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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
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/actualactual.hpp>
namespace QuantLib {
boost::shared_ptr<DayCounter::Impl>
ActualActual::implementation(ActualActual::Convention c) {
switch (c) {
case ISMA:
case Bond:
return boost::shared_ptr<DayCounter::Impl>(new ISMA_Impl);
case ISDA:
case Historical:
case Actual365:
return boost::shared_ptr<DayCounter::Impl>(new ISDA_Impl);
case AFB:
case Euro:
return boost::shared_ptr<DayCounter::Impl>(new AFB_Impl);
default:
QL_FAIL("unknown act/act convention");
}
}
Time ActualActual::ISMA_Impl::yearFraction(const Date& d1,
const Date& d2,
const Date& d3,
const Date& d4) const {
if (d1 == d2)
return 0.0;
if (d1 > d2)
return -yearFraction(d2,d1,d3,d4);
// when the reference period is not specified, try taking
// it equal to (d1,d2)
Date refPeriodStart = (d3 != Date() ? d3 : d1);
Date refPeriodEnd = (d4 != Date() ? d4 : d2);
QL_REQUIRE(refPeriodEnd > refPeriodStart && refPeriodEnd > d1,
"invalid reference period: "
<< "date 1: " << d1
<< ", date 2: " << d2
<< ", reference period start: " << refPeriodStart
<< ", reference period end: " << refPeriodEnd);
// estimate roughly the length in months of a period
Integer months =
Integer(0.5+12*Real(refPeriodEnd-refPeriodStart)/365);
// for short periods...
if (months == 0) {
// ...take the reference period as 1 year from d1
refPeriodStart = d1;
refPeriodEnd = d1 + 1*Years;
months = 12;
}
Time period = Real(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*Real(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 - months*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
Time 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
Integer i=0;
Date newRefStart, newRefEnd;
for (;;) {
newRefStart = refPeriodEnd + (months*i)*Months;
newRefEnd = refPeriodEnd + (months*(i+1))*Months;
if (d2 < newRefEnd) {
break;
} else {
sum += period;
i++;
}
}
sum += yearFraction(newRefStart,d2,newRefStart,newRefEnd);
return sum;
}
}
Time ActualActual::ISDA_Impl::yearFraction(const Date& d1,
const Date& d2,
const Date&,
const Date&) const {
if (d1 == d2)
return 0.0;
if (d1 > d2)
return -yearFraction(d2,d1,Date(),Date());
Integer y1 = d1.year(), y2 = d2.year();
Real dib1 = (Date::isLeap(y1) ? 366.0 : 365.0),
dib2 = (Date::isLeap(y2) ? 366.0 : 365.0);
Time sum = y2 - y1 - 1;
// FLOATING_POINT_EXCEPTION
sum += dayCount(d1, Date(1,January,y1+1))/dib1;
sum += dayCount(Date(1,January,y2),d2)/dib2;
return sum;
}
Time ActualActual::AFB_Impl::yearFraction(const Date& d1,
const Date& d2,
const Date&,
const Date&) const {
if (d1 == d2)
return 0.0;
if (d1 > d2)
return -yearFraction(d2,d1,Date(),Date());
Date newD2=d2, temp=d2;
Time sum = 0.0;
while (temp > d1) {
temp = newD2 - 1*Years;
if (temp.dayOfMonth()==28 && temp.month()==2
&& Date::isLeap(temp.year())) {
temp += 1;
}
if (temp>=d1) {
sum += 1.0;
newD2 = temp;
}
}
Real den = 365.0;
if (Date::isLeap(newD2.year())) {
temp = Date(29, February, newD2.year());
if (newD2>temp && d1<=temp)
den += 1.0;
} else if (Date::isLeap(d1.year())) {
temp = Date(29, February, d1.year());
if (newD2>temp && d1<=temp)
den += 1.0;
}
return sum+dayCount(d1, newD2)/den;
}
}
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