module QuantLib.Time.DayCounter ( module QuantLib.Time.DayCounter ) where import QuantLib.Time.Date import Data.Time.Calendar -- | Day counter type class class DayCounter m where -- | Name of day counter dcName :: m->String -- | Number of business days inbetween dcCount :: m->Date->Date->Int -- | Year fraction dcYearFraction :: m->Date->Date->Double {- data SimpleDayCounter = SimpleDayCounter instance DayCounter SimpleDayCounter where dcName _ = "Simple" dcCount = undefined dcYearFraction = undefined -} -- | Thirty day counters as in QuantLib 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*(yy2-yy1) + 30*(mm2-mm1-1) + max 0 (30-dd1) + min 30 dd2 where (yy1, mm1, dd1) = intGregorian fd (yy2, m2, d2) = intGregorian td (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*(yy2-yy1) + 30*(m2-m1-1) + max 0 (30-d1) + min 30 d2 where (yy1, m1, d1) = intGregorian fd (yy2, m2, d2) = intGregorian td dcCount ThirtyItalian fd td = 360*(yy2-yy1) + 30*(mm2-mm1-1) + max 0 (30-dd1) + min 30 dd2 where (yy1, mm1, d1) = intGregorian fd (yy2, mm2, d2) = intGregorian td dd1 = adjust d1 mm1 dd2 = adjust d2 mm2 adjust x1 z1 | z1 == 2 && x1 > 27 = 30 | otherwise = x1 intGregorian :: Day -> (Int, Int, Int) intGregorian date = (fromIntegral y, m, d) where (y, m, d) = toGregorian date