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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) 2018 Alexey Indiryakov
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/thirty360.hpp>
#include <algorithm>
namespace QuantLib {
ext::shared_ptr<DayCounter::Impl>
Thirty360::implementation(Thirty360::Convention c, bool isLastPeriod) {
switch (c) {
case USA:
case BondBasis:
return ext::shared_ptr<DayCounter::Impl>(new US_Impl);
case European:
case EurobondBasis:
return ext::shared_ptr<DayCounter::Impl>(new EU_Impl);
case Italian:
return ext::shared_ptr<DayCounter::Impl>(new IT_Impl);
case German:
return ext::shared_ptr<DayCounter::Impl>(
new GER_Impl(isLastPeriod));
default:
QL_FAIL("unknown 30/360 convention");
}
}
Date::serial_type Thirty360::US_Impl::dayCount(const Date& d1,
const Date& d2) const {
Day dd1 = d1.dayOfMonth(), dd2 = d2.dayOfMonth();
Integer mm1 = d1.month(), mm2 = d2.month();
Year yy1 = d1.year(), yy2 = d2.year();
if (dd2 == 31 && dd1 < 30) { dd2 = 1; mm2++; }
return 360*(yy2-yy1) + 30*(mm2-mm1-1) +
std::max(Integer(0),30-dd1) + std::min(Integer(30),dd2);
}
Date::serial_type Thirty360::EU_Impl::dayCount(const Date& d1,
const Date& d2) const {
Day dd1 = d1.dayOfMonth(), dd2 = d2.dayOfMonth();
Month mm1 = d1.month(), mm2 = d2.month();
Year yy1 = d1.year(), yy2 = d2.year();
return 360*(yy2-yy1) + 30*(mm2-mm1-1) +
std::max(Integer(0),30-dd1) + std::min(Integer(30),dd2);
}
Date::serial_type Thirty360::IT_Impl::dayCount(const Date& d1,
const Date& d2) const {
Day dd1 = d1.dayOfMonth(), dd2 = d2.dayOfMonth();
Month mm1 = d1.month(), mm2 = d2.month();
Year yy1 = d1.year(), yy2 = d2.year();
if (mm1 == 2 && dd1 > 27) dd1 = 30;
if (mm2 == 2 && dd2 > 27) dd2 = 30;
return 360*(yy2-yy1) + 30*(mm2-mm1-1) +
std::max(Integer(0),30-dd1) + std::min(Integer(30),dd2);
}
Date::serial_type Thirty360::GER_Impl::dayCount(const Date& d1,
const Date& d2) const {
Day dd1 = d1.dayOfMonth(), dd2 = d2.dayOfMonth();
Month mm1 = d1.month(), mm2 = d2.month();
Year yy1 = d1.year(), yy2 = d2.year();
if (mm1 == 2 && dd1 == 28 + (Date::isLeap(yy1) ? 1 : 0))
dd1 = 30;
if (!isLastPeriod_ && mm2 == 2 && dd2 == 28 + (Date::isLeap(yy2) ? 1 : 0))
dd2 = 30;
return 360*(yy2-yy1) + 30*(mm2-mm1-1) +
std::max(Integer(0),30-dd1) + std::min(Integer(30),dd2);
}
}
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