date dateUtil::dayRollAdjust(date aDate,DayRollEnum aDayRollConvention, enums::CurrencyEnum market) {
long adjustedJDN;
switch(aDayRollConvention){
case enums::Following:
adjustedJDN = getFolloingJDN(aDate, market);
break;
case enums::Preceding:
adjustedJDN = getPrecedingJDN(aDate, market);
break;
case enums::Mfollowing:
adjustedJDN = getFolloingJDN(aDate, market);
if (getYearMonthDay(adjustedJDN)[1]!=aDate.getMonth())
adjustedJDN = getPrecedingJDN(aDate, market);
break;
case enums::Mfollowingbi:
adjustedJDN = getFolloingJDN(aDate, market);
if (getYearMonthDay(adjustedJDN)[1]!=aDate.getMonth()||
getYearMonthDay(adjustedJDN)[2]>=15)
adjustedJDN = getPrecedingJDN(aDate, market);
break;
case enums::EOM:
break;
case enums::DayRollNull:
adjustedJDN = aDate.getJudianDayNumber();
break;
}
date adjustedDate(adjustedJDN);
return adjustedDate;
}
long dateUtil::getFolloingJDN(date refDate, enums::CurrencyEnum market){
//date adjustedDate = adjustInvalidateDate(refDate,true);
long JDN = refDate.getJudianDayNumber();
while(!isBizDay(JDN) || isHoliday(JDN,market)){
JDN++;
}
return JDN;
}
long dateUtil::getPrecedingJDN(date refDate, enums::MarketEnum market){
//date adjustedDate = adjustInvalidateDate(refDate,false);
long JDN = refDate.getJudianDayNumber();
while(!isBizDay(JDN) || isHoliday(JDN,market)){
JDN--;
}
return JDN;
}
date dateUtil::getBizDateOffSet(date refDate, long offset, enums::CurrencyEnum market) {
long JDN = refDate.getJudianDayNumber();
bool forward = offset>=0?true:false;
for (long i=0; i<abs(offset); i++){
forward?JDN++:JDN--;
while(!isBizDay(JDN) || isHoliday(JDN,market)){
forward?JDN++:JDN--;
}
}
date offsetDate(JDN);
return offsetDate;
}
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::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:
throw "Need reference start and end date!";
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;
default:
accrualFactor = (endDate.getJudianDayNumber()-startDate.getJudianDayNumber())/360.0;
}
return accrualFactor;
}
bool dateUtil::isHoliday(date aDate, enums::CurrencyEnum market){
return isHoliday(aDate.getJudianDayNumber(),market);
}
bool dateUtil::isBizDay(date date0){
return isBizDay(date0.getJudianDayNumber());
}
signed long dateUtil::getBizDaysBetween(date startDate, date endDate){
return getBizDaysBetween
(startDate.getJudianDayNumber(),endDate.getJudianDayNumber());
}
long dateUtil::getDaysBetween(date startDate, date endDate){
return getDaysBetween
(endDate.getJudianDayNumber(),startDate.getJudianDayNumber());
}