DayCountAPI.java

  1. package org.drip.sample.date;

  3. /* 
  4.  * Generic imports
  5.  */

  7. import org.drip.analytics.date.*;
  8. import org.drip.analytics.daycount.Convention;
  9. import org.drip.numerical.common.FormatUtil;
  10. import org.drip.service.env.EnvManager;

  12. /*
  13.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  14.  */

  16. /*!
  17.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  18.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  19.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  20.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  21.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  22.  * Copyright (C) 2015 Lakshmi Krishnamurthy
  23.  * Copyright (C) 2014 Lakshmi Krishnamurthy
  24.  * Copyright (C) 2013 Lakshmi Krishnamurthy
  25.  * Copyright (C) 2012 Lakshmi Krishnamurthy
  26.  * 
  27.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  28.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  29.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  30.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  31.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  32.  *      and computational support.
  33.  *  
  34.  *      https://lakshmidrip.github.io/DROP/
  35.  *  
  36.  *  DROP is composed of three modules:
  37.  *  
  38.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  39.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  40.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  41.  * 
  42.  *  DROP Product Core implements libraries for the following:
  43.  *  - Fixed Income Analytics
  44.  *  - Loan Analytics
  45.  *  - Transaction Cost Analytics
  46.  * 
  47.  *  DROP Portfolio Core implements libraries for the following:
  48.  *  - Asset Allocation Analytics
  49.  *  - Asset Liability Management Analytics
  50.  *  - Capital Estimation Analytics
  51.  *  - Exposure Analytics
  52.  *  - Margin Analytics
  53.  *  - XVA Analytics
  54.  * 
  55.  *  DROP Computational Core implements libraries for the following:
  56.  *  - Algorithm Support
  57.  *  - Computation Support
  58.  *  - Function Analysis
  59.  *  - Model Validation
  60.  *  - Numerical Analysis
  61.  *  - Numerical Optimizer
  62.  *  - Spline Builder
  63.  *  - Statistical Learning
  64.  * 
  65.  *  Documentation for DROP is Spread Over:
  66.  * 
  67.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  68.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  69.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  70.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  71.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  72.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  73.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  74.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  75.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  76.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  77.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  78.  * 
  79.  *  Licensed under the Apache License, Version 2.0 (the "License");
  80.  *      you may not use this file except in compliance with the License.
  81.  *   
  82.  *  You may obtain a copy of the License at
  83.  *      http://www.apache.org/licenses/LICENSE-2.0
  84.  *  
  85.  *  Unless required by applicable law or agreed to in writing, software
  86.  *      distributed under the License is distributed on an "AS IS" BASIS,
  87.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  88.  *  
  89.  *  See the License for the specific language governing permissions and
  90.  *      limitations under the License.
  91.  */

  93. /**
  94.  * <i>DayCountAPI</i> demonstrates Day-count API Functionality. It does the following:
  95.  *  
  96.  * <br><br>
  97.  *  <ul>
  98.  *      <li>
  99.  *          Get all the holiday locations in CreditAnalytics, and all the holidays in the year according the
  100.  *              calendar set.
  101.  *      </li>
  102.  *      <li>
  103.  *          Calculate year fraction between 2 dates according to semi-annual, Act/360, and USD calendar.
  104.  *      </li>
  105.  *  </ul>
  106.  *  
  107.  * <br><br>
  108.  *  <ul>
  109.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  110.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  111.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/README.md">DROP API Construction and Usage</a></li>
  112.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/date/README.md">Calendar Date Roll Day Count</a></li>
  113.  *  </ul>
  114.  * <br><br>
  115.  * 
  116.  * @author Lakshmi Krishnamurthy
  117.  */

  119. public class DayCountAPI {

  121.     /**
  122.      * Sample API demonstrating the day count functionality
  123.      * 
  124.      *      USE WITH CARE: This sample ignores errors and does not handle exceptions.
  125.      */

  127.     private static final void DayCountAPISample (
  128.         final JulianDate dtStart,
  129.         final JulianDate dtEnd,
  130.         final String strDayCount)
  131.         throws Exception
  132.     {
  133.         /*
  134.          * Calculate year fraction between 2 dates according to semi-annual, Act/360, and USD calendar
  135.          */

  137.         double dblYearFraction = org.drip.analytics.daycount.Convention.YearFraction (
  138.             dtStart.julian(),
  139.             dtEnd.julian(),
  140.             strDayCount,
  141.             false,
  142.             null,
  143.             "USD"
  144.         );

  146.         int iDaysAccrued = org.drip.analytics.daycount.Convention.DaysAccrued (
  147.             dtStart.julian(),
  148.             dtEnd.julian(),
  149.             strDayCount,
  150.             false,
  151.             null,
  152.             "USD"
  153.         );

  155.         System.out.println (
  156.             "\t[" + dtStart + " -> " + dtEnd + "] => " + FormatUtil.FormatDouble (dblYearFraction, 1, 4, 1.) + " | " + iDaysAccrued + " | " + strDayCount
  157.         );
  158.     }

  160.     private static final void DayCountSequence (
  161.         final JulianDate dtStart,
  162.         final JulianDate dtEnd)
  163.         throws Exception
  164.     {
  165.         DayCountAPISample (dtStart, dtEnd, "28/360");

  167.         DayCountAPISample (dtStart, dtEnd, "30/365");

  169.         DayCountAPISample (dtStart, dtEnd, "30/360");

  171.         DayCountAPISample (dtStart, dtEnd, "30E/360 ISDA");

  173.         DayCountAPISample (dtStart, dtEnd, "30E/360");

  175.         DayCountAPISample (dtStart, dtEnd, "30E+/360");

  177.         DayCountAPISample (dtStart, dtEnd, "Act/360");

  179.         DayCountAPISample (dtStart, dtEnd, "Act/364");

  181.         DayCountAPISample (dtStart, dtEnd, "Act/365");

  183.         DayCountAPISample (dtStart, dtEnd, "Act/Act ISDA");

  185.         DayCountAPISample (dtStart, dtEnd, "Act/Act");

  187.         DayCountAPISample (dtStart, dtEnd, "NL/360");

  189.         DayCountAPISample (dtStart, dtEnd, "NL/365");
  190.     }

  192.     public static final void main (
  193.         final String astrArgs[])
  194.         throws Exception
  195.     {
  196.         // String strConfig = "c:\\Lakshmi\\BondAnal\\Config.xml";

  198.         String strConfig = "";

  200.         EnvManager.InitEnv (strConfig);

  202.         /*
  203.          * List available day count
  204.          */

  206.         String strDCList = Convention.AvailableDC();

  208.         System.out.println (strDCList + "\n--------------------\n");

  210.         DayCountSequence (
  211.             DateUtil.CreateFromYMD (2013, 5, 30),
  212.             DateUtil.CreateFromYMD (2013, 6, 24)
  213.         );

  215.         System.out.println ("\n--------------------\n");

  217.         DayCountSequence (
  218.             DateUtil.CreateFromYMD (2010, 12, 30),
  219.             DateUtil.CreateFromYMD (2012, 12, 30)
  220.         );

  222.         EnvManager.TerminateEnv();
  223.     }
  224. }
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