org.drip.analytics.daycount

Class Convention

java.lang.Object

org.drip.analytics.daycount.Convention

public class Convention
extends java.lang.Object

This class contains flags that indicate where the holidays are loaded from, as well as the holiday types and load rules. It exports the following date related functionality: - Add business days according to the specified calendar - The Year Fraction between any 2 days given the day count type and the holiday calendar - Adjust/roll to the next working day according to the adjustment rule - Holiday Functions - is the given day a holiday/business day, the number and the set of holidays/business days between 2 days. - Calendars and Day counts - Available set of day count conventions and calendars, and the weekend days corresponding to a given calendar.

Author:

Lakshmi Krishnamurthy

Field Summary

Fields

Modifier and Type	Field and Description
static int	DATE_ROLL_ACTUAL Date Roll Actual
static int	DATE_ROLL_FOLLOWING Date Roll Following
static int	DATE_ROLL_MODIFIED_FOLLOWING Date Roll Modified Following
static int	DATE_ROLL_MODIFIED_FOLLOWING_BIMONTHLY Date Roll Modified Following Bi-monthly
static int	DATE_ROLL_MODIFIED_PREVIOUS Date Roll Modified Previous
static int	DATE_ROLL_PREVIOUS Date Roll Previous
static int	WEEKDAY_HOLS Week Day Holiday
static int	WEEKEND_HOLS Week End Holiday

Constructor Summary

Constructors

Constructor and Description
Convention()

Method Summary

Modifier and Type	Method and Description
static int	AddBusinessDays(int iDate, int iNumDays, java.lang.String strCalendar) Add the specified Number of Business Days and Adjust According to the Calendar Set
static int	Adjust(int iDate, java.lang.String strCalendar, int iAdjustMode) Adjust the given Date in Accordance with the Adjustment Mode and the Calendar Set
static java.lang.String	AvailableDC() Get all available DRIP day count conventions
static int	BusinessDays(int iStartDate, int iEndDate, java.lang.String strCalendar) Calculate the Number of Business Days between the Start and the End Dates
static int	DaysAccrued(int iStartDate, int iEndDate, java.lang.String strDayCount, boolean bApplyEOMAdj, ActActDCParams actactParams, java.lang.String strCalendar) Calculate the Days Accrued between 2 given Dates for the given Day Count Convention and the other Parameters
static java.util.Set<java.lang.String>	HolidayLocations() Retrieve the set of holiday locations
static int	Holidays(int iStartDate, int iEndDate, java.lang.String strCalendar) Calculate the Number of Holidays between the Start and the End Dates
static java.util.List<java.lang.Integer>	HolidaySet(int iStartDate, int iEndDate, java.lang.String strCalendar) Calculate the Set of Holidays between the Start and the End Dates
static boolean	Init(java.lang.String strCalendarSetLoc) Initialize the day count basis object from the calendar set
static boolean	IsHoliday(int iDate, java.lang.String strCalendar) Indicates whether the given Date is a Holiday in the specified Location(s)
static boolean	IsHoliday(int iDate, java.lang.String strCalendar, int iHolType) Indicate whether the given Date is a Holiday in the specified Location(s)
static int	RollDate(int iDate, int iRollMode, java.lang.String strCalendarSet, int iNumDaysToRoll) Roll the given Date in accordance with the Roll Mode and the Calendar Set
static int[]	WeekendDays(java.lang.String strCalendarSet) Get the week end days for the given holiday calendar set
static double	YearFraction(int iStartDate, int iEndDate, java.lang.String strDayCount, boolean bApplyEOMAdj, ActActDCParams actactParams, java.lang.String strCalendar) Calculate the Accrual Fraction in Years between 2 given Dates for the given Day Count Convention and the other Parameters

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

DATE_ROLL_ACTUAL

public static final int DATE_ROLL_ACTUAL

Date Roll Actual

See Also:

Constant Field Values

DATE_ROLL_FOLLOWING

public static final int DATE_ROLL_FOLLOWING

Date Roll Following

See Also:

Constant Field Values

DATE_ROLL_MODIFIED_FOLLOWING

public static final int DATE_ROLL_MODIFIED_FOLLOWING

Date Roll Modified Following

See Also:

Constant Field Values

DATE_ROLL_MODIFIED_FOLLOWING_BIMONTHLY

public static final int DATE_ROLL_MODIFIED_FOLLOWING_BIMONTHLY

Date Roll Modified Following Bi-monthly

See Also:

Constant Field Values

DATE_ROLL_PREVIOUS

public static final int DATE_ROLL_PREVIOUS

Date Roll Previous

See Also:

Constant Field Values

DATE_ROLL_MODIFIED_PREVIOUS

public static final int DATE_ROLL_MODIFIED_PREVIOUS

Date Roll Modified Previous

See Also:

Constant Field Values

WEEKDAY_HOLS

public static final int WEEKDAY_HOLS

Week Day Holiday

See Also:

Constant Field Values

WEEKEND_HOLS

public static final int WEEKEND_HOLS

Week End Holiday

See Also:

Constant Field Values

Constructor Detail

Convention

public Convention()

Method Detail

Init

public static final boolean Init(java.lang.String strCalendarSetLoc)

Initialize the day count basis object from the calendar set

Parameters:

strCalendarSetLoc - The calendar set

Returns:

Success (true) Failure (false)

HolidayLocations

public static final java.util.Set<java.lang.String> HolidayLocations()

