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finmath / finmath-lib

Mathematical Finance Library: Algorithms and methodologies related to mathematical finance.
Apache License 2.0
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Correcting the 30U/360 day-count calculation in the Java 6 version of… #11

Closed emcleod closed 8 years ago

emcleod commented 8 years ago

… the code.

When the startDateMonth and endDateMonth variables were created, the value they contain was set to the maximum value of the month (e.g. the month value for 2015-01-15 was 31, instead of 1) instead of the day of the month.

cfries commented 8 years ago

Thank you! The bug was introduced when switching to joda time (going from 1.3.x to 2.0.0).

Thx!