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/*
Copyright (C) 2000, 2001, 2002 RiskMap srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it under the
terms of the QuantLib license. You should have received a copy of the
license along with this program; if not, please email ferdinando@ametrano.net
The license is also available online at http://quantlib.org/html/license.html
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.
*/
/*! \file actualactual.cpp
\brief act/act day counters
\fullpath
ql/DayCounters/%actualactual.cpp
*/
// $Id: actualactual.cpp,v 1.14 2002/03/20 09:23:02 nando Exp $
#include <ql/DayCounters/actualactual.hpp>
#include <ql/dataformatters.hpp>
namespace QuantLib {
namespace DayCounters {
Handle<DayCounter::DayCounterImpl>
ActualActual::implementation(ActualActual::Convention c) {
switch (c) {
case ISMA:
case Bond:
return Handle<DayCounterImpl>(new ActActISMAImpl);
case ISDA:
case Historical:
return Handle<DayCounterImpl>(new ActActISDAImpl);
case AFB:
case Euro:
return Handle<DayCounterImpl>(new ActActAFBImpl);
default:
throw Error("Unknown act/act convention");
}
}
Time ActualActual::ActActISMAImpl::yearFraction(
const Date& d1, const Date& d2,
const Date& refPeriodStart, const Date& refPeriodEnd) const {
QL_REQUIRE(d1<=d2,
"invalid dates: start = " + DateFormatter::toString(d1) +
", end = " + DateFormatter::toString(d2));
QL_REQUIRE(refPeriodStart != Date() && refPeriodEnd != Date() &&
refPeriodEnd > refPeriodStart && refPeriodEnd > d1,
"Invalid reference period."
"Date 1: " + DateFormatter::toString(d1) +
" Date 2: " + DateFormatter::toString(d2) +
" Reference period Start: " +
DateFormatter::toString(refPeriodStart) +
", Reference period end: " +
DateFormatter::toString(refPeriodEnd)
);
if (d1 == d2)
return 0.0;
// estimate roughly the length in months of a period
int months = int(0.5+12*double(refPeriodEnd-refPeriodStart)/365);
QL_REQUIRE(months != 0,
"number of months does not divide 12 exactly");
double period = double(months)/12.0;
if (d2 <= refPeriodEnd) {
// here refPeriodEnd is a future (notional?) payment date
if (d1 >= 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*double(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
Date previousRef = refPeriodStart.plusMonths(-months);
if (d2 > refPeriodStart)
return yearFraction(d1, refPeriodStart, previousRef,
refPeriodStart) +
yearFraction(refPeriodStart, d2, refPeriodStart,
refPeriodEnd);
else
return yearFraction(d1,d2,previousRef,refPeriodStart);
}
} else {
// here refPeriodEnd is the last (notional?) payment date
// d1 < refPeriodEnd < d2 AND refPeriodStart < refPeriodEnd
QL_REQUIRE(refPeriodStart<=d1,
"invalid dates: "
"d1 < refPeriodStart < refPeriodEnd < d2");
// 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.plusMonths(months*i);
newRefEnd = refPeriodEnd.plusMonths(months*(i+1));
if (d2 < newRefEnd) {
break;
} else {
sum += period;
i++;
}
} while (true);
sum += yearFraction(newRefStart,d2,newRefStart,newRefEnd);
return sum;
}
}
Time ActualActual::ActActISDAImpl::yearFraction(
const Date& d1, const Date& d2, const Date&, const Date&) const {
QL_REQUIRE(d2>=d1, "Invalid reference period");
if (d1 == d2)
return 0.0;
int y1 = d1.year(), y2 = d2.year();
double dib1 = (Date::isLeap(y1) ? 366.0 : 365.0),
dib2 = (Date::isLeap(y2) ? 366.0 : 365.0);
double sum = y2 - y1 - 1;
sum += dayCount(d1, Date(1,(Month)1,y1+1))/dib1;
sum += dayCount(Date(1,(Month)1,y2),d2)/dib2;
return sum;
}
Time ActualActual::ActActAFBImpl::yearFraction(
const Date& d1, const Date& d2, const Date&, const Date&) const {
QL_REQUIRE(d1<=d2, "Invalid reference period");
if (d1 == d2)
return 0.0;
Date newD2=d2, temp=d2;
Time sum = 0.0;
while (temp > d1) {
temp = newD2.plusYears(-1);
if (temp.dayOfMonth()==28 && temp.month()==2
&& Date::isLeap(temp.year())) {
temp.plusDays(1);
}
if (temp>=d1) {
sum += 1.0;
newD2 = temp;
}
}
double den = 365.0;
if (Date::isLeap(newD2.year())) {
temp = Date(29, (Month)2, newD2.year());
if (newD2>temp && d1<=temp)
den += 1.0;
} else if (Date::isLeap(d1.year())) {
temp = Date(29, (Month)2, d1.year());
if (newD2>temp && d1<=temp)
den += 1.0;
}
return sum+dayCount(d1, newD2)/den;
}
}
}
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