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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 scheduler.cpp
\brief date scheduler
\fullpath
ql/%scheduler.cpp
*/
// $Id: scheduler.cpp,v 1.8 2002/01/16 14:43:48 nando Exp $
#include <ql/scheduler.hpp>
#include <ql/dataformatters.hpp>
namespace QuantLib {
Scheduler::Scheduler(const Calendar& calendar,
const Date& startDate, const Date& endDate, int frequency,
RollingConvention rollingConvention, bool isAdjusted,
const Date& stubDate)
: calendar_(calendar), startDate_(startDate), endDate_(endDate),
frequency_(frequency), rollingConvention_(rollingConvention),
isAdjusted_(isAdjusted), stubDate_(stubDate), lastIsRegular_(true) {
// sanity checks
QL_REQUIRE(startDate_ != Date(), "null start date");
QL_REQUIRE(endDate_ != Date(), "null end date");
QL_REQUIRE(startDate_ < endDate_,
"start date (" +
DateFormatter::toString(startDate_) +
") later than end date (" +
DateFormatter::toString(endDate_) +
")");
if (stubDate_ != Date()) {
QL_REQUIRE(stubDate_ > startDate_,
"stub date (" +
DateFormatter::toString(stubDate_) +
") later than start date (" +
DateFormatter::toString(startDate_) + ")");
QL_REQUIRE(!calendar_.isHoliday(stubDate_) ||
!isEndOfMonth(stubDate_),
"stub date (" +
DateFormatter::toString(stubDate_) +
") is holiday and end of month for " +
calendar_.name() + " calendar");
} else {
QL_REQUIRE(!calendar_.isHoliday(startDate_) ||
!isEndOfMonth(startDate_),
"start date (" +
DateFormatter::toString(startDate_) +
") is holiday and end of month for " +
calendar_.name() + " calendar");
}
QL_REQUIRE(12%frequency_ == 0,
"frequency (" +
IntegerFormatter::toString(frequency_) +
" per year) does not correspond to a whole number of months");
// calculations
Date seed = startDate_;
Date last = (isAdjusted_ ?
calendar_.roll(endDate_,rollingConvention_) :
endDate_);
// add start date
dates_.push_back(startDate_);
// add stub date if given
if (stubDate_ != Date()) {
seed = stubDate_;
dates_.push_back(isAdjusted_ ?
calendar_.roll(stubDate_) :
stubDate_);
}
// add subsequent dates
int periods = 1, months = 12/frequency_;
while (true) {
Date temp = seed.plus(periods*months,Months);
if (isAdjusted_)
temp = calendar_.roll(temp,rollingConvention_);
dates_.push_back(temp);
// check exit condition
if (temp >= last)
break;
else
periods++;
}
// possibly correct last inserted date
if (dates_.back() > last) {
dates_.back() = last;
lastIsRegular_ = false;
}
// possibly collapse last two dates
int N = dates_.size();
if (calendar_.roll(dates_[N-2],rollingConvention_) ==
calendar_.roll(dates_[N-1],rollingConvention_)) {
dates_[N-2] = dates_[N-1];
dates_.pop_back();
lastIsRegular_ = true;
}
// done
}
bool Scheduler::isRegular(Size i) const {
if (i == 1)
return (stubDate_ == Date());
else if (i == size()-1)
return lastIsRegular_;
else
return true;
}
bool Scheduler::isEndOfMonth(const Date& d) const {
return (d.month() != calendar_.roll(d+1).month());
}
}
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