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::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;
}