JulianDate.java
- package org.drip.analytics.date;
- /*
- * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
- */
- /*!
- * Copyright (C) 2020 Lakshmi Krishnamurthy
- * Copyright (C) 2019 Lakshmi Krishnamurthy
- * Copyright (C) 2018 Lakshmi Krishnamurthy
- * Copyright (C) 2017 Lakshmi Krishnamurthy
- * Copyright (C) 2016 Lakshmi Krishnamurthy
- * Copyright (C) 2015 Lakshmi Krishnamurthy
- * Copyright (C) 2014 Lakshmi Krishnamurthy
- * Copyright (C) 2013 Lakshmi Krishnamurthy
- * Copyright (C) 2012 Lakshmi Krishnamurthy
- * Copyright (C) 2011 Lakshmi Krishnamurthy
- *
- * This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
- * asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
- * analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
- * equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
- * numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
- * and computational support.
- *
- * https://lakshmidrip.github.io/DROP/
- *
- * DROP is composed of three modules:
- *
- * - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
- * - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
- * - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
- *
- * DROP Product Core implements libraries for the following:
- * - Fixed Income Analytics
- * - Loan Analytics
- * - Transaction Cost Analytics
- *
- * DROP Portfolio Core implements libraries for the following:
- * - Asset Allocation Analytics
- * - Asset Liability Management Analytics
- * - Capital Estimation Analytics
- * - Exposure Analytics
- * - Margin Analytics
- * - XVA Analytics
- *
- * DROP Computational Core implements libraries for the following:
- * - Algorithm Support
- * - Computation Support
- * - Function Analysis
- * - Model Validation
- * - Numerical Analysis
- * - Numerical Optimizer
- * - Spline Builder
- * - Statistical Learning
- *
- * Documentation for DROP is Spread Over:
- *
- * - Main => https://lakshmidrip.github.io/DROP/
- * - Wiki => https://github.com/lakshmiDRIP/DROP/wiki
- * - GitHub => https://github.com/lakshmiDRIP/DROP
- * - Repo Layout Taxonomy => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
- * - Javadoc => https://lakshmidrip.github.io/DROP/Javadoc/index.html
- * - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
- * - Release Versions => https://lakshmidrip.github.io/DROP/version.html
- * - Community Credits => https://lakshmidrip.github.io/DROP/credits.html
- * - Issues Catalog => https://github.com/lakshmiDRIP/DROP/issues
- * - JUnit => https://lakshmidrip.github.io/DROP/junit/index.html
- * - Jacoco => https://lakshmidrip.github.io/DROP/jacoco/index.html
- *
- * Licensed under the Apache License, Version 2.0 (the "License");
- * you may not use this file except in compliance with the License.
- *
- * You may obtain a copy of the License at
- * http://www.apache.org/licenses/LICENSE-2.0
- *
- * Unless required by applicable law or agreed to in writing, software
- * distributed under the License is distributed on an "AS IS" BASIS,
- * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
- *
- * See the License for the specific language governing permissions and
- * limitations under the License.
- */
- /**
- * <i>JulianDate</i> provides a comprehensive representation of Julian date and date manipulation
- * functionality. It exports the following functionality:
- *
- * <br><br>
- * <ul>
- * <li>
- * Explicit date construction, as well as date construction from several input string formats/today
- * </li>
- * <li>
- * Date Addition/Adjustment/Elapsed/Difference, add/subtract days/weeks/months/years and tenor codes
- * </li>
- * <li>
- * Leap Year Functionality (number of leap days in the given interval, is the given year a leap year
- * etc.)
