/*
Copyright (C) 2009 Zahid Hussain
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.time;
import java.util.ArrayList;
import java.util.Iterator;
import java.util.List;
import org.jquantlib.QL;
import org.jquantlib.Settings;
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.calendars.NullCalendar;
/**
* Payment schedule
*
* @author Zahid Hussain
*/
@QualityAssurance(quality=Quality.Q0_UNFINISHED, version=Version.V097, reviewers="Richard Gomes")
public class Schedule {
//
// private final fields
//
private final boolean fullInterface_;
private final Calendar calendar_;
private final BusinessDayConvention convention_;
private final BusinessDayConvention terminationDateConvention_;
private final boolean endOfMonth_;
private final boolean finalIsRegular_;
private final List< Date > dates_;
private final List isRegular_;
//
// private fields
//
private Period tenor_;
private DateGeneration.Rule rule_;
private Date firstDate_;
private Date nextToLastDate_;
//
// public methods
//
public Schedule(final List dates) {
this(dates, new NullCalendar(), BusinessDayConvention.Unadjusted);
}
public Schedule(final List dates, final Calendar calendar) {
this(dates, calendar, BusinessDayConvention.Unadjusted);
}
public Schedule(final List dates, final Calendar calendar, final BusinessDayConvention convention) {
this.dates_ = dates;
this.isRegular_ = new ArrayList(); // TODO: use a data structure backed by primitive types instead
this.calendar_ = calendar;
this.convention_ = convention;
//Default values
this.fullInterface_ = false;
this.tenor_ = new Period();
this.terminationDateConvention_ = convention;
this.rule_ = DateGeneration.Rule.Forward;
this.endOfMonth_ = false;
this.finalIsRegular_ = true;
}
public Schedule(final Date effectiveDate,
final Date terminationDate,
final Period tenor,
final Calendar calendar,
final BusinessDayConvention convention,
final BusinessDayConvention terminationDateConvention,
final DateGeneration.Rule rule,
final boolean endOfMonth) {
this(effectiveDate, terminationDate, tenor, calendar, convention, terminationDateConvention, rule, endOfMonth, new Date(), new Date());
}
public Schedule(final Date effectiveDate,
final Date terminationDate,
final Period tenor,
final Calendar calendar,
BusinessDayConvention convention,
final BusinessDayConvention terminationDateConvention,
final DateGeneration.Rule rule,
final boolean endOfMonth,
final Date firstDate,
final Date nextToLastDate) {
this.dates_ = new ArrayList(); // TODO: use a data structure backed by primitive types instead
this.isRegular_ = new ArrayList(); // TODO: use a data structure backed by primitive types instead
this.fullInterface_ = true;
this.tenor_ = tenor;
this.calendar_ = calendar;
this.convention_ = convention;
this.terminationDateConvention_ = terminationDateConvention;
this.rule_ = rule;
this.endOfMonth_ = endOfMonth;
this.firstDate_ = firstDate;
this.nextToLastDate_ = nextToLastDate;
this.finalIsRegular_ = true;
// sanity checks
QL.require(effectiveDate != null && !effectiveDate.isNull(), "null effective date"); // TODO: message
QL.require(terminationDate != null && !terminationDate.isNull(), "null termination date"); // TODO: message
QL.require(effectiveDate .lt(terminationDate),
"effective date (" + effectiveDate
+ ") later than or equal to termination date ("
+ terminationDate + ")"); // TODO: message
if (tenor.length()==0) {
rule_ = DateGeneration.Rule.Zero;
} else {
QL.require(tenor.length() > 0,
"non positive tenor (" + tenor + ") not allowed"); // TODO: message
}
if ( firstDate != null && !firstDate.isNull() ) {
switch (rule_) {
case Backward:
case Forward:
QL.require(firstDate.gt(effectiveDate) &&
firstDate.lt(terminationDate),
"first date (" + firstDate +
") out of [effective (" + effectiveDate +
"), termination (" + terminationDate +
")] date range"); // TODO: message
break;
case ThirdWednesday:
QL.require(IMM.isIMMdate(firstDate, false),
"first date (" + firstDate +
") is not an IMM date"); // TODO: message
break;
case Zero:
case Twentieth:
case TwentiethIMM:
