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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2013 BGC Partners L.P.
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
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
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.
*/
#include <ql/time/daycounters/actual365fixed.hpp>
namespace QuantLib {
ext::shared_ptr<DayCounter::Impl>
Actual365Fixed::implementation(Actual365Fixed::Convention c) {
switch (c) {
case Standard:
return ext::shared_ptr<DayCounter::Impl>(new Impl);
case Canadian:
return ext::shared_ptr<DayCounter::Impl>(new CA_Impl);
case NoLeap:
return ext::shared_ptr<DayCounter::Impl>(new NL_Impl);
default:
QL_FAIL("unknown Actual/365 (Fixed) convention");
}
}
Time Actual365Fixed::CA_Impl::yearFraction(const Date& d1,
const Date& d2,
const Date& refPeriodStart,
const Date& refPeriodEnd) const {
if (d1 == d2)
return 0.0;
// We need the period to calculate the frequency
QL_REQUIRE(refPeriodStart != Date(), "invalid refPeriodStart");
QL_REQUIRE(refPeriodEnd != Date(), "invalid refPeriodEnd");
Time dcs = daysBetween(d1,d2);
Time dcc = daysBetween(refPeriodStart,refPeriodEnd);
Integer months = Integer(0.5+12*dcc/365);
QL_REQUIRE(months != 0,
"invalid reference period for Act/365 Canadian; "
"must be longer than a month");
Integer frequency = Integer(12/months);
if (dcs < Integer(365/frequency))
return dcs/365.0;
return 1./frequency - (dcc-dcs)/365.0;
}
Date::serial_type Actual365Fixed::NL_Impl::dayCount(const Date& d1,
const Date& d2) const {
static const Integer MonthOffset[] = {
0, 31, 59, 90, 120, 151, // Jan - Jun
181, 212, 243, 273, 304, 334 // Jun - Dec
};
Date::serial_type s1 = d1.dayOfMonth()
+ MonthOffset[d1.month()-1] + (d1.year() * 365);
Date::serial_type s2 = d2.dayOfMonth()
+ MonthOffset[d2.month()-1] + (d2.year() * 365);
if (d1.month() == Feb && d1.dayOfMonth() == 29) {
--s1;
}
if (d2.month() == Feb && d2.dayOfMonth() == 29) {
--s2;
}
return s2 - s1;
}
Time Actual365Fixed::NL_Impl::yearFraction(const Date& d1,
const Date& d2,
const Date& d3,
const Date& d4) const {
return dayCount(d1, d2)/365.0;
}
}
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