- * </li>
- * <li>
- * Generate the subsequent IMM date (CME IMM date, CDS/Credit ISDA IMM date etc)
- * </li>
- * <li>
- * Year/Month/Day in numbers/characters
- * </li>
- * <li>
- * Days Elapsed/Remaining, is EOM
- * </li>
- * <li>
- * Comparison with the Other, equals/hash-code/comparator
- * </li>
- * <li>
- * Export the date to a variety of date formats (Oracle, Julian, Bloomberg)
- * </li>
- * <li>
- * Serialization/De-serialization to and from Byte Arrays
- * </li>
- * </ul>
- *
- * <br><br>
- *
- * The References are:
- * <ul>
- * <li>
- * Fliegel, H. F., and T. C. van Flandern (1968): A Machine Algorithm for Processing Calendar Dates
- * <i>Communications of the ACM</i> <b>11</b> 657
- * </li>
- * <li>
- * Fenton, D. (2001): Julian to Calendar Date Conversion
- * http://mathforum.org/library/drmath/view/51907.html
- * </li>
- * </ul>
- *
- * <br><br>
- * <ul>
- * <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
- * <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
- * <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/analytics/README.md">Date, Cash Flow, and Cash Flow Period Measure Generation Utilities</a></li>
- * <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/analytics/date/README.md">Date and Time Creation, Manipulation, and Usage</a></li>
- * </ul>
- *
- * @author Lakshmi Krishnamurthy
- */
- public class JulianDate implements java.lang.Comparable<JulianDate> {
- private int _iJulian = java.lang.Integer.MIN_VALUE;
- /**
- * Create JulianDate from an Integer Julian Date Instance
- *
- * @param iJulian Julian Date Integer Instance
- */
- public JulianDate (
- final int iJulian)
- {
- _iJulian = iJulian;
- }
- /**
- * Return the Integer Julian Date
- *
- * @return The Integer Julian Date
- */
- public int julian()
- {
- return _iJulian;
- }
- /**
- * Add the given Number of Days and return a JulianDate Instance
- *
- * @param iDays Number of Days to be added
- *
- * @return The new JulianDate
- */
- public JulianDate addDays (
- final int iDays)
- {
- try {
- return new JulianDate (_iJulian + iDays);
- } catch (java.lang.Exception e) {
- e.printStackTrace();
- }
- return null;
- }
- /**
- * Subtract the given Number of Days and return the JulianDate Instance
- *
- * @param iDays Number of days to be subtracted
- *
- * @return The JulianDate Instance
- */
- public JulianDate subtractDays (
- final int iDays)
- {
- try {
- return new JulianDate (_iJulian - iDays);
- } catch (java.lang.Exception e) {
- e.printStackTrace();
- }
- return null;
- }
- /**
- * Add the given Number of Business Days and return a new JulianDate Instance
- *
- * @param iDays Number of Days to be subtracted
- *
- * @param strCalendarSet String representing the Calendar Set containing the Business Days
- *
- * @return The new JulianDate Instance
- */
- public JulianDate addBusDays (
- final int iDays,
- final java.lang.String strCalendarSet)
- {
- int iNumDaysToAdd = iDays;
- int iAdjusted = _iJulian;
- try {
- while (0 < iNumDaysToAdd--) {
- ++iAdjusted;
- while (org.drip.analytics.daycount.Convention.IsHoliday (iAdjusted, strCalendarSet))
- ++iAdjusted;
- }
- while (org.drip.analytics.daycount.Convention.IsHoliday (iAdjusted, strCalendarSet)) ++iAdjusted;
- return new JulianDate (iAdjusted);
- } catch (java.lang.Exception e) {
- e.printStackTrace();
- }
- return null;
- }
- /**
- * Subtract the given Number of Business Days and return a new JulianDate Instance
- *
- * @param iDays Number of Days to be subtracted
- *
- * @param strCalendarSet String representing the Calendar Set containing the Business Days
- *
- * @return The new JulianDate Instance
- */
- public JulianDate subtractBusDays (