String errMsg = "first date incompatible with " + rule_ +
" date generation rule";
throw new LibraryException(errMsg); // TODO: message
default:
errMsg = "unknown Rule (" + rule_ + ")";
throw new LibraryException(errMsg); // TODO: message
}
}
if ( nextToLastDate != null && !nextToLastDate.isNull() ) {
switch (rule_) {
case Backward:
case Forward:
QL.require(nextToLastDate.gt(effectiveDate) &&
nextToLastDate.lt(terminationDate),
"next to last date (" + nextToLastDate +
") out of [effective (" + effectiveDate +
"), termination (" + terminationDate +
")] date range"); // TODO: message
break;
case ThirdWednesday:
QL.require(IMM.isIMMdate(nextToLastDate, false),
"first date (" + firstDate +
") is not an IMM date"); // TODO: message
case Zero:
case Twentieth:
case TwentiethIMM:
String errMsg = "next to last date incompatible with " + rule_ +
" date generation rule";
throw new LibraryException(errMsg); // TODO: message
default:
errMsg = "unknown Rule (" + rule_ + ")";
throw new LibraryException(errMsg); // TODO: message
}
}
// calendar needed for endOfMonth adjustment
final Calendar nullCalendar = new NullCalendar();
int periods = 1;
Date seed, exitDate;
switch (rule_) {
case Zero:
tenor_ = new Period(0, TimeUnit.Days);
dates_.add(effectiveDate);
dates_.add(terminationDate);
isRegular_.add(new Boolean(true));
break;
case Backward:
dates_.add(terminationDate);
seed = terminationDate.clone();
if ( nextToLastDate != null && !nextToLastDate.isNull() ) {
dates_.add(0, nextToLastDate);
final Date temp = nullCalendar.advance(seed, tenor_.mul(periods).negative(), convention, endOfMonth);
if (temp.ne(nextToLastDate)) {
isRegular_.add(0, new Boolean(false));
} else {
isRegular_.add(0, new Boolean(true));
}
seed = nextToLastDate.clone();
}
exitDate = effectiveDate.clone();
if ( firstDate != null && !firstDate.isNull() ) {
exitDate = firstDate.clone();
}
while (true) {
final Date temp = nullCalendar.advance(seed, tenor_.mul(periods).negative(), convention, endOfMonth);
if (temp .lt(exitDate)) {
break;
} else {
dates_.add(0, temp);
isRegular_.add(0, new Boolean(true));
++periods;
}
}
if (endOfMonth && calendar.isEndOfMonth(seed)) {
convention = BusinessDayConvention.Preceding;
}
if (calendar.adjust(dates_.get(0),convention).ne(
calendar.adjust(effectiveDate, convention))) {
dates_.add(0, effectiveDate);
isRegular_.add(0, new Boolean(false));
}
break;
case Twentieth:
case TwentiethIMM:
case ThirdWednesday:
QL.require(!endOfMonth,
"endOfMonth convention incompatible with " + rule_ +
" date generation rule"); // TODO: message
// fall through
case Forward:
dates_.add(effectiveDate);
seed = effectiveDate.clone();
if (firstDate != null && !firstDate.isNull() ) {
dates_.add(firstDate);
final Date temp = nullCalendar.advance(seed, tenor_.mul(periods), convention, endOfMonth);
if (temp.ne(firstDate) ) {
isRegular_.add(new Boolean(false));
} else {
isRegular_.add(new Boolean(true));
}
seed = firstDate.clone();
} else if (rule_ == DateGeneration.Rule.Twentieth ||
rule_ == DateGeneration.Rule.TwentiethIMM) {
final Date next20th = nextTwentieth(effectiveDate, rule_);
if (next20th.ne(effectiveDate)) {
dates_.add(next20th);
isRegular_.add(new Boolean(false));
seed = next20th.clone();
}
}
exitDate = terminationDate.clone();
if ( nextToLastDate != null && !nextToLastDate.isNull() ) {
exitDate = nextToLastDate.clone();
}
while (true) {
final Date temp = nullCalendar.advance(seed, tenor_.mul(periods), convention, endOfMonth);
if ( temp.gt(exitDate) ) {
break;
} else {
dates_.add(temp);
isRegular_.add(new Boolean(true));
++periods;
}
}
if (endOfMonth && calendar.isEndOfMonth(seed)) {
convention = BusinessDayConvention.Preceding;
}
if (calendar.adjust(dates_.get(dates_.size()-1),terminationDateConvention).ne(
calendar.adjust(terminationDate, terminationDateConvention)))
if (rule_ == DateGeneration.Rule.Twentieth ||
rule_ == DateGeneration.Rule.TwentiethIMM) {
dates_.add(nextTwentieth(terminationDate, rule_));
isRegular_.add(Boolean.valueOf(true));
} else {
dates_.add(terminationDate);
