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*(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