double dateUtil::getAccrualFactor(date startDate,date endDate, enums::DayCountEnum dayCount){
double accrualFactor;
int numBizDay=0;
switch(dayCount){
case enums::thirty_360US:
//This day count convention is also called Bond basis.
if (endDate.getDay()==31 && (startDate.getDay()==30||31))
endDate.setDay(30);
if (startDate.getDay()==31)
startDate.setDay(30);
accrualFactor = thirty_360(startDate, endDate);
break;
case enums::thirthE_360:
if (startDate.getDay()==31)
startDate.setDay(30);
if (endDate.getDay()==31)
endDate.setDay(30);
accrualFactor = thirty_360(startDate, endDate);
break;
case enums::ACT_360:
//This day count is also called Money Market basis or Actual 360
//This is the most used day count convention for money market instruments (maturity below one year).
accrualFactor = (endDate.getJudianDayNumber()-startDate.getJudianDayNumber())/360.0;
//cout<<"inside ACT_360"<<endl;
break;
case enums::ACT_365:
//Also called English Money Market basis.
//The number 365 is used even in a leap year.
accrualFactor = (endDate.getJudianDayNumber()-startDate.getJudianDayNumber())/365.0;
//cout<<"inside ACT_365"<<endl;
break;
case enums::ACT_ACT:
if (startDate.getYear()==endDate.getYear()){
int numDays = endDate.getJudianDayNumber()-startDate.getJudianDayNumber();
accrualFactor = numDays/(isleapyear(startDate.getYear())?366.0:365.0);
}else{
int numStartYearDays = date(startDate.getYear(),12,31).getJudianDayNumber() - startDate.getJudianDayNumber() + 1;
double startYearFactor = numStartYearDays/(isleapyear(startDate.getYear())?366.0:365.0);
int numEndYearDays = endDate.getJudianDayNumber() - date(endDate.getYear(),1,1).getJudianDayNumber();
double endYearFactor = numEndYearDays/(isleapyear(endDate.getYear())?366.0:365.0);
accrualFactor = startYearFactor + endYearFactor +(endDate.getYear()-startDate.getYear()-1);
}
break;
case enums::BUS_252:
//Numerator is the number of business days (in a given calendar) from and including the start date up to and excluding the end date.
numBizDay=0;
for(long i = startDate.getJudianDayNumber();i<endDate.getJudianDayNumber();i++)
if (isBizDay(i))
numBizDay++;
accrualFactor = numBizDay/252.0;
break;
case enums::DayCountNull:
default:
accrualFactor = (endDate.getJudianDayNumber()-startDate.getJudianDayNumber())/numDaysInYear;
}
return accrualFactor;
}
date dateUtil::getEndDateMonthIncrement(date startDate, int numMonth){
if (numMonth==0) return startDate;
short startMonth = startDate.getMonth();
short endMonth = (startMonth + numMonth)%12;
int yearIncrement = (startMonth + numMonth)/12;
yearIncrement = (startMonth + numMonth)<=0?yearIncrement-1:yearIncrement;
endMonth = endMonth<=0?endMonth+12:endMonth;
short endYear= startDate.getYear()+yearIncrement;
date endDate(endYear, endMonth, startDate.getDay());
return endDate;
}
date dateUtil::adjustInvalidateDate(date aDate, bool forwardAdjust){
int monthLastDay = getMonthLastDay(aDate.getYear(), aDate.getMonth());
if (aDate.getDay()>monthLastDay){
if (forwardAdjust){
aDate.setMonth(aDate.getMonth()%12+1);
aDate.setDay(1);
} else{
aDate.setDay(monthLastDay);
}
}
return aDate;
}
date dateUtil::adjustInvalidateDate(date aDate, bool forwardAdjust){
unsigned short monthlen[]={31,28,31,30,31,30,31,31,30,31,30,31};
if (isleapyear(aDate.getYear()) && aDate.getMonth()==2)
monthlen[1]++;
if (aDate.getDay()>monthlen[aDate.getMonth()-1]){
if (forwardAdjust){
aDate.setMonth(aDate.getMonth()%12+1);
aDate.setDay(1);
}
else
aDate.setDay(monthlen[aDate.getMonth()-1]);
}
return aDate;
}
date dateUtil::getEndDateMonthIncrement(date startDate, int numMonth){
if (numMonth==0) return startDate;
short startMonth = startDate.getMonth();
short endMonth = (startMonth + numMonth);
bool isEndMonthPow12 = (startMonth + numMonth)%12==0?true:false;
endMonth = isEndMonthPow12 ? 12 : (startMonth + numMonth)%12;
int yearIncrement = abs((startMonth + numMonth)/12) - (isEndMonthPow12 ? 1 : 0);
if (startMonth + numMonth<0)
yearIncrement = -abs((startMonth + numMonth)/12) - 1 - (isEndMonthPow12 ? 1 : 0);
endMonth = endMonth<=0 ? endMonth+12 : endMonth;
short endYear= startDate.getYear()+ yearIncrement;
date endDate(endYear, endMonth, startDate.getDay());
// Adjust the return day to the end of month if the start date is also end of month
//if (startDate.getDay() == getMonthLastDay(startDate.getYear(), startDate.getMonth()))
//endDate.setDay(getMonthLastDay(endDate.getYear(), endDate.getMonth()));
return endDate;
}
date date::backDate(date a,int in)
{
int adays,amonth,ayear;
adays=a.getDay();
amonth=a.getMonth();
ayear=a.getYear();
adays=adays+in;
if(adays>30)
{amonth++; adays+=-30;}
if(amonth>12)
{
ayear++;
amonth-=30;
}
date b(adays,amonth,ayear);
return b;
}
date dateUtil::getEndDate(date startDate, int increment, enums::DayRollEnum dayRoll, enums::MarketEnum market, DateUnit dateUnit){
date endDate;
switch(dateUnit){
case YEAR:
endDate = date(startDate.getYear()+increment,startDate.getMonth(), startDate.getDay());
break;
case MONTH:
endDate = getEndDateMonthIncrement(startDate, increment);
break;
case WEEK:
endDate = date(startDate.getJudianDayNumber()+increment*7);
break;
case DAY:
endDate = date(startDate.getJudianDayNumber()+increment);
break;
case BIZDAY:
endDate = getBizDateOffSet(startDate,increment, market);
break;
}
endDate = dayRollAdjust(adjustInvalidateDate(endDate,false),dayRoll, market);
return endDate;
}
double dateUtil::thirty_360(date startDate, date endDate){
int yearFactor = 360*(endDate.getYear()-startDate.getYear());
int monthFactor = 30*(endDate.getMonth()-startDate.getMonth());
int dayFactor = endDate.getDay()-startDate.getDay();
return (yearFactor+monthFactor+dayFactor)/360.0;
}
//equality checker overload
//could have implemented this in the class, but that caused confusion since it didn't match up with the normal usage of the == operator
bool operator==(date& a, date& b)
{
return a.getDay() == b.getDay() &&
a.getMonth() == b.getMonth() &&
a.getYear() == b.getYear();
}