1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
5 Copyright (C) 2018 Alexey Indiryakov
6
7 This file is part of QuantLib, a free-software/open-source library
8 for financial quantitative analysts and developers - http://quantlib.org/
9
10 QuantLib is free software: you can redistribute it and/or modify it
11 under the terms of the QuantLib license. You should have received a
12 copy of the license along with this program; if not, please email
13 <quantlib-dev@lists.sf.net>. The license is also available online at
14 <http://quantlib.org/license.shtml>.
15
16 This program is distributed in the hope that it will be useful, but WITHOUT
17 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18 FOR A PARTICULAR PURPOSE. See the license for more details.
19*/
20
21#include <ql/time/daycounters/thirty360.hpp>
22#include <algorithm>
23
24namespace QuantLib {
25
26 namespace {
27
28 bool isLastOfFebruary(Day d, Month m, Year y) {
29 return m == 2 && d == 28 + (Date::isLeap(y) ? 1 : 0);
30 }
31
32 }
33
34 ext::shared_ptr<DayCounter::Impl>
35 Thirty360::implementation(Thirty360::Convention c, const Date& terminationDate) {
36 switch (c) {
37 case USA:
38 return ext::shared_ptr<DayCounter::Impl>(new US_Impl);
39 case European:
40 case EurobondBasis:
41 return ext::shared_ptr<DayCounter::Impl>(new EU_Impl);
42 case Italian:
43 return ext::shared_ptr<DayCounter::Impl>(new IT_Impl);
44 case ISMA:
45 case BondBasis:
46 return ext::shared_ptr<DayCounter::Impl>(new ISMA_Impl);
47 case ISDA:
48 case German:
49 return ext::shared_ptr<DayCounter::Impl>(new ISDA_Impl(terminationDate));
50 case NASD:
51 return ext::shared_ptr<DayCounter::Impl>(new NASD_Impl);
52 default:
53 QL_FAIL("unknown 30/360 convention");
54 }
55 }
56
57 Date::serial_type Thirty360::US_Impl::dayCount(const Date& d1,
58 const Date& d2) const {
59 Day dd1 = d1.dayOfMonth(), dd2 = d2.dayOfMonth();
60 Month mm1 = d1.month(), mm2 = d2.month();
61 Year yy1 = d1.year(), yy2 = d2.year();
62
63 if (dd1 == 31) { dd1 = 30; }
64 if (dd2 == 31 && dd1 >= 30) { dd2 = 30; }
65
66 if (isLastOfFebruary(d: dd2, m: mm2, y: yy2) && isLastOfFebruary(d: dd1, m: mm1, y: yy1)) { dd2 = 30; }
67 if (isLastOfFebruary(d: dd1, m: mm1, y: yy1)) { dd1 = 30; }
68
69 return 360*(yy2-yy1) + 30*(mm2-mm1) + (dd2-dd1);
70 }
71
72 Date::serial_type Thirty360::ISMA_Impl::dayCount(const Date& d1,
73 const Date& d2) const {
74 Day dd1 = d1.dayOfMonth(), dd2 = d2.dayOfMonth();
75 Month mm1 = d1.month(), mm2 = d2.month();
76 Year yy1 = d1.year(), yy2 = d2.year();
77
78 if (dd1 == 31) { dd1 = 30; }
79 if (dd2 == 31 && dd1 == 30) { dd2 = 30; }
80
81 return 360*(yy2-yy1) + 30*(mm2-mm1) + (dd2-dd1);
82 }
83
84 Date::serial_type Thirty360::EU_Impl::dayCount(const Date& d1,
85 const Date& d2) const {
86 Day dd1 = d1.dayOfMonth(), dd2 = d2.dayOfMonth();
87 Month mm1 = d1.month(), mm2 = d2.month();
88 Year yy1 = d1.year(), yy2 = d2.year();
89
90 if (dd1 == 31) { dd1 = 30; }
91 if (dd2 == 31) { dd2 = 30; }
92
93 return 360*(yy2-yy1) + 30*(mm2-mm1) + (dd2-dd1);
94 }
95
96 Date::serial_type Thirty360::IT_Impl::dayCount(const Date& d1,
97 const Date& d2) const {
98 Day dd1 = d1.dayOfMonth(), dd2 = d2.dayOfMonth();
99 Month mm1 = d1.month(), mm2 = d2.month();
100 Year yy1 = d1.year(), yy2 = d2.year();
101
102 if (dd1 == 31) { dd1 = 30; }
103 if (dd2 == 31) { dd2 = 30; }
104
105 if (mm1 == 2 && dd1 > 27) { dd1 = 30; }
106 if (mm2 == 2 && dd2 > 27) { dd2 = 30; }
107
108 return 360*(yy2-yy1) + 30*(mm2-mm1) + (dd2-dd1);
109 }
110
111 Date::serial_type Thirty360::ISDA_Impl::dayCount(const Date& d1,
112 const Date& d2) const {
113 Day dd1 = d1.dayOfMonth(), dd2 = d2.dayOfMonth();
114 Month mm1 = d1.month(), mm2 = d2.month();
115 Year yy1 = d1.year(), yy2 = d2.year();
116
117 if (dd1 == 31) { dd1 = 30; }
118 if (dd2 == 31) { dd2 = 30; }
119
120 if (isLastOfFebruary(d: dd1, m: mm1, y: yy1)) { dd1 = 30; }
121
122 if (d2 != terminationDate_ && isLastOfFebruary(d: dd2, m: mm2, y: yy2)) { dd2 = 30; }
123
124 return 360*(yy2-yy1) + 30*(mm2-mm1) + (dd2-dd1);
125 }
126
127 Date::serial_type Thirty360::NASD_Impl::dayCount(const Date& d1,
128 const Date& d2) const {
129 Day dd1 = d1.dayOfMonth(), dd2 = d2.dayOfMonth();
130 Integer mm1 = d1.month(), mm2 = d2.month();
131 Year yy1 = d1.year(), yy2 = d2.year();
132
133 if (dd1 == 31) { dd1 = 30; }
134 if (dd2 == 31 && dd1 >= 30) { dd2 = 30; }
135 if (dd2 == 31 && dd1 < 30) { dd2 = 1; mm2++; }
136
137 return 360*(yy2-yy1) + 30*(mm2-mm1) + (dd2-dd1);
138 }
139
140}
141

source code of quantlib/ql/time/daycounters/thirty360.cpp