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

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Here is the source code for com.mbc.jfin.daycount.impl.calculator.ISDAActualActualDaycountCalculator.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.LocalDate;

import java.util.ArrayList;
import java.util.List;

/**
 * Created by IntelliJ IDEA.
 * User: dmb
 * Date: 06/05/2011
 * Time: 09:03
 */
public class ISDAActualActualDaycountCalculator implements DaycountCalculator {

    public double calculateDaycountFraction(SchedulePeriod period) {

        if (period.getStart().equals(period.getEnd()))
            return 0;

        double fraction = 0;
        List<SchedulePeriod> subPeriods = getPeriods(period);

        int[] numerators = getNumerators(subPeriods);
        int[] denominators = getDenominators(subPeriods);

        for (int i = 0; i < numerators.length; i++) {
            fraction += (double) numerators[i] / (double) denominators[i];
        }

        return fraction;
    }

    public List<SchedulePeriod> getPeriods(SchedulePeriod period) {
        LocalDate hold = period.getStart();
        LocalDate end = period.getEnd();

        List<SchedulePeriod> periods = new ArrayList<SchedulePeriod>();

        while (hold.getYear() < end.getYear()) {
            LocalDate holdEnd = new LocalDate(hold.getYear() + 1, 1, 1);

            periods.add(new SchedulePeriod(hold, holdEnd));
            hold = holdEnd;
        }

        periods.add(new SchedulePeriod(hold, end));

        return periods;
    }

    /**
     * Calculates the numerators for a set of periods
     *
     * @param subPeriods A list of the sub periods
     * @return An array of type int containing the numberators for the periods
     */
    public int[] getNumerators(List<SchedulePeriod> subPeriods) {

        int[] numerators = new int[subPeriods.size()];

        for (int i = 0; i < subPeriods.size(); i++) {
            SchedulePeriod period = subPeriods.get(i);
            numerators[i] = DateUtils.daysBetween(period.getStart(), period.getEnd());
        }

        return numerators;
    }

    /**
     * Calculates the denominators for a set of periods
     *
     * @param subPeriods A list of the sub periods
     * @return An array of type int containing the denominators of the sub periods
     */
    public int[] getDenominators(List<SchedulePeriod> subPeriods) {

        int[] denominators = new int[subPeriods.size()];

        for (int i = 0; i < subPeriods.size(); i++) {
            SchedulePeriod period = subPeriods.get(i);
            denominators[i] = DateUtils.getDaysInYear(period.getStart());
        }

        return denominators;
    }
}