module QuantLib.Time.DayCounter
( module QuantLib.Time.DayCounter
) where
import QuantLib.Time.Date
import Data.Time.Calendar
class DayCounter m where
dcName :: m->String
dcCount :: m->Date->Date->Int
dcYearFraction :: m->Date->Date->Double
data Thirty360 = ThirtyUSA | ThirtyEuropean | ThirtyItalian
instance DayCounter Thirty360 where
dcName ThirtyUSA = "Thirty USA"
dcName ThirtyEuropean = "Thirty Euro"
dcName ThirtyItalian = "Thirty Italian"
dcYearFraction dc fromDate toDate = (fromIntegral $ dcCount dc fromDate toDate)/360.0
dcCount ThirtyUSA fd td = 360*(yy2yy1) + 30*(mm2mm11) + (max 0 (30dd1)) + (min 30 dd2)
where (y1, mm1, dd1) = toGregorian fd
(y2, m2, d2) = toGregorian td
yy1 = fromIntegral y1
yy2 = fromIntegral y2
(dd2, mm2) = adjust dd1 d2 m2
adjust x1 x2 z2
| x2 == 31 && x1 < 30 = (1, z2+1)
| otherwise = (x2, z2)
dcCount ThirtyEuropean fd td = 360*(yy2yy1) + 30*(m2m11) + (max 0 (30d1)) + (min 30 d2)
where (y1, m1, d1) = toGregorian fd
(y2, m2, d2) = toGregorian td
yy1 = fromIntegral y1
yy2 = fromIntegral y2
dcCount ThirtyItalian fd td = 360*(yy2yy1) + 30*(mm2mm11) + (max 0 (30dd1)) + (min 30 dd2)
where (y1, mm1, d1) = toGregorian fd
(y2, mm2, d2) = toGregorian td
yy1 = fromIntegral y1
yy2 = fromIntegral y2
dd1 = adjust d1 mm1
dd2 = adjust d2 mm2
adjust x1 z1
| z1 == 2 && x1 > 27 = 30
| otherwise = x1