DateEOMAdjustment.java

  1. package org.drip.analytics.daycount;

  3. /*
  4.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  5.  */

  7. /*!
  8.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  9.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  10.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  11.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  12.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  13.  * Copyright (C) 2015 Lakshmi Krishnamurthy
  14.  * Copyright (C) 2014 Lakshmi Krishnamurthy
  15.  * Copyright (C) 2013 Lakshmi Krishnamurthy
  16.  * Copyright (C) 2012 Lakshmi Krishnamurthy
  17.  * 
  18.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  19.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  20.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  21.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  22.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  23.  *      and computational support.
  24.  *  
  25.  *      https://lakshmidrip.github.io/DROP/
  26.  *  
  27.  *  DROP is composed of three modules:
  28.  *  
  29.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  30.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  31.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  32.  * 
  33.  *  DROP Product Core implements libraries for the following:
  34.  *  - Fixed Income Analytics
  35.  *  - Loan Analytics
  36.  *  - Transaction Cost Analytics
  37.  * 
  38.  *  DROP Portfolio Core implements libraries for the following:
  39.  *  - Asset Allocation Analytics
  40.  *  - Asset Liability Management Analytics
  41.  *  - Capital Estimation Analytics
  42.  *  - Exposure Analytics
  43.  *  - Margin Analytics
  44.  *  - XVA Analytics
  45.  * 
  46.  *  DROP Computational Core implements libraries for the following:
  47.  *  - Algorithm Support
  48.  *  - Computation Support
  49.  *  - Function Analysis
  50.  *  - Model Validation
  51.  *  - Numerical Analysis
  52.  *  - Numerical Optimizer
  53.  *  - Spline Builder
  54.  *  - Statistical Learning
  55.  * 
  56.  *  Documentation for DROP is Spread Over:
  57.  * 
  58.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  59.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  60.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  61.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  62.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  63.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  64.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  65.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  66.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  67.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  68.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  69.  * 
  70.  *  Licensed under the Apache License, Version 2.0 (the "License");
  71.  *      you may not use this file except in compliance with the License.
  72.  *   
  73.  *  You may obtain a copy of the License at
  74.  *      http://www.apache.org/licenses/LICENSE-2.0
  75.  *  
  76.  *  Unless required by applicable law or agreed to in writing, software
  77.  *      distributed under the License is distributed on an "AS IS" BASIS,
  78.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  79.  *  
  80.  *  See the License for the specific language governing permissions and
  81.  *      limitations under the License.
  82.  */

  84. /**
  85.  * <i>DateEOMAdjustment</i> holds the applicable adjustments for a given date pair. It exposes the following
  86.  * functionality:
  87.  *
  88.  *  <br><br>
  89.  *  <ul>
  90.  *      <li>
  91.  *          Static Methods for creating 30/360, 30/365, and EOMA Date Adjustments
  92.  *      </li>
  93.  *      <li>
  94.  *          Export Anterior and Posterior EOM Adjustments
  95.  *      </li>
  96.  *  </ul>
  97.  *
  98.  *  <br><br>
  99.  *  <ul>
  100.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  101.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  102.  *      <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>
  103.  *      <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>
  104.  *  </ul>
  105.  *
  106.  * @author Lakshmi Krishnamurthy
  107.  */

  109. public class DateEOMAdjustment {
  110.     private int _iD1Adj = 0;
  111.     private int _iD2Adj = 0;

  113.     /**
  114.      * Construct a DateEOMAdjustment Instance for the 30/365 Day Count
  115.      * 
  116.      * @param iStartDate Start Date
  117.      * @param iEndDate End Date
  118.      * @param bApplyEOMAdj TRUE - Apply EOM Adjustment
  119.      * 
  120.      * @return DateEOMAdjustment Instance
  121.      */

  123.     public static final DateEOMAdjustment MakeDEOMA30_365 (
  124.         final int iStartDate,
  125.         final int iEndDate,
  126.         final boolean bApplyEOMAdj)
  127.     {
  128.         DateEOMAdjustment dm = new DateEOMAdjustment();

  130.         if (!bApplyEOMAdj) return dm;

  132.         if (iEndDate > iStartDate) return null;

  134.         try {
  135.             if (org.drip.analytics.date.DateUtil.FEBRUARY == org.drip.analytics.date.DateUtil.Month
  136.                 (iStartDate) && org.drip.analytics.date.DateUtil.IsEOM (iStartDate) &&
  137.                     org.drip.analytics.date.DateUtil.FEBRUARY == org.drip.analytics.date.DateUtil.Month
  138.                         (iEndDate) && org.drip.analytics.date.DateUtil.IsEOM (iEndDate))
  139.                 dm._iD2Adj = (28 == org.drip.analytics.date.DateUtil.DaysInMonth
  140.                     (org.drip.analytics.date.DateUtil.Month (iEndDate),
  141.                         org.drip.analytics.date.DateUtil.Year (iEndDate)) ? 2 : 1);

