/*
* 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.ArrayList;
import java.util.Calendar;
import java.util.List;
import java.util.logging.Logger;
import org.jfin.date.Period;
import org.jfin.date.ScheduleGenerator;
import org.jfin.date.daycount.DaycountCalculator;
import org.jfin.date.daycount.DaycountException;
import org.jfin.date.util.ISDADateFormat;
/**
* Based upon the implementation from QuantLib http://www.quantlib.org/
*
* If startCalendar and endCalendar are equal dates, returns zero.
*/
public class ISDAActualActual extends DaycountCalculator
{
private static Logger logger = Logger
.getLogger("org.jfin.date.daycount.defaultimpl.ISDAActualActual");
/**
* Calculates the ISDA Actual actual day count fraction
* between two dates.
*/
public double calculateDaycountFraction(Calendar startCalendar,
Calendar endCalendar) throws DaycountException
{
logger.finer("Calculating daycount fraction for "
+ ISDADateFormat.format(startCalendar) + " - "
+ ISDADateFormat.format(endCalendar));
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 0.0;
}
double fraction = 0;
List subPeriods = getPeriods(startCalendar,endCalendar);
int[] numerators = getNumerators(subPeriods);
int[] denominators = getDenominators(subPeriods);
for(int i=0;i getPeriods(Calendar startCalendar, Calendar endCalendar) {
Calendar hold = ScheduleGenerator.copyAndReset(startCalendar);
Calendar end = ScheduleGenerator.copyAndReset(endCalendar);
List periods = new ArrayList();
while(hold.get(Calendar.YEAR) 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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