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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2023 Klaus Spanderen
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/math/comparison.hpp>
#include <ql/time/daycounters/yearfractiontodate.hpp>
#include <boost/numeric/conversion/cast.hpp>
#include <cmath>
namespace QuantLib {
Date yearFractionToDate(
const DayCounter& dayCounter, const Date& referenceDate, Time t) {
Date guessDate = referenceDate
+ Period(boost::numeric_cast<Integer>(round(t * 365.25)), Days);
Time guessTime = dayCounter.yearFraction(referenceDate, guessDate);
guessDate += Period(boost::numeric_cast<Integer>(
round((t - guessTime)*365.25)), Days);
guessTime = dayCounter.yearFraction(referenceDate, guessDate);
if (close_enough(guessTime, t))
return guessDate;
const auto searchDirection = boost::numeric_cast<Integer>(copysign(1.0, t - guessTime));
t += searchDirection*100*QL_EPSILON;
Date nextDate;
for (TimeUnit u: {Years, Months, Days}) {
while (searchDirection*(
dayCounter.yearFraction(
referenceDate,
nextDate = guessDate + Period(searchDirection, u)) - t) < 0.0)
guessDate = nextDate;
}
guessTime = dayCounter.yearFraction(referenceDate, guessDate);
if (close_enough(guessTime, t)
|| std::abs(dayCounter.yearFraction(referenceDate,
guessDate + Period(searchDirection, Days)) - t) >
std::abs(guessTime - t))
return guessDate;
else
return guessDate + Period(searchDirection, Days);
}
}
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