  143.             if (org.drip.analytics.date.DateUtil.FEBRUARY == org.drip.analytics.date.DateUtil.Month
  144.                 (iStartDate) && org.drip.analytics.date.DateUtil.IsEOM (iStartDate))
  145.                 dm._iD1Adj = (28 == org.drip.analytics.date.DateUtil.DaysInMonth
  146.                     (org.drip.analytics.date.DateUtil.Month (iStartDate),
  147.                         org.drip.analytics.date.DateUtil.Year (iStartDate)) ? 2 : 1);

  149.             if (31 == org.drip.analytics.date.DateUtil.Date (iEndDate) + dm._iD2Adj && (30 ==
  150.                 org.drip.analytics.date.DateUtil.Date (iStartDate) + dm._iD1Adj || 31 ==
  151.                     org.drip.analytics.date.DateUtil.Date (iStartDate) + dm._iD1Adj))
  152.                 dm._iD2Adj -= 1;

  154.             if (31 == org.drip.analytics.date.DateUtil.Date (iStartDate) + dm._iD1Adj) dm._iD1Adj -= 1;

  156.             return dm;
  157.         } catch (java.lang.Exception e) {
  158.             e.printStackTrace();
  159.         }

  161.         return null;
  162.     }

  164.     /**
  165.      * Construct a DateEOMAdjustment Instance for the 30/360 Day Count
  166.      * 
  167.      * @param iStartDate Start Date
  168.      * @param iEndDate End Date
  169.      * @param bApplyEOMAdj TRUE - Apply EOM Adjustment
  170.      * 
  171.      * @return DateEOMAdjustment Instance
  172.      */

  174.     public static final DateEOMAdjustment MakeDEOMA30_360 (
  175.         final int iStartDate,
  176.         final int iEndDate,
  177.         final boolean bApplyEOMAdj)
  178.     {
  179.         DateEOMAdjustment dm = new DateEOMAdjustment();

  181.         if (!bApplyEOMAdj) return dm;

  183.         try {
  184.             if (31 == org.drip.analytics.date.DateUtil.Date (iStartDate)) dm._iD1Adj -= 1;

  186.             if (!org.drip.analytics.date.DateUtil.IsLeapYear (iStartDate)) {
  187.                 if (org.drip.analytics.date.DateUtil.FEBRUARY == org.drip.analytics.date.DateUtil.Month
  188.                     (iStartDate) && 28 == org.drip.analytics.date.DateUtil.Date (iStartDate))
  189.                     dm._iD1Adj += 2;
  190.             } else {
  191.                 if (org.drip.analytics.date.DateUtil.FEBRUARY == org.drip.analytics.date.DateUtil.Month
  192.                     (iStartDate) && 29 == org.drip.analytics.date.DateUtil.Date (iStartDate))
  193.                     dm._iD1Adj += 1;
  194.             }

  196.             if (31 == org.drip.analytics.date.DateUtil.Date (iEndDate) && (30 ==
  197.                 org.drip.analytics.date.DateUtil.Date (iStartDate) || 31 ==
  198.                     org.drip.analytics.date.DateUtil.Date (iStartDate)))
  199.                 dm._iD2Adj -= 1;

  201.             return dm;
  202.         } catch (java.lang.Exception e) {
  203.             e.printStackTrace();
  204.         }

  206.         return null;
  207.     }

  209.     /**
  210.      * Construct a DateEOMAdjustment Instance for all other Day Counts
  211.      * 
  212.      * @param iStartDate Start Date
  213.      * @param iEndDate End Date
  214.      * @param bApplyEOMAdj TRUE - Apply EOM Adjustment
  215.      * 
  216.      * @return DateEOMAdjustment Instance
  217.      */

  219.     public static final DateEOMAdjustment MakeDEOMA (
  220.         final int iStartDate,
  221.         final int iEndDate,
  222.         final boolean bApplyEOMAdj)
  223.     {
  224.         DateEOMAdjustment dm = new DateEOMAdjustment();

  226.         if (!bApplyEOMAdj) return dm;

  228.         try {
  229.             if (bApplyEOMAdj) {
  230.                 if (org.drip.analytics.date.DateUtil.IsEOM (iStartDate))
  231.                     dm._iD1Adj = 30 - org.drip.analytics.date.DateUtil.Date (iStartDate);

  233.                 if (org.drip.analytics.date.DateUtil.IsEOM (iEndDate) &&
  234.                     (org.drip.analytics.date.DateUtil.FEBRUARY != org.drip.analytics.date.DateUtil.Month
  235.                         (iEndDate)))
  236.                     dm._iD2Adj = 30 - org.drip.analytics.date.DateUtil.Date (iEndDate);
  237.             }

