DayCountAPI.java
package org.drip.sample.date;
/*
* Generic imports
*/
import org.drip.analytics.date.*;
import org.drip.analytics.daycount.Convention;
import org.drip.numerical.common.FormatUtil;
import org.drip.service.env.EnvManager;
/*
* -*- 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>DayCountAPI</i> demonstrates Day-count API Functionality. It does the following:
*
* <br><br>
* <ul>
* <li>
* Get all the holiday locations in CreditAnalytics, and all the holidays in the year according the
* calendar set.
* </li>
* <li>
* Calculate year fraction between 2 dates according to semi-annual, Act/360, and USD calendar.
* </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/sample/README.md">DROP API Construction and Usage</a></li>
* <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>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class DayCountAPI {
/**
* Sample API demonstrating the day count functionality
*
* USE WITH CARE: This sample ignores errors and does not handle exceptions.
*/
private static final void DayCountAPISample (
final JulianDate dtStart,
final JulianDate dtEnd,
final String strDayCount)
throws Exception
{
/*
* Calculate year fraction between 2 dates according to semi-annual, Act/360, and USD calendar
*/
double dblYearFraction = org.drip.analytics.daycount.Convention.YearFraction (
dtStart.julian(),
dtEnd.julian(),
strDayCount,
false,
null,
"USD"
);
int iDaysAccrued = org.drip.analytics.daycount.Convention.DaysAccrued (
dtStart.julian(),
dtEnd.julian(),
strDayCount,
false,
null,
"USD"
);
System.out.println (
"\t[" + dtStart + " -> " + dtEnd + "] => " + FormatUtil.FormatDouble (dblYearFraction, 1, 4, 1.) + " | " + iDaysAccrued + " | " + strDayCount
);
}
private static final void DayCountSequence (
final JulianDate dtStart,
final JulianDate dtEnd)
throws Exception
{
DayCountAPISample (dtStart, dtEnd, "28/360");
DayCountAPISample (dtStart, dtEnd, "30/365");
DayCountAPISample (dtStart, dtEnd, "30/360");
DayCountAPISample (dtStart, dtEnd, "30E/360 ISDA");
DayCountAPISample (dtStart, dtEnd, "30E/360");
DayCountAPISample (dtStart, dtEnd, "30E+/360");
DayCountAPISample (dtStart, dtEnd, "Act/360");
DayCountAPISample (dtStart, dtEnd, "Act/364");
DayCountAPISample (dtStart, dtEnd, "Act/365");
DayCountAPISample (dtStart, dtEnd, "Act/Act ISDA");
DayCountAPISample (dtStart, dtEnd, "Act/Act");
DayCountAPISample (dtStart, dtEnd, "NL/360");
DayCountAPISample (dtStart, dtEnd, "NL/365");
}
public static final void main (
final String astrArgs[])
throws Exception
{
// String strConfig = "c:\\Lakshmi\\BondAnal\\Config.xml";
String strConfig = "";
EnvManager.InitEnv (strConfig);
/*
* List available day count
*/
String strDCList = Convention.AvailableDC();
System.out.println (strDCList + "\n--------------------\n");
DayCountSequence (
DateUtil.CreateFromYMD (2013, 5, 30),
DateUtil.CreateFromYMD (2013, 6, 24)
);
System.out.println ("\n--------------------\n");
DayCountSequence (
DateUtil.CreateFromYMD (2010, 12, 30),
DateUtil.CreateFromYMD (2012, 12, 30)
);
EnvManager.TerminateEnv();
}
}