// bbldc_perioddaycountutil.h -*-C++-*-
#ifndef INCLUDED_BBLDC_PERIODDAYCOUNTUTIL
#define INCLUDED_BBLDC_PERIODDAYCOUNTUTIL
#include <bsls_ident.h>
BSLS_IDENT("$Id: $")
//@PURPOSE: Support for day-count calculations of 'enum'-specified conventions.
//
//@CLASSES:
// bbldc::PeriodDayCountUtil: 'enum'-specified day-count calculations
//
//@SEE_ALSO: bbldc_daycountconvention, bbldc_periodicmaactualactual
//
//@DESCRIPTION: This component provides a 'struct',
// 'bbldc::PeriodDayCountUtil', that defines a suite of date-related functions
// used to compute the day count and the year fraction between two dates as
// prescribed by an enumerated day-count convention. Specifically, the
// 'daysDiff' and 'yearsDiff' methods defined in 'bbldc::PeriodDayCountUtil'
// take a trailing 'DayCountConvention::Enum' argument indicating which
// particular period-based day-count convention to apply.
//
///Usage
///-----
// This section illustrates intended use of this component.
//
///Example 1: Computing Day Count and Year Fraction
/// - - - - - - - - - - - - - - - - - - - - - - - -
// The following snippets of code illustrate how to use
// 'bbldc::PeriodDayCountUtil' methods. First, create two 'bdlt::Date'
// variables, 'd1' and 'd2':
//..
// const bdlt::Date d1(2003, 10, 19);
// const bdlt::Date d2(2003, 12, 31);
//..
// Then, create a schedule of period dates, 'sched', corresponding to a
// quarterly payment ('periodYearDiff == 0.25'):
//..
// bsl::vector<bdlt::Date> sched;
// sched.push_back(bdlt::Date(2003, 10, 1));
// sched.push_back(bdlt::Date(2004, 1, 1));
//..
// Now, compute the day count between 'd1' and 'd2' according to the ICMA
// Actual/Actual day-count convention:
//..
// const int daysDiff = bbldc::PeriodDayCountUtil::daysDiff(
// d1,
// d2,
// bbldc::DayCountConvention::e_PERIOD_ICMA_ACTUAL_ACTUAL);
// assert(73 == daysDiff);
//..
// Finally, compute the year fraction between the two dates according to the
// ICMA Actual/Actual day-count convention:
//..
// const double yearsDiff = bbldc::PeriodDayCountUtil::yearsