerationrule.hpp
     time/daycounter.hpp
     time/daycounters/actual360.hpp
+    time/daycounters/actual364.hpp
     time/daycounters/actual365fixed.hpp
     time/daycounters/actualactual.hpp
     time/daycounters/all.hpp
     time/daycounters/business252.hpp
     time/daycounters/one.hpp
     time/daycounters/simpledaycounter.hpp
     time/daycounters/thirty360.hpp
+    time/daycounters/thirty365.hpp
     time/ecb.hpp
     time/frequency.hpp
     time/imm.hpp

ql/time/daycounters/Makefile.am

@@ -5,19 +5,22 @@ this_includedir=${includedir}/${subdir}
 this_include_HEADERS = \
 	all.hpp \
 	actual360.hpp \
+	actual364.hpp \
 	actual365fixed.hpp \
 	actualactual.hpp \
 	business252.hpp \
 	one.hpp \
 	simpledaycounter.hpp \
-	thirty360.hpp
+	thirty360.hpp \
+	thirty365.hpp
 
 cpp_files = \
     actual365fixed.cpp \
     actualactual.cpp \
     business252.cpp \
 	simpledaycounter.cpp \
-    thirty360.cpp
+    thirty360.cpp \
+    thirty365.cpp
 
 if UNITY_BUILD
 

ql/time/daycounters/actual364.hpp

@@ -0,0 +1,52 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2014 StatPro Italia 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/license.shtml>.
+
+ 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 actual364.hpp
+    \brief Actual/364 day counter
+*/
+
+#ifndef quantlib_actual364_day_counter_hpp
+#define quantlib_actual364_day_counter_hpp
+
+#include <ql/time/daycounter.hpp>
+
+namespace QuantLib {
+
+    //! Actual/364 day count convention
+    /*! \ingroup daycounters */
+    class Actual364 : public DayCounter {
+      private:
+        class Impl : public DayCounter::Impl {
+          public:
+            std::string name() const { return std::string("Actual/364"); }
+            Time yearFraction(const Date& d1,
+                              const Date& d2,
+                              const Date&,
+                              const Date&) const {
+                return dayCount(d1,d2)/364.0;
+            }
+        };
+      public:
+        Actual364()
+        : DayCounter(ext::shared_ptr<DayCounter::Impl>(new Actual364::Impl)) {}
+    };
+
+}
+
+#endif

ql/time/daycounters/all.hpp

@@ -2,10 +2,12 @@
 /* Add the files to be included into Makefile.am instead. */
 
 #include <ql/time/daycounters/actual360.hpp>
+#include <ql/time/daycounters/actual364.hpp>
 #include <ql/time/daycounters/actual365fixed.hpp>
 #include <ql/time/daycounters/actualactual.hpp>
 #include <ql/time/daycounters/business252.hpp>
 #include <ql/time/daycounters/one.hpp>
 #include <ql/time/daycounters/simpledaycounter.hpp>
 #include <ql/time/daycounters/thirty360.hpp>
+#include <ql/time/daycounters/thirty365.hpp>
 

ql/time/daycounters/thirty365.cpp

@@ -0,0 +1,36 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2015 StatPro Italia 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/license.shtml>.
+
+ 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.
+*/
+
+#include <ql/time/daycounters/thirty365.hpp>
+
+namespace QuantLib {
+
+    Date::serial_type Thirty365::Impl::dayCount(const Date& d1,
+                                                const Date& d2) const {
+        Day dd1 = d1.dayOfMonth(), dd2 = d2.dayOfMonth();
+        Integer mm1 = d1.month(), mm2 = d2.month();
+        Year yy1 = d1.year(), yy2 = d2.year();
+
+        return 360*(yy2-yy1) + 30*(mm2-mm1) + (dd2-dd1);
+    }
+
+    Thirty365::Thirty365()
+    : DayCounter(ext::shared_ptr<DayCounter::Impl>(new Thirty365::Impl)) {}
+
+}

ql/time/daycounters/thirty365.hpp

@@ -0,0 +1,52 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2015 StatPro Italia 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/license.shtml>.
+
+ 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 thirty365.hpp
+    \brief 30/365 day counters
+*/
+
+#ifndef quantlib_thirty_365_day_counter_hpp
+#define quantlib_thirty_365_day_counter_hpp
+
+#include <ql/time/daycounter.hpp>
+
+namespace QuantLib {
+
+    //! 30/365 day count convention
+    /*! \ingroup daycounters */
+    class Thirty365 : public DayCounter {
+      private:
+        class Impl : public DayCounter::Impl {
+          public:
+            std::string name() const { return std::string("30/365"); }
+            Date::serial_type 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)/365.0; }
+        };
+      public:
+        Thirty365();
+    };
+
+}
+
+#endif

test-suite/daycounters.cpp

@@ -30,6 +30,7 @@
 #include <ql/time/daycounters/simpledaycounter.hpp>
 #include <ql/time/daycounters/business252.hpp>
 #include <ql/time/daycounters/thirty360.hpp>
+#include <ql/time/daycounters/thirty365.hpp>
 #include <ql/time/calendars/brazil.hpp>
 #include <ql/time/calendars/canada.hpp>
 #include <ql/time/calendars/unitedstates.hpp>
@@ -640,6 +641,30 @@ void DayCounterTest::testBusiness252() {
     }
 }
 
+void DayCounterTest::testThirty365() {
+
+    BOOST_TEST_MESSAGE("Testing 30/365 day counter...");
+
+    Date d1(17,June,2011), d2(30,December,2012);
+    DayCounter dayCounter = Thirty365();
+
+    BigInteger days = dayCounter.dayCount(d1,d2);
+    if (days != 553) {
+        BOOST_FAIL("from " << d1 << " to " << d2 << ":\n"
+                   << "    calculated: " << days << "\n"
+                   << "    expected:   " << 553);
+    }
+
+    Time t = dayCounter.yearFraction(d1,d2);
+    Time expected = 553/365.0;
+    if (std::fabs(t-expected) > 1.0e-12) {
+        BOOST_FAIL("from " << d1 << " to " << d2 << ":\n"
+                   << std::setprecision(12)
+                   << "    calculated: " << t << "\n"
+                   << "    expected:   " << expected);
+    }
+}
+
 void DayCounterTest::testThirty360_BondBasis() {
 
     BOOST_TEST_MESSAGE("Testing thirty/360 day counter (Bond Basis)...");
@@ -866,6 +891,7 @@ test_suite* DayCounterTest::suite() {
     suite->add(QUANTLIB_TEST_CASE(&DayCounterTest::testSimple));
     suite->add(QUANTLIB_TEST_CASE(&DayCounterTest::testOne));
     suite->add(QUANTLIB_TEST_CASE(&DayCounterTest::testBusiness252));
+    suite->add(QUANTLIB_TEST_CASE(&DayCounterTest::testThirty365));
     suite->add(QUANTLIB_TEST_CASE(&DayCounterTest::testThirty360_BondBasis));
     suite->add(QUANTLIB_TEST_CASE(&DayCounterTest::testThirty360_EurobondBasis));
     suite->add(QUANTLIB_TEST_CASE(&DayCounterTest::testThirty360_German));

test-suite/daycounters.hpp

@@ -34,6 +34,7 @@ class DayCounterTest {
     static void testSimple();
     static void testOne();
     static void testBusiness252();
+    static void testThirty365();
     static void testThirty360_BondBasis();
     static void testThirty360_EurobondBasis();
     static void testThirty360_German();