/*
 * 

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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