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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 Piter Dias
Copyright (C) 2011 StatPro Italia 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
<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/business252.hpp>
#include <map>
namespace QuantLib {
namespace {
typedef std::map<Year, std::map<Month, Date::serial_type> > Cache;
typedef std::map<Year, Date::serial_type> OuterCache;
std::map<std::string, Cache> monthlyFigures_;
std::map<std::string, OuterCache> yearlyFigures_;
bool sameYear(const Date& d1, const Date& d2) {
return d1.year() == d2.year();
}
bool sameMonth(const Date& d1, const Date& d2) {
return d1.year() == d2.year() && d1.month() == d2.month();
}
Date::serial_type businessDays(Cache& cache,
const Calendar& calendar,
Month month, Year year) {
if (cache[year][month] == 0) {
// calculate and store.
Date d1 = Date(1,month,year);
Date d2 = d1 + 1*Months;
cache[year][month] = calendar.businessDaysBetween(d1, d2);
}
return cache[year][month];
}
Date::serial_type businessDays(OuterCache& outerCache,
Cache& cache,
const Calendar& calendar,
Year year) {
if (outerCache[year] == 0) {
// calculate and store.
Date::serial_type total = 0;
for (Integer i=1; i<=12; ++i) {
total += businessDays(cache,calendar,
Month(i), year);
}
outerCache[year] = total;
}
return outerCache[year];
}
}
std::string Business252::Impl::name() const {
std::ostringstream out;
out << "Business/252(" << calendar_.name() << ")";
return out.str();
}
Date::serial_type Business252::Impl::dayCount(const Date& d1,
const Date& d2) const {
if (sameMonth(d1,d2) || d1 >= d2) {
// we treat the case of d1 > d2 here, since we'd need a
// second cache to get it right (our cached figures are
// for first included, last excluded and might have to be
// changed going the other way.)
return calendar_.businessDaysBetween(d1, d2);
} else if (sameYear(d1,d2)) {
Cache& cache = monthlyFigures_[calendar_.name()];
Date::serial_type total = 0;
Date d;
// first, we get to the beginning of next month.
d = Date(1,d1.month(),d1.year()) + 1*Months;
total += calendar_.businessDaysBetween(d1, d);
// then, we add any whole months (whose figures might be
// cached already) in the middle of our period.
while (!sameMonth(d,d2)) {
total += businessDays(cache, calendar_,
d.month(), d.year());
d += 1*Months;
}
// finally, we get to the end of the period.
total += calendar_.businessDaysBetween(d, d2);
return total;
} else {
Cache& cache = monthlyFigures_[calendar_.name()];
OuterCache& outerCache = yearlyFigures_[calendar_.name()];
Date::serial_type total = 0;
Date d;
// first, we get to the beginning of next year.
// The first bit gets us to the end of this month...
d = Date(1,d1.month(),d1.year()) + 1*Months;
total += calendar_.businessDaysBetween(d1, d);
// ...then we add any remaining months, possibly cached
for (Integer m = Integer(d1.month())+1; m <= 12; ++m) {
total += businessDays(cache, calendar_,
Month(m), d.year());
}
// then, we add any whole year in the middle of our period.
d = Date(1,January,d1.year()+1);
while (!sameYear(d,d2)) {
total += businessDays(outerCache, cache,
calendar_, d.year());
d += 1*Years;
}
// finally, we get to the end of the period.
// First, we add whole months...
for (Integer m = 1; m<Integer(d2.month()); ++m) {
total += businessDays(cache, calendar_,
Month(m), d2.year());
}
// ...then the last bit.
d = Date(1,d2.month(),d2.year());
total += calendar_.businessDaysBetween(d, d2);
return total;
}
}
Time Business252::Impl::yearFraction(const Date& d1,
const Date& d2,
const Date&,
const Date&) const {
return dayCount(d1, d2)/252.0;
}
}
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