/*
* jFin, open source derivatives trade processing
*
* Copyright (C) 2005-2011 Morgan Brown Consultancy Ltd.
*
* This file is part of jFin.
*
* jFin is free software; you can redistribute it and/or modify it under the
* terms of the GNU General Public License as published by the Free Software
* Foundation; either version 2 of the License, or (at your option) any later
* version.
*
* jFin 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 GNU General Public
* License for more details.
*
* You should have received a copy of the GNU General Public License along
* with jFin; if not, write to the Free Software Foundation, Inc., 51 Franklin
* St, Fifth Floor, Boston, MA 02110-1301 USA.
*/
package com.mbc.jfin.daycount.impl.calculator;
import com.mbc.jfin.daycount.impl.DaycountCalculator;
import com.mbc.jfin.holiday.HolidayCalendar;
import com.mbc.jfin.schedule.SchedulePeriod;
import com.mbc.jfin.util.DateUtils;
import org.joda.time.LocalDate;
import java.util.ArrayList;
import java.util.List;
/**
* Created by IntelliJ IDEA.
* User: dmb
* Date: 06/05/2011
* Time: 09:03
*/
public class ISDAActualActualDaycountCalculator implements DaycountCalculator {
public double calculateDaycountFraction(SchedulePeriod period, HolidayCalendar calendar) {
if(period.getStart().equals(period.getEnd())) return 0;
double fraction = 0;
List subPeriods = getPeriods(period);
int[] numerators = getNumerators(subPeriods);
int[] denominators = getDenominators(subPeriods);
for(int i=0;i getPeriods(SchedulePeriod period) {
LocalDate hold = period.getStart();
LocalDate end = period.getEnd();
List periods = new ArrayList();
while(hold.getYear() subPeriods) {
int[] numerators = new int[subPeriods.size()];
for(int i=0;i subPeriods) {
int[] denominators = new int[subPeriods.size()];
for(int i=0;i
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