5.26 get_basis

Function File: [basis ] = get_basis(dcc_string)

Map the basis for value according to a day count convention string. In order to introduce new day count conventions, add the basis to the cell and include the calculation method for the day count convention into the function timefactor().

The following mapping will be done for the input strings:

• basis: day-count basis (scalar)
  • 0 = actual/actual or act/act (1/1 mapped to act/act)
  • 1 = 30/360 SIA
  • 2 = act/360 or actual/360 or actual/360 Full
  • 3 = act/365 or actual/365 or actual/365 Full
  • 4 = 30/360 PSA
  • 5 = 30/360 ISDA
  • 6 = 30/360 European
  • 7 = act/365 Japanese
  • 8 = act/act ISMA
  • 9 = act/360 ISMA
  • 10 = act/365 ISMA
  • 11 = 30/360E
  • 13 = 30/360 or 30/360 German
  • 14 = business/252
  • 15 = act/364

See also: timefactor.