  239.             return dm;
  240.         } catch (java.lang.Exception e) {
  241.             e.printStackTrace();
  242.         }

  244.         return null;
  245.     }

  247.     /**
  248.      * Construct a DateEOMAdjustment Instance for the 30E/360 Day Count
  249.      * 
  250.      * @param iStartDate Start Date
  251.      * @param iEndDate End Date
  252.      * @param bApplyEOMAdj TRUE - Apply EOM Adjustment
  253.      * 
  254.      * @return DateEOMAdjustment Instance
  255.      */

  257.     public static final DateEOMAdjustment MakeDEOMA30E_360 (
  258.         final int iStartDate,
  259.         final int iEndDate,
  260.         final boolean bApplyEOMAdj)
  261.     {
  262.         DateEOMAdjustment dm = new DateEOMAdjustment();

  264.         if (!bApplyEOMAdj) return dm;

  266.         try {
  267.             if (bApplyEOMAdj) {
  268.                 if (31 == org.drip.analytics.date.DateUtil.Date (iStartDate)) dm._iD1Adj = -1;

  270.                 if (31 == org.drip.analytics.date.DateUtil.Date (iEndDate)) dm._iD2Adj = -1;
  271.             }

  273.             return dm;
  274.         } catch (java.lang.Exception e) {
  275.             e.printStackTrace();
  276.         }

  278.         return null;
  279.     }

  281.     /**
  282.      * Construct a DateEOMAdjustment Instance for the 30E/360 ISDA Day Count
  283.      * 
  284.      * @param iStartDate Start Date
  285.      * @param iEndDate End Date
  286.      * @param bApplyEOMAdj TRUE - Apply EOM Adjustment
  287.      * 
  288.      * @return DateEOMAdjustment instance
  289.      */

  291.     public static final DateEOMAdjustment MakeDEOMA30E_360_ISDA (
  292.         final int iStartDate,
  293.         final int iEndDate,
  294.         final boolean bApplyEOMAdj)
  295.     {
  296.         DateEOMAdjustment dm = new DateEOMAdjustment();

  298.         if (!bApplyEOMAdj) return dm;

  300.         try {
  301.             if (bApplyEOMAdj) {
  302.                 if (org.drip.analytics.date.DateUtil.IsEOM (iStartDate))
  303.                     dm._iD1Adj = 30 - org.drip.analytics.date.DateUtil.Date (iStartDate);

  305.                 if (org.drip.analytics.date.DateUtil.IsEOM (iEndDate))
  306.                     dm._iD2Adj = 30 - org.drip.analytics.date.DateUtil.Date (iEndDate);
  307.             }

  309.             return dm;
  310.         } catch (java.lang.Exception e) {
  311.             e.printStackTrace();
  312.         }

  314.         return null;
  315.     }

  317.     /**
  318.      * Construct a DateEOMAdjustment Instance for the 30E+/360 ISDA Day Count
  319.      * 
  320.      * @param iStartDate Start Date
  321.      * @param iEndDate End Date
  322.      * @param bApplyEOMAdj TRUE - Apply EOM Adjustment
  323.      * 
  324.      * @return DateEOMAdjustment instance
  325.      */

  327.     public static final DateEOMAdjustment MakeDEOMA30EPLUS_360_ISDA (
  328.         final int iStartDate,
  329.         final int iEndDate,
  330.         final boolean bApplyEOMAdj)
  331.     {
  332.         DateEOMAdjustment dm = new DateEOMAdjustment();

  334.         if (!bApplyEOMAdj) return dm;

  336.         try {
  337.             if (bApplyEOMAdj) {
  338.                 if (31 == org.drip.analytics.date.DateUtil.Date (iStartDate)) dm._iD1Adj = -1;

  340.                 if (31 == org.drip.analytics.date.DateUtil.Date (iStartDate)) dm._iD2Adj = +1;
  341.             }

  343.             return dm;
  344.         } catch (java.lang.Exception e) {
  345.             e.printStackTrace();
  346.         }

  348.         return null;
  349.     }

  351.     /**
  352.      * Retrieve the Anterior Date Adjustment
  353.      * 
  354.      * @return The Anterior Date Adjustment
  355.      */

  357.     public int anterior()
  358.     {
  359.         return _iD1Adj;
  360.     }

  362.     /**
  363.      * Retrieve the Posterior Date Adjustment
  364.      * 
  365.      * @return The Posterior Date Adjustment
  366.      */

  368.     public int posterior()
  369.     {
  370.         return _iD2Adj;
  371.     }
  372. }
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