com.opengamma.financial.convention.daycount.ThirtyEThreeSixtyISDA.java Source code

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Here is the source code for com.opengamma.financial.convention.daycount.ThirtyEThreeSixtyISDA.java

Source

/**
 * Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
 * 
 * Please see distribution for license.
 */
package com.opengamma.financial.convention.daycount;

import org.apache.commons.lang.NotImplementedException;
import org.apache.commons.lang.Validate;
import org.threeten.bp.LocalDate;
import org.threeten.bp.ZonedDateTime;

/**
 * The '30E/360 ISDA' day count.
 */
public class ThirtyEThreeSixtyISDA extends ThirtyThreeSixtyTypeDayCount {

    /** Serialization version. */
    private static final long serialVersionUID = 1L;

    @Override
    public double getDayCountFraction(final LocalDate firstDate, final LocalDate secondDate) {
        throw new NotImplementedException("Need to know whether the second date is the maturity");
    }

    @Override
    public double getAccruedInterest(final LocalDate previousCouponDate, final LocalDate date,
            final LocalDate nextCouponDate, final double coupon, final double paymentsPerYear) {
        throw new NotImplementedException("Need to know whether the second date is the maturity");
    }

    public double getAccruedInterest(final ZonedDateTime previousCouponDate, final ZonedDateTime date,
            final double coupon, final boolean isMaturity) {
        return coupon * getDayCountFraction(previousCouponDate.toLocalDate(), date.toLocalDate(), isMaturity);
    }

    public double getAccruedInterest(final LocalDate previousCouponDate, final LocalDate date, final double coupon,
            final boolean isMaturity) {
        return coupon * getDayCountFraction(previousCouponDate, date, isMaturity);
    }

    public double getDayCountFraction(final ZonedDateTime firstDate, final ZonedDateTime secondDate,
            final boolean isMaturity) {
        Validate.notNull(firstDate);
        Validate.notNull(secondDate);
        return getDayCountFraction(firstDate.toLocalDate(), secondDate.toLocalDate(), isMaturity);
    }

    public double getDayCountFraction(final LocalDate firstDate, final LocalDate secondDate,
            final boolean isMaturity) {
        testDates(firstDate, secondDate);
        int d1 = firstDate.getDayOfMonth();
        int d2 = secondDate.getDayOfMonth();
        final int m1 = firstDate.getMonthValue();
        final int m2 = secondDate.getMonthValue();
        final int y1 = firstDate.getYear();
        final int y2 = secondDate.getYear();
        if (d1 == firstDate.lengthOfMonth()) {
            d1 = 30;
        }
        if (!isMaturity) {
            if (d2 == secondDate.lengthOfMonth()) {
                d2 = 30;
            }
        }
        return getYears(d1, d2, m1, m2, y1, y2);
    }

    @Override
    public String getConventionName() {
        return "30E/360 ISDA";
    }

}