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 :: Thirty360 -> String
dcName Thirty360
ThirtyUSA = String
"Thirty USA"
dcName Thirty360
ThirtyEuropean = String
"Thirty Euro"
dcName Thirty360
ThirtyItalian = String
"Thirty Italian"
dcYearFraction :: Thirty360 -> Date -> Date -> Double
dcYearFraction Thirty360
dc Date
fromDate Date
toDate = Int -> Double
forall a b. (Integral a, Num b) => a -> b
fromIntegral (Thirty360 -> Date -> Date -> Int
forall m. DayCounter m => m -> Date -> Date -> Int
dcCount Thirty360
dc Date
fromDate Date
toDate) Double -> Double -> Double
forall a. Fractional a => a -> a -> a
/ Double
360.0
dcCount :: Thirty360 -> Date -> Date -> Int
dcCount Thirty360
ThirtyUSA Date
fd Date
td = Int
360Int -> Int -> Int
forall a. Num a => a -> a -> a
*(Int
yy2Int -> Int -> Int
forall a. Num a => a -> a -> a
-Int
yy1) Int -> Int -> Int
forall a. Num a => a -> a -> a
+ Int
30Int -> Int -> Int
forall a. Num a => a -> a -> a
*(Int
mm2Int -> Int -> Int
forall a. Num a => a -> a -> a
-Int
mm1Int -> Int -> Int
forall a. Num a => a -> a -> a
-Int
1) Int -> Int -> Int
forall a. Num a => a -> a -> a
+ Int -> Int -> Int
forall a. Ord a => a -> a -> a
max Int
0 (Int
30Int -> Int -> Int
forall a. Num a => a -> a -> a
-Int
dd1) Int -> Int -> Int
forall a. Num a => a -> a -> a
+ Int -> Int -> Int
forall a. Ord a => a -> a -> a
min Int
30 Int
dd2
where (Int
yy1, Int
mm1, Int
dd1) = Date -> (Int, Int, Int)
intGregorian Date
fd
(Int
yy2, Int
m2, Int
d2) = Date -> (Int, Int, Int)
intGregorian Date
td
(Int
dd2, Int
mm2) = Int -> Int -> Int -> (Int, Int)
forall a a b.
(Ord a, Num a, Num a, Num b, Eq a) =>
a -> a -> b -> (a, b)
adjust Int
dd1 Int
d2 Int
m2
adjust :: a -> a -> b -> (a, b)
adjust a
x1 a
x2 b
z2
| a
x2 a -> a -> Bool
forall a. Eq a => a -> a -> Bool
== a
31 Bool -> Bool -> Bool
&& a
x1 a -> a -> Bool
forall a. Ord a => a -> a -> Bool
< a
30 = (a
1, b
z2b -> b -> b
forall a. Num a => a -> a -> a
+b
1)
| Bool
otherwise = (a
x2, b
z2)
dcCount Thirty360
ThirtyEuropean Date
fd Date
td = Int
360Int -> Int -> Int
forall a. Num a => a -> a -> a
*(Int
yy2Int -> Int -> Int
forall a. Num a => a -> a -> a
-Int
yy1) Int -> Int -> Int
forall a. Num a => a -> a -> a
+ Int
30Int -> Int -> Int
forall a. Num a => a -> a -> a
*(Int
m2Int -> Int -> Int
forall a. Num a => a -> a -> a
-Int
m1Int -> Int -> Int
forall a. Num a => a -> a -> a
-Int
1) Int -> Int -> Int
forall a. Num a => a -> a -> a
+ Int -> Int -> Int
forall a. Ord a => a -> a -> a
max Int
0 (Int
30Int -> Int -> Int
forall a. Num a => a -> a -> a
-Int
d1) Int -> Int -> Int
forall a. Num a => a -> a -> a
+ Int -> Int -> Int
forall a. Ord a => a -> a -> a
min Int
30 Int
d2
where (Int
yy1, Int
m1, Int
d1) = Date -> (Int, Int, Int)
intGregorian Date
fd
(Int
yy2, Int
m2, Int
d2) = Date -> (Int, Int, Int)
intGregorian Date
td
dcCount Thirty360
ThirtyItalian Date
fd Date
td = Int
360Int -> Int -> Int
forall a. Num a => a -> a -> a
*(Int
yy2Int -> Int -> Int
forall a. Num a => a -> a -> a
-Int
yy1) Int -> Int -> Int
forall a. Num a => a -> a -> a
+ Int
30Int -> Int -> Int
forall a. Num a => a -> a -> a
*(Int
mm2Int -> Int -> Int
forall a. Num a => a -> a -> a
-Int
mm1Int -> Int -> Int
forall a. Num a => a -> a -> a
-Int
1) Int -> Int -> Int
forall a. Num a => a -> a -> a
+ Int -> Int -> Int
forall a. Ord a => a -> a -> a
max Int
0 (Int
30Int -> Int -> Int
forall a. Num a => a -> a -> a
-Int
dd1) Int -> Int -> Int
forall a. Num a => a -> a -> a
+ Int -> Int -> Int
forall a. Ord a => a -> a -> a
min Int
30 Int
dd2
where (Int
yy1, Int
mm1, Int
d1) = Date -> (Int, Int, Int)
intGregorian Date
fd
(Int
yy2, Int
mm2, Int
d2) = Date -> (Int, Int, Int)
intGregorian Date
td
dd1 :: Int
dd1 = Int -> Int -> Int
forall p a. (Ord p, Num a, Num p, Eq a) => p -> a -> p
adjust Int
d1 Int
mm1
dd2 :: Int
dd2 = Int -> Int -> Int
forall p a. (Ord p, Num a, Num p, Eq a) => p -> a -> p
adjust Int
d2 Int
mm2
adjust :: p -> a -> p
adjust p
x1 a
z1
| a
z1 a -> a -> Bool
forall a. Eq a => a -> a -> Bool
== a
2 Bool -> Bool -> Bool
&& p
x1 p -> p -> Bool
forall a. Ord a => a -> a -> Bool
> p
27 = p
30
| Bool
otherwise = p
x1
intGregorian :: Day -> (Int, Int, Int)
intGregorian :: Date -> (Int, Int, Int)
intGregorian Date
date = (Integer -> Int
forall a b. (Integral a, Num b) => a -> b
fromIntegral Integer
y, Int
m, Int
d)
where (Integer
y, Int
m, Int
d) = Date -> (Integer, Int, Int)
toGregorian Date
date