- final int iDays,
- final java.lang.String strCalendarSet)
- {
- int iNumDaysToAdd = iDays;
- int iDateAdjusted = _iJulian;
- try {
- while (0 < iNumDaysToAdd--) {
- --iDateAdjusted;
- while (org.drip.analytics.daycount.Convention.IsHoliday (iDateAdjusted, strCalendarSet))
- --iDateAdjusted;
- }
- while (org.drip.analytics.daycount.Convention.IsHoliday (iDateAdjusted, strCalendarSet))
- --iDateAdjusted;
- return new JulianDate (iDateAdjusted);
- } catch (java.lang.Exception e) {
- e.printStackTrace();
- }
- return null;
- }
- /**
- * Add the given Number of Years and return a new JulianDate Instance
- *
- * @param iNumYears Number of Years to be added
- *
- * @return The New JulianDate Instance
- */
- public JulianDate addYears (
- final int iNumYears)
- {
- int iP = _iJulian + 68569;
- int iQ = 4 * iP / 146097;
- int iR = iP - (146097 * iQ + 3) / 4;
- int iS = 4000 * (iR + 1) / 1461001;
- int iT = iR - (1461 * iS / 4) + 31;
- int iU = 80 * iT / 2447;
- int iV = iU / 11;
- int iY = 100 * (iQ - 49) + iS + iV;
- int iM = iU + 2 - 12 * iV;
- int iD = iT - (2447 * iU / 80);
- try {
- return org.drip.analytics.date.DateUtil.CreateFromYMD (iY + iNumYears, iM, iD);
- } catch (java.lang.Exception e) {
- e.printStackTrace();
- }
- return null;
- }
- /**
- * Add the given Number of Months and return a New JulianDate Instance
- *
- * @param iNumMonths Number of Months to be added
- *
- * @return The new JulianDate Instance
- */
- public JulianDate addMonths (
- final int iNumMonths)
- {
- int iP = _iJulian + 68569;
- int iQ = 4 * iP / 146097;
- int iR = iP - (146097 * iQ + 3) / 4;
- int iS = 4000 * (iR + 1) / 1461001;
- int iT = iR - (1461 * iS / 4) + 31;
- int iU = 80 * iT / 2447;
- int iV = iU / 11;
- int iYear = 100 * (iQ - 49) + iS + iV;
- int iMonth = iU + 2 - 12 * iV + iNumMonths;
- int iDate = iT - (2447 * iU / 80);
- while (12 < iMonth) {
- ++iYear;
- iMonth -= 12;
- }
- while (0 >= iMonth) {
- --iYear;
- iMonth += 12;
- }
- try {
- int iDaysInMonth = org.drip.analytics.date.DateUtil.DaysInMonth (iMonth, iYear);
- while (iDate > iDaysInMonth)
- --iDate;
- return org.drip.analytics.date.DateUtil.CreateFromYMD (iYear, iMonth, iDate);
- } catch (java.lang.Exception e) {
- e.printStackTrace();
- }
- return null;
- }
- /**
- * Generate the First Rates Futures IMM Date from this JulianDate
- *
- * @param iNumRollMonths Number of Months to Roll
- *
- * @return The IMM JulianDate Instance
- */
- public JulianDate nextRatesFuturesIMM (
- final int iNumRollMonths)
- {
- int iP = _iJulian + 68569;
- int iQ = 4 * iP / 146097;
- int iR = iP - (146097 * iQ + 3) / 4;
- int iS = 4000 * (iR + 1) / 1461001;
- int iT = iR - (1461 * iS / 4) + 31;
- int iU = 80 * iT / 2447;
- int iV = iU / 11;
- int iYear = 100 * (iQ - 49) + iS + iV;
- int iMonth = iU + 2 - 12 * iV;
- int iDate = iT - (2447 * iU / 80);
- if (15 <= iDate) {
- if (12 < ++iMonth) {
- ++iYear;
- iMonth -= 12;
- }
- }
- while (0 != iMonth % iNumRollMonths) ++iMonth;
- try {
- return org.drip.analytics.date.DateUtil.CreateFromYMD (iYear, iMonth, 15);
- } catch (java.lang.Exception e) {
- e.printStackTrace();
- }
- return null;
- }
- /**
- * Generate the First Bond Futures IMM Date from this JulianDate according to the specified Calendar
- *
- * @param iNumRollMonths Number of Months to Roll
- * @param strCalendar Holiday Calendar
- *
- * @return The IMM JulianDate Instance
- */
- public JulianDate nextBondFuturesIMM (
- final int iNumRollMonths,
- final java.lang.String strCalendar)
- {
- int iP = _iJulian + 68569;
- int iQ = 4 * iP / 146097;
- int iR = iP - (146097 * iQ + 3) / 4;
- int iS = 4000 * (iR + 1) / 1461001;