isRegular_.add(Boolean.valueOf(false));
}
break;
default:
final String errMsg = "unknown Rule (" + rule_ + ")";
throw new LibraryException(errMsg); // TODO: message
}
// adjustments
if (rule_== DateGeneration.Rule.ThirdWednesday) {
for (int i=1; i 0 )
return dates_.get(index-1).clone();
else
return new Date();
}
public Date nextDate(final Date refDate) /* @ReadOnly */ {
final int index = Date.lowerBound(dates_, refDate);
if ( index < dates_.size() )
return dates_.get(index).clone();
else
return new Date();
}
public List dates() /* @ReadOnly */ {
return dates_;
}
public boolean isRegular(final int i) /* @ReadOnly */ {
QL.require(fullInterface_, "full interface not available"); // TODO: message
QL.require(i<=isRegular_.size() && i>0,
"index (" + i + ") must be in [1, " +
isRegular_.size() +"]"); // TODO: message
return isRegular_.get(i-1);
}
// Other inspectors
public boolean empty() /* @ReadOnly */ {
return dates_.isEmpty();
}
public final Calendar calendar() /* @ReadOnly */ {
return calendar_;
}
public final Date startDate() /* @ReadOnly */ {
return dates_.isEmpty() ? null : dates_.get(0);
}
public final Date endDate() /* @ReadOnly */ {
return dates_.isEmpty() ? null : dates_.get(dates_.size()-1);
}
public final Period tenor() /* @ReadOnly */ {
QL.require(fullInterface_, "full interface not available"); // TODO: message
return tenor_;
}
public BusinessDayConvention businessDayConvention() /* @ReadOnly */ {
return convention_;
}
public BusinessDayConvention terminationDateBusinessDayConvention() /* @ReadOnly */ {
QL.require(fullInterface_, "full interface not available"); // TODO: message
return terminationDateConvention_;
}
public DateGeneration.Rule rule() /* @ReadOnly */ {
QL.require(fullInterface_, "full interface not available"); // TODO: message
return rule_;
}
public boolean endOfMonth() /* @ReadOnly */ {
QL.require(fullInterface_, "full interface not available"); // TODO: message
return endOfMonth_;
}
// Iterators
@Deprecated
//FIXME: this method will probably disappear as begin() and end() does not make sense withou pointers
public Iterator begin() /* @ReadOnly */ {
throw new UnsupportedOperationException();
}
@Deprecated
//FIXME: this method will probably disappear as begin() and end() does not make sense withou pointers
public Iterator end() /* @ReadOnly */ {
throw new UnsupportedOperationException();
}
public int lowerBound() /* @ReadOnly */ {
return lowerBound( new Date() );
}
public int lowerBound(final Date refDate) /* @ReadOnly */{
final Date d = (refDate.isNull() ? new Settings().evaluationDate() : refDate);
return Date.lowerBound(dates_, d.clone());
}
//TODO :: operator Schedule() const;
private Date nextTwentieth(final Date d, final DateGeneration.Rule rule) {
final Date result = new Date(20, d.month(), d.year());
if (result.lt(d) ) {
result.addAssign(new Period(1, TimeUnit.Months)); //result +=1*Months
}
if (rule == DateGeneration.Rule.TwentiethIMM) {
final Month m = result.month();
final int mVal = m.value();
if (mVal % 3 != 0) { // not a main IMM nmonth
final int skip = 3 - mVal % 3;
// result += skip*Months;
result.addAssign(new Period(skip, TimeUnit.Months));
}
}
return result;
}
/**
* Standard C++ Library Reference lower_bound Finds the position of the first element in an ordered range that has a value greater than or equivalent to a specified value, where the ordering criterion may be specified by a binary predicate.
*
* @see http://www.sgi.com/tech/stl/lower_bound.html
*/
// FIXME: http://bugs.jquantlib.org/view.php?id=67
private Iterator std_lower_bound(final Date date) {
final List ldates = new ArrayList();
if (dates_.size() > 0) {
int index = -1;
for (int i = 0; i < dates_.size(); i++) {
final Date d = dates_.get(i);
if (d.equals(date)) {
index = i;
break;
}
}
if (index > 0) {
for (int i = index; i < dates_.size(); i++) {
ldates.add(dates_.get(i));
}
return ldates.iterator();
}
}
return ldates.iterator();
}
public Iterator getDatesAfter(final Date date) {
return std_lower_bound(date);
}
}
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