/*
Copyright (C) 2008 Srinivas Hasti
This source code is release under the BSD License.
This file is part of JQuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://jquantlib.org/
JQuantLib is free software: you can redistribute it and/or modify it
under the terms of the JQuantLib license. You should have received a
copy of the license along with this program; if not, please email
. The license is also available online at
.
This program 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 license for more details.
JQuantLib is based on QuantLib. http://quantlib.org/
When applicable, the original copyright notice follows this notice.
*/
package org.jquantlib.daycounters;
import org.jquantlib.QL;
import org.jquantlib.lang.annotation.QualityAssurance;
import org.jquantlib.lang.annotation.QualityAssurance.Quality;
import org.jquantlib.lang.annotation.QualityAssurance.Version;
import org.jquantlib.lang.exceptions.LibraryException;
import org.jquantlib.time.Date;
import org.jquantlib.time.Month;
import org.jquantlib.time.Period;
import org.jquantlib.time.TimeUnit;
/**
* Implementation of ActualActual day counters.
*
* @see Day count convention
*
* @author Srinivas Hasti
* @author Richard Gomes
*
*/
@QualityAssurance(quality=Quality.Q4_UNIT, version=Version.V097, reviewers="Richard Gomes")
public class ActualActual extends DayCounter {
//
// public enums
//
/**
* Actual/Actual Calendar Conventions
*/
public static enum Convention {
ISMA, Bond,
ISDA, Historical, Actual365,
AFB, Euro
}
//
// public constructors
//
public ActualActual() {
this(Convention.ISDA);
}
public ActualActual(final ActualActual.Convention c) {
switch (c) {
case ISMA:
case Bond:
super.impl = new ImplISMA();
break;
case ISDA:
case Historical:
case Actual365:
super.impl = new ImplISDA();
break;
case AFB:
case Euro:
super.impl = new ImplAFB();
break;
default:
throw new LibraryException("unknown act/act convention"); // TODO: message
}
}
//
// inner classes
//
final private class ImplISMA extends DayCounter.Impl {
@Override
public final String name() /* @ReadOnly */{
return "Actual/Actual (ISMA)";
}
@Override
public final double yearFraction(
final Date d1, final Date d2,
final Date d3, final Date d4) /* @ReadOnly */{
if (d1.equals(d2))
return 0.0;
if (d1.gt(d2))
return -yearFraction(d2, d1, d3, d4);
// when the reference period is not specified, try taking
// it equal to (d1,d2)
Date refPeriodStart = (!d3.isNull() ? d3 : d1);
Date refPeriodEnd = (!d4.isNull() ? d4 : d2);
QL.ensure(refPeriodEnd.gt(refPeriodStart) && refPeriodEnd.gt(d1) , "invalid reference period"); // TODO: message
// estimate roughly the length in months of a period
int months = (int) (0.5 + 12 * (refPeriodEnd.sub(refPeriodStart)) / 365.0);
// for short periods...
if (months == 0) {
// ...take the reference period as 1 year from d1
refPeriodStart = d1;
refPeriodEnd = d1.add(Period.ONE_YEAR_FORWARD);
months = 12;
}
final double period = months / 12.0;
if (d2.le(refPeriodEnd)) {
// here refPeriodEnd is a future (notional?) payment date
if (d1.ge(refPeriodStart))
// here refPeriodStart is the last (maybe notional)
// payment date.
// refPeriodStart <= d1 <= d2 <= refPeriodEnd
// [maybe the equality should be enforced, since
// refPeriodStart < d1 <= d2 < refPeriodEnd
// could give wrong results] ???
return period * dayCount(d1, d2)
/ dayCount(refPeriodStart, refPeriodEnd);
else {
// here refPeriodStart is the next (maybe notional)
// payment date and refPeriodEnd is the second next
// (maybe notional) payment date.