- int iT = iR - (1461 * iS / 4) + 31;
- int iU = 80 * iT / 2447;
- int iV = iU / 11;
- int iYear = 100 * (iQ - 49) + iS + iV;
- int iMonth = iU + 2 - 12 * iV;
- while (0 != iMonth % iNumRollMonths) ++iMonth;
- try {
- return org.drip.analytics.date.DateUtil.CreateFromYMD (iYear, iMonth,
- org.drip.analytics.date.DateUtil.DaysInMonth (iMonth, iYear));
- /* return org.drip.analytics.date.DateUtil.CreateFromYMD (iYear, iMonth,
- org.drip.analytics.date.DateUtil.DaysInMonth (iMonth, iYear)).subtractBusDays (8,
- strCalendar); */
- } catch (java.lang.Exception e) {
- e.printStackTrace();
- }
- return null;
- }
- /**
- * Generate the First Credit IMM roll date from this JulianDate
- *
- * @param iNumRollMonths Number of Months to Roll
- *
- * @return The IMM JulianDate Instance
- */
- public JulianDate nextCreditIMM (
- final int iNumRollMonths)
- {
- int iP = _iJulian + 68569;
- int iQ = 4 * iP / 146097;
- int iR = iP - (146097 * iQ + 3) / 4;
- int iS = 4000 * (iR + 1) / 1461001;
- int iT = iR - (1461 * iS / 4) + 31;
- int iU = 80 * iT / 2447;
- int iV = iU / 11;
- int iYear = 100 * (iQ - 49) + iS + iV;
- int iMonth = iU + 2 - 12 * iV;
- int iDate = iT - (2447 * iU / 80);
- if (20 <= iDate) {
- if (12 < ++iMonth) {
- ++iYear;
- iMonth -= 12;
- }
- }
- while (0 != iMonth % iNumRollMonths) ++iMonth;
- try {
- return org.drip.analytics.date.DateUtil.CreateFromYMD (iYear, iMonth, 20);
- } catch (java.lang.Exception e) {
- e.printStackTrace();
- }
- return null;
- }
- /**
- * Add the tenor to the JulianDate to create a new date
- *
- * @param strTenorIn String representing the Input Tenor to add
- *
- * @return The new JulianDate
- */
- public JulianDate addTenor (
- final java.lang.String strTenorIn)
- {
- if (null == strTenorIn || strTenorIn.isEmpty()) return null;
- java.lang.String strTenor = "ON".equalsIgnoreCase (strTenorIn) ? "1D" : strTenorIn;
- int iNumChar = strTenor.length();
- char chTenor = strTenor.charAt (iNumChar - 1);
- int iTimeUnit = -1;
- try {
- iTimeUnit = java.lang.Integer.parseInt (strTenor.substring (0, iNumChar - 1));
- } catch (java.lang.Exception e) {
- System.out.println ("Bad time unit " + iTimeUnit + " in tenor " + strTenor);
- return null;
- }
- if ('d' == chTenor || 'D' == chTenor) return addDays (iTimeUnit);
- if ('w' == chTenor || 'W' == chTenor) return addDays (iTimeUnit * 7);
- if ('l' == chTenor || 'L' == chTenor) return addDays (iTimeUnit * 28);
- if ('m' == chTenor || 'M' == chTenor) return addMonths (iTimeUnit);
- if ('y' == chTenor || 'Y' == chTenor) return addYears (iTimeUnit);
- System.out.println ("Unknown tenor format " + strTenor);
- return null;
- }
- /**
- * Add the Tenor to the JulianDate and Adjust it to create a new Instance
- *
- * @param strTenor The Tenor
- * @param strCalendarSet The Holiday Calendar Set
- *
- * @return The new JulianDate Instance
- */
- public JulianDate addTenorAndAdjust (
- final java.lang.String strTenor,
- final java.lang.String strCalendarSet)
- {
- JulianDate dtNew = addTenor (strTenor);
- if (null == dtNew) return null;
- try {
- return new JulianDate (org.drip.analytics.daycount.Convention.RollDate (dtNew.julian(),
- org.drip.analytics.daycount.Convention.DATE_ROLL_FOLLOWING, strCalendarSet, 1));
- } catch (java.lang.Exception e) {
- e.printStackTrace();
- }
- return null;
- }
- /**
- * Subtract the tenor to the JulianDate to create a new date
- *
- * @param strTenorIn String representing the tenor to add
- *
- * @return The new JulianDate
- */
- public JulianDate subtractTenor (
- final java.lang.String strTenorIn)
- {
- if (null == strTenorIn || strTenorIn.isEmpty()) return null;
