/*
 * 

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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