/*
* jFin, open source derivatives trade processing
*
* Copyright (C) 2005, 2006, 2007 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 org.jfin.date.daycount.defaultimpl;
import java.util.Calendar;
import java.util.logging.Logger;
import org.jfin.date.daycount.DaycountCalculator;
import org.jfin.date.daycount.DaycountException;
/**
* Based upon the implementation from QuantLib http://www.quantlib.org/
*
* If startCalendar and endCalendar are equal dates, returns zero.
*/
public class AFBActualActual extends DaycountCalculator
{
private static Logger logger = Logger
.getLogger("org.jfin.date.daycount.defaultimpl.AFBActualActual");
public double calculateDaycountFraction(Calendar startCalendar,
Calendar endCalendar) throws DaycountException
{
if (startCalendar.after(endCalendar))
{
logger.fine("Dates are wrong way round so swap over");
Calendar holdCalendar = startCalendar;
startCalendar = endCalendar;
endCalendar = holdCalendar;
}
if (startCalendar.equals(endCalendar))
{
logger.fine("Dates are the same so return zero");
return 0.0d;
}
Calendar newD2 = endCalendar;
Calendar temp = (Calendar) endCalendar.clone();
double sum = 0.0;
while (temp.after(startCalendar))
{
temp = (Calendar) newD2.clone();
temp.add(Calendar.YEAR, -1);
if (temp.get(Calendar.DAY_OF_MONTH) == 28
&& temp.get(Calendar.MONTH) == Calendar.FEBRUARY
&& temp.getActualMaximum(Calendar.DAY_OF_YEAR) == 366)
{
temp.add(Calendar.DAY_OF_YEAR, 1);
}
if (temp.after(startCalendar) || temp.equals(startCalendar))
{
sum += 1.0;
newD2 = temp;
}
}
double den = 365.0;
if (newD2.getActualMaximum(Calendar.DAY_OF_YEAR) == 366)
{
temp = (Calendar) newD2.clone();
temp.set(Calendar.MONTH, Calendar.FEBRUARY);
temp.set(Calendar.DAY_OF_MONTH, 29);
if (newD2.after(temp)
&& ( startCalendar.before(temp) || startCalendar
.equals(temp) ))
den += 1.0;
} else if (startCalendar.getActualMaximum(Calendar.DAY_OF_YEAR) == 366)
{
temp = (Calendar) startCalendar.clone();
temp.set(Calendar.MONTH, Calendar.FEBRUARY);
temp.set(Calendar.DAY_OF_MONTH, 29);
if (newD2.after(temp)
&& ( startCalendar.before(temp) || startCalendar
.equals(temp) ))
den += 1.0;
}
return sum + daysBetween(startCalendar, newD2) / den;
}
@Override
public double calculateDaycountFraction(Calendar startCalendar,
Calendar endCalendar, Calendar periodStartCalendar,
Calendar periodEndCalendar) throws DaycountException
{
return calculateDaycountFraction(startCalendar, endCalendar);
}
}
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