- java.lang.String strTenor = "ON".equalsIgnoreCase (strTenorIn) ? "1D" : strTenorIn;
- int iNumChar = strTenor.length();
- char chTenor = strTenor.charAt (iNumChar - 1);
- int iTimeUnit = -1;
- try {
- iTimeUnit = java.lang.Integer.parseInt (strTenor.substring (0, iNumChar - 1));
- } catch (java.lang.Exception e) {
- System.out.println ("Bad time unit " + iTimeUnit + " in tenor " + strTenor);
- return null;
- }
- if ('d' == chTenor || 'D' == chTenor) return addDays (-iTimeUnit);
- if ('w' == chTenor || 'W' == chTenor) return addDays (-iTimeUnit * 7);
- if ('l' == chTenor || 'L' == chTenor) return addDays (-iTimeUnit * 28);
- if ('m' == chTenor || 'M' == chTenor) return addMonths (-iTimeUnit);
- if ('y' == chTenor || 'Y' == chTenor) return addYears (-iTimeUnit);
- return null;
- }
- /**
- * Subtract the tenor to the JulianDate to create a new business date
- *
- * @param strTenor The Tenor
- * @param strCalendarSet The Holiday Calendar Set
- *
- * @return The new JulianDate
- */
- public JulianDate subtractTenorAndAdjust (
- final java.lang.String strTenor,
- final java.lang.String strCalendarSet)
- {
- JulianDate dtNew = subtractTenor (strTenor);
- if (null == dtNew) return null;
- try {
- return new JulianDate (org.drip.analytics.daycount.Convention.RollDate (dtNew.julian(),
- org.drip.analytics.daycount.Convention.DATE_ROLL_FOLLOWING, strCalendarSet, 1));
- } catch (java.lang.Exception e) {
- e.printStackTrace();
- }
- return null;
- }
- /**
- * Difference in Days between the Current and the Input Dates
- *
- * @param dt Input Date
- *
- * @return The Difference
- *
- * @throws java.lang.Exception Thrown if Input Date is Invalid
- */
- public int daysDiff (
- final JulianDate dt)
- throws java.lang.Exception
- {
- if (null == dt) throw new java.lang.Exception ("JulianDate::daysDiff => Invalid Input!");
- return _iJulian - dt.julian();
- }
- /**
- * Return a Trigram Representation of the Date
- *
- * @return String representing the Trigram Representation of Date
- */
- public java.lang.String toOracleDate()
- {
- try {
- return DateUtil.Date (_iJulian) + "-" + org.drip.analytics.date.DateUtil.MonthTrigram
- (org.drip.analytics.date.DateUtil.Month (_iJulian)) + "-" +
- org.drip.analytics.date.DateUtil.Year (_iJulian);
- } catch (java.lang.Exception e) {
- e.printStackTrace();
- }
- return null;
- }
- /**
- * Return a Representation of Date as YYYYMMDD
- *
- * @param strDelimIn Field Delimiter
- *
- * @return String of the YYYYMMDD Representation of Date
- */
- public java.lang.String toYYYYMMDD (
- final java.lang.String strDelimIn)
- {
- java.lang.String strDelim = null == strDelimIn ? "" : strDelimIn;
- try {
- return org.drip.numerical.common.FormatUtil.FormatDouble (DateUtil.Year (_iJulian), 4, 0, 1.) +
- strDelim + org.drip.numerical.common.FormatUtil.FormatDouble
- (org.drip.analytics.date.DateUtil.Month (_iJulian), 2, 0, 1.) + strDelim +
- org.drip.numerical.common.FormatUtil.FormatDouble (DateUtil.Date (_iJulian), 2, 0, 1.);
- } catch (java.lang.Exception e) {
- e.printStackTrace();
- }
- return null;
- }
- @Override public boolean equals (
- final java.lang.Object o)
- {
- if (!(o instanceof JulianDate)) return false;
- return _iJulian == ((JulianDate) o)._iJulian;
- }
- @Override public int hashCode()
- {
- long lBits = java.lang.Double.doubleToLongBits (_iJulian);
- return (int) (lBits ^ (lBits >>> 32));
- }
- @Override public java.lang.String toString()
- {
- return org.drip.analytics.date.DateUtil.DDMMMYYYY (_iJulian);
- }
- @Override public int compareTo (
- final JulianDate dtOther)
- {
- if (_iJulian > dtOther._iJulian) return 1;
- if (_iJulian < dtOther._iJulian) return -1;
- return 0;
- }
- }