Example #1
0
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;
}
Example #2
0
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;
}
Example #3
0
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;
}
Example #4
0
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;
}
Example #5
0
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;
}
Example #6
0
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;
		
	}
Example #7
0
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;
}
Example #8
0
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;
}
Example #9
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();
}