1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
|
/* -*- 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
<https://www.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 {
namespace {
bool isLastOfFebruary(Day d, Month m, Year y) {
return m == 2 && d == 28 + (Date::isLeap(y) ? 1 : 0);
}
}
ext::shared_ptr<DayCounter::Impl>
Thirty360::implementation(Thirty360::Convention c, const Date& terminationDate) {
switch (c) {
case USA:
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 ISMA:
case BondBasis:
return ext::shared_ptr<DayCounter::Impl>(new ISMA_Impl);
case ISDA:
case German:
return ext::shared_ptr<DayCounter::Impl>(new ISDA_Impl(terminationDate));
case NASD:
return ext::shared_ptr<DayCounter::Impl>(new NASD_Impl);
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();
Month mm1 = d1.month(), mm2 = d2.month();
Year yy1 = d1.year(), yy2 = d2.year();
// See https://en.wikipedia.org/wiki/Day_count_convention#30/360_US
// NOTE: the order of checks is important
if (isLastOfFebruary(dd1, mm1, yy1)) {
if (isLastOfFebruary(dd2, mm2, yy2)) { dd2 = 30; }
dd1 = 30;
}
if (dd2 == 31 && dd1 >= 30) { dd2 = 30; }
if (dd1 == 31) { dd1 = 30; }
return 360*(yy2-yy1) + 30*(mm2-mm1) + (dd2-dd1);
}
Date::serial_type Thirty360::ISMA_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 (dd1 == 31) { dd1 = 30; }
if (dd2 == 31 && dd1 == 30) { dd2 = 30; }
return 360*(yy2-yy1) + 30*(mm2-mm1) + (dd2-dd1);
}
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();
if (dd1 == 31) { dd1 = 30; }
if (dd2 == 31) { dd2 = 30; }
return 360*(yy2-yy1) + 30*(mm2-mm1) + (dd2-dd1);
}
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 (dd1 == 31) { dd1 = 30; }
if (dd2 == 31) { dd2 = 30; }
if (mm1 == 2 && dd1 > 27) { dd1 = 30; }
if (mm2 == 2 && dd2 > 27) { dd2 = 30; }
return 360*(yy2-yy1) + 30*(mm2-mm1) + (dd2-dd1);
}
Date::serial_type Thirty360::ISDA_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 (dd1 == 31) { dd1 = 30; }
if (dd2 == 31) { dd2 = 30; }
if (isLastOfFebruary(dd1, mm1, yy1)) { dd1 = 30; }
if (d2 != terminationDate_ && isLastOfFebruary(dd2, mm2, yy2)) { dd2 = 30; }
return 360*(yy2-yy1) + 30*(mm2-mm1) + (dd2-dd1);
}
Date::serial_type Thirty360::NASD_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 (dd1 == 31) { dd1 = 30; }
if (dd2 == 31 && dd1 >= 30) { dd2 = 30; }
if (dd2 == 31 && dd1 < 30) { dd2 = 1; mm2++; }
return 360*(yy2-yy1) + 30*(mm2-mm1) + (dd2-dd1);
}
}
|
