DCAct_Act_ISDA.java

package org.drip.analytics.daycount;

/*
 * -*- 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
 * 
 *  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>DCAct_Act_ISDA</i> implements the ISDA Act/Act day count convention.
 *
 *  <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/daycount/README.md">Day Count Year Fraction Utilities</a></li>
 *  </ul>
 *
 * @author Lakshmi Krishnamurthy
 */

public class DCAct_Act_ISDA implements org.drip.analytics.daycount.DCFCalculator {

    /**
     * Empty DCAct_Act_ISDA constructor
     */

    public DCAct_Act_ISDA()
    {
    }

    @Override public java.lang.String baseCalculationType()
    {
        return "DCAct_Act_ISDA";
    }

    @Override public java.lang.String[] alternateNames()
    {
        return new java.lang.String[] {"Actual/Actual ISDA", "Act/Act ISDA", "US:WIT Act/Act",
            "DCAct_Act_ISDA"};
    }

    @Override public double yearFraction (
        final int iStartDate,
        final int iEndDate,
        final boolean bApplyEOMAdj,
        final ActActDCParams actactParams,
        final java.lang.String strCalendar)
        throws java.lang.Exception
    {
        DateEOMAdjustment dm = DateEOMAdjustment.MakeDEOMA (iStartDate, iEndDate, bApplyEOMAdj);

        if (null == dm)
            throw new java.lang.Exception ("DCAct_Act_ISDA::yearFraction => Cannot create DateEOMAdjustment!");

        return 1. * ((org.drip.analytics.date.DateUtil.DaysRemaining (iStartDate) - dm.anterior()) /
            (org.drip.analytics.date.DateUtil.IsLeapYear (iStartDate) ? 366. : 365.)) +
                ((org.drip.analytics.date.DateUtil.DaysElapsed (iEndDate) + dm.posterior()) /
                    (org.drip.analytics.date.DateUtil.IsLeapYear (iEndDate) ? 366. : 365.)) +
                        org.drip.analytics.date.DateUtil.Year (iEndDate) -
                            org.drip.analytics.date.DateUtil.Year (iStartDate) - 1;
    }

    @Override public int daysAccrued (
        final int iStartDate,
        final int iEndDate,
        final boolean bApplyEOMAdj,
        final ActActDCParams actactParams,
        final java.lang.String strCalendar)
        throws java.lang.Exception
    {
        DateEOMAdjustment dm = DateEOMAdjustment.MakeDEOMA (iStartDate, iEndDate, bApplyEOMAdj);

        if (null == dm)
            throw new java.lang.Exception ("DCAct_Act_ISDA::daysAccrued => Cannot create DateEOMAdjustment!");

        int iDaysAccrued = 0;

        int iStartYear = org.drip.analytics.date.DateUtil.Year (iStartDate);

        int iEndYear = org.drip.analytics.date.DateUtil.Year (iEndDate);

        if (iEndYear == iStartYear) iDaysAccrued -= 0 == iEndYear % 4 ? 366 : 365;

        for (int iYear = iStartYear + 1; iYear < iEndYear; ++iYear)
            iDaysAccrued += 0 == iYear % 4 ? 366 : 365;

        return iDaysAccrued + org.drip.analytics.date.DateUtil.DaysRemaining (iStartDate) - dm.anterior() +
            org.drip.analytics.date.DateUtil.DaysElapsed (iEndDate) + dm.posterior();
    }
}