com.mbc.jfin.daycount.impl.calculator.AFBActualActualDaycountCalculator.java Source code

Introduction

Here is the source code for com.mbc.jfin.daycount.impl.calculator.AFBActualActualDaycountCalculator.java

Source

/*
 * <p> <b>jFin, open source derivatives trade processing</b> </p>
 *
 * <p>Copyright (C) 2005-2011 Morgan Brown Consultancy Ltd. </p>
 *
 * <p>This file is part of jFin. </p>
 *
 * <p> jFin is free software; you can redistribute it and/or modify it under the
 * terms of the GNU General Public License as published by the Free Software
 * Foundation; either version 2 of the License, or (at your option) any later
 * version. </p>
 *
 * <p> jFin is distributed in the hope that it will be useful, but <b>WITHOUT
 * ANY WARRANTY</b>; without even the implied warranty of <b>MERCHANTABILITY</b>
 * or <b>FITNESS FOR A PARTICULAR PURPOSE</b>. See the GNU General Public
 * License for more details. </p>
 *
 * <p> You should have received a copy of the GNU General Public License along
 * with jFin; if not, write to the Free Software Foundation, Inc., 51 Franklin
 * St, Fifth Floor, Boston, MA 02110-1301 USA. </p>
 */

package com.mbc.jfin.daycount.impl.calculator;

import com.mbc.jfin.daycount.impl.DaycountCalculator;
import com.mbc.jfin.schedule.SchedulePeriod;
import com.mbc.jfin.util.DateUtils;
import org.joda.time.Days;
import org.joda.time.LocalDate;
import org.joda.time.Years;

/**
 * Created by IntelliJ IDEA.
 * User: dmb
 * Date: 05/05/2011
 * Time: 09:04
 */
public class AFBActualActualDaycountCalculator implements DaycountCalculator {
    public double calculateDaycountFraction(SchedulePeriod period) {
        int daysBetween = DateUtils.daysBetween(period.getStart(), period.getEnd());

        if (daysBetween == 0)
            return 0;

        LocalDate newD2 = period.getEnd();
        LocalDate temp = period.getEnd();

        double sum = 0.0;
        while (temp.isAfter(period.getStart())) {
            temp = newD2;
            temp = temp.minus(Years.ONE);
            if (temp.getDayOfMonth() == 28 && temp.getMonthOfYear() == 2 && DateUtils.isLeapYear(temp)) {
                temp = temp.plus(Days.ONE);
            }
            if (temp.isAfter(period.getStart()) || temp.equals(period.getStart())) {
                sum += 1.0;
                newD2 = temp;
            }
        }

        double den = 365.0;

        if (DateUtils.isLeapYear(newD2)) {
            temp = newD2;

            temp = new LocalDate(temp.getYear(), 2, 29);

            if (newD2.isAfter(temp) && (period.getStart().isBefore(temp) || period.getStart().equals(temp)))
                den += 1.0;
        } else if (DateUtils.isLeapYear(period.getStart())) {

            temp = new LocalDate(period.getStart().getYear(), 2, 29);

            if (newD2.isAfter(temp) && (period.getStart().isBefore(temp) || period.getStart().equals(temp)))
                den += 1.0;
        }

        return sum + DateUtils.daysBetween(period.getStart(), newD2) / den;

    }
}