Retrieve the set of holiday locations

Returns:

Set of holiday locations

WeekendDays

public static final int[] WeekendDays(java.lang.String strCalendarSet)

Get the week end days for the given holiday calendar set

Parameters:

strCalendarSet - Holiday calendar set

Returns:

Array of days indicating the week day union

AvailableDC

public static final java.lang.String AvailableDC()

Get all available DRIP day count conventions

Returns:

Available DRIP day count conventions

YearFraction

public static final double YearFraction(int iStartDate,
                                        int iEndDate,
                                        java.lang.String strDayCount,
                                        boolean bApplyEOMAdj,
                                        ActActDCParams actactParams,
                                        java.lang.String strCalendar)
                                 throws java.lang.Exception

Calculate the Accrual Fraction in Years between 2 given Dates for the given Day Count Convention and the other Parameters

Parameters:

iStartDate - Start Date

iEndDate - End Date

strDayCount - Day Count Convention

bApplyEOMAdj - Apply End-of-Month Adjustment (TRUE)

actactParams - ActActParams

strCalendar - Holiday Calendar

Returns:

Accrual Fraction in Years

Throws:

java.lang.Exception - Thrown if the Accrual Fraction cannot be calculated

DaysAccrued

public static final int DaysAccrued(int iStartDate,
                                    int iEndDate,
                                    java.lang.String strDayCount,
                                    boolean bApplyEOMAdj,
                                    ActActDCParams actactParams,
                                    java.lang.String strCalendar)
                             throws java.lang.Exception

Calculate the Days Accrued between 2 given Dates for the given Day Count Convention and the other Parameters

Parameters:

iStartDate - Start Date

iEndDate - End Date

strDayCount - Day Count Convention

bApplyEOMAdj - Apply End-of-Month Adjustment (TRUE)

actactParams - ActActParams

strCalendar - Holiday Calendar

Returns:

Number of Days Accrued

Throws:

java.lang.Exception - Thrown if the Accrual Days cannot be calculated

RollDate

public static final int RollDate(int iDate,
                                 int iRollMode,
                                 java.lang.String strCalendarSet,
                                 int iNumDaysToRoll)
                          throws java.lang.Exception

Roll the given Date in accordance with the Roll Mode and the Calendar Set

Parameters:

iDate - Date to be Rolled

iRollMode - Roll Mode (one of DR_ACT, DR_FOLL, DR_MOD_FOLL, DR_PREV, or DR_MOD_PREV)

strCalendarSet - Calendar Set to calculate the Holidays by

iNumDaysToRoll - The Number of Days to Roll

Returns:

The Rolled Date

Throws:

java.lang.Exception - Thrown if the date cannot be rolled

IsHoliday

public static final boolean IsHoliday(int iDate,
                                      java.lang.String strCalendar,
                                      int iHolType)

Indicate whether the given Date is a Holiday in the specified Location(s)

Parameters:

iDate - Date

strCalendar - Location Calendar Set

iHolType - WEEKDAY_HOLS or WEEKEND_HOLS

Returns:

TRUE - it is a Holiday

IsHoliday

public static final boolean IsHoliday(int iDate,
                                      java.lang.String strCalendar)

Indicates whether the given Date is a Holiday in the specified Location(s)

Parameters:

iDate - Date

strCalendar - Location Calendar Set

Returns:

TRUE - it is a Holiday

BusinessDays

public static final int BusinessDays(int iStartDate,
                                     int iEndDate,
                                     java.lang.String strCalendar)
                              throws java.lang.Exception

Calculate the Number of Business Days between the Start and the End Dates

Parameters:

iStartDate - Start Date

iEndDate - End Date

strCalendar - Holiday Calendar Set

Returns:

The Number of Business Days

Throws:

java.lang.Exception - Thrown if it cannot be evaluated

HolidaySet

public static final java.util.List<java.lang.Integer> HolidaySet(int iStartDate,
                                                                 int iEndDate,
                                                                 java.lang.String strCalendar)

Calculate the Set of Holidays between the Start and the End Dates

Parameters:

iStartDate - Start Date

iEndDate - End Date

strCalendar - Holiday Calendar Set

Returns:

The Set of Holidays

Holidays

public static final int Holidays(int iStartDate,
                                 int iEndDate,
                                 java.lang.String strCalendar)

Calculate the Number of Holidays between the Start and the End Dates

Parameters:

iStartDate - Start Date

iEndDate - End Date

strCalendar - Holiday Calendar Set

Returns:

The Number of Holidays

Adjust

public static final int Adjust(int iDate,
                               java.lang.String strCalendar,
                               int iAdjustMode)

Adjust the given Date in Accordance with the Adjustment Mode and the Calendar Set

Parameters:

iDate - Date to be Adjusted

strCalendar - Calendar Set to calculate the Holidays by

iAdjustMode - Adjustment Mode (one of DR_ACT, DR_FOLL, DR_MOD_FOLL, DR_PREV, or DR_MOD_PREV

Returns:

The Adjusted Date

AddBusinessDays

public static final int AddBusinessDays(int iDate,
                                        int iNumDays,
                                        java.lang.String strCalendar)

Add the specified Number of Business Days and Adjust According to the Calendar Set

Parameters:

iDate - Date to be Adjusted

iNumDays - Number of Days to Add

strCalendar - Calendar Set to calculate the Holidays by

Returns:

The Adjusted Date