// d1 < refPeriodStart < refPeriodEnd
// AND d2 <= refPeriodEnd
// this case is long first coupon
// the last notional payment date
final Date previousRef = refPeriodStart.add(new Period(
-months, TimeUnit.Months));
if (d2.gt(refPeriodStart))
return yearFraction(d1, refPeriodStart, previousRef,
refPeriodStart)
+ yearFraction(refPeriodStart, d2,
refPeriodStart, refPeriodEnd);
else
return yearFraction(d1, d2, previousRef,
refPeriodStart);
}
} else {
// TODO: code review :: please verify against QL/C++ code
// here refPeriodEnd is the last notional payment date
// d1 < refPeriodEnd < d2 AND refPeriodStart < refPeriodEnd
QL.require(refPeriodStart.le(d1) , "invalid dates"); // TODO: message
// now it is: refPeriodStart <= d1 < refPeriodEnd < d2
// the part from d1 to refPeriodEnd
double sum = yearFraction(d1, refPeriodEnd, refPeriodStart, refPeriodEnd);
// the part from refPeriodEnd to d2
// count how many regular periods are in [refPeriodEnd, d2],
// then add the remaining time
int i = 0;
Date newRefStart, newRefEnd;
do {
newRefStart = refPeriodEnd.add(new Period(months * i, TimeUnit.Months));
newRefEnd = refPeriodEnd.add(new Period(months * (i + 1), TimeUnit.Months));
if (d2.lt(newRefEnd))
break;
else {
sum += period;
i++;
}
} while (true);
sum += yearFraction(newRefStart, d2, newRefStart, newRefEnd);
return sum;
}
}
}
final private class ImplISDA extends DayCounter.Impl {
@Override
public final String name() /* @ReadOnly */{
return "Actual/Actual (ISDA)";
}
@Override
public final double yearFraction(
final Date dateStart, final Date dateEnd,
final Date refPeriodStart, final Date refPeriodEnd) /* @ReadOnly */{
if (dateStart.equals(dateEnd))
return 0.0;
if (dateStart.gt(dateEnd))
return -yearFraction(dateEnd, dateStart, new Date(), new Date());
final int y1 = dateStart.year();
final int y2 = dateEnd.year();
final double dib1 = Date.isLeap(dateStart.year()) ? 366.0 : 365.0;
final double dib2 = Date.isLeap(dateEnd.year()) ? 366.0 : 365.0;
double sum = y2 - y1 - 1;
// Days from start to starting of following year
sum += (dib1 - dateStart.dayOfYear() + 1) / dib1;
// Days from beginning of year to the endDate
sum += (dateEnd.dayOfYear() - 1) / dib2;
return sum;
}
}
final private class ImplAFB extends DayCounter.Impl {
@Override
public final String name() /* @ReadOnly */ {
return "Actual/Actual (AFB)";
}
@Override
public final double yearFraction(
final Date dateStart, final Date dateEnd,
final Date refPeriodStart, final Date refPeriodEnd) /* @ReadOnly */{
if (dateStart.equals(dateEnd))
return 0.0;
if (dateStart.gt(dateEnd))
return -1.0 * yearFraction(dateEnd, dateStart, new Date(), new Date());
Date newD2 = dateEnd;
Date temp = dateEnd;
double sum = 0.0;
while (temp.gt(dateStart)) {
temp = newD2.add(Period.ONE_YEAR_BACKWARD);
if (temp.dayOfMonth() == 28 && temp.month().value() == 2 && Date.isLeap(temp.year()))
temp.inc();
if (temp.ge(dateStart)) {
sum += 1.0;
newD2 = temp;
}
}
double den = 365.0;
if (Date.isLeap(newD2.year())) {
if (newD2.gt(new Date(29, Month.February, newD2.year())) &&
dateStart.le(new Date(29, Month.February, newD2.year())))
den += 1.0;
} else if (Date.isLeap(dateStart.year()))
if (newD2.gt(new Date(29, Month.February, dateStart.year())) &&
dateStart.le(new Date(29, Month.February, dateStart.year())))
den += 1.0;
return sum + dayCount(dateStart, newD2) / den;
}
}
}
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