Exemple #1
0
    bool operator<(const Period& p1, const Period& p2) {

        // special cases
        if (p1.length() == 0)
            return p2.length() > 0;
        if (p2.length() == 0)
            return p1.length() < 0;

        // exact comparisons
        if (p1.units() == p2.units())
            return p1.length() < p2.length();
        if (p1.units() == Months && p2.units() == Years)
            return p1.length() < 12*p2.length();
        if (p1.units() == Years && p2.units() == Months)
            return 12*p1.length() < p2.length();
        if (p1.units() == Days && p2.units() == Weeks)
            return p1.length() < 7*p2.length();
        if (p1.units() == Weeks && p2.units() == Days)
            return 7*p1.length() < p2.length();

        // inexact comparisons (handled by converting to days and using limits)
        std::pair<Integer, Integer> p1lim = daysMinMax(p1);
        std::pair<Integer, Integer> p2lim = daysMinMax(p2);

        if (p1lim.second < p2lim.first)
            return true;
        else if (p1lim.first > p2lim.second)
            return false;
        else
            QL_FAIL("undecidable comparison between " << p1 << " and " << p2);
    }
 Time SwaptionVolatilityStructure::swapLength(const Period& p) const {
     QL_REQUIRE(p.length()>0,
                "non-positive swap tenor (" << p << ") given");
     switch (p.units()) {
       case Months:
         return p.length()/12.0;
       case Years:
         return static_cast<Time>(p.length());
       default:
         QL_FAIL("invalid Time Unit (" << p.units() << ") for swap length");
     }
 }
Exemple #3
0
    Real days(const Period& p) {
        if (p.length()==0) return 0.0;

        switch (p.units()) {
          case Days:
              return p.length();
          case Weeks:
              return p.length()*7.0;
          case Months:
            QL_FAIL("cannot convert Months into Days");
          case Years:
            QL_FAIL("cannot convert Years into Days");
          default:
            QL_FAIL("unknown time unit (" << Integer(p.units()) << ")");
        }
    }
Exemple #4
0
 Date Calendar::advance(const Date & d,
                        const Period & p,
                        BusinessDayConvention c,
                        bool endOfMonth) const {
     return advance(d, p.length(), p.units(), c, endOfMonth);
 }
Exemple #5
0
 inline Date Date::operator-(const Period& p) const {
     return advance(*this,-p.length(),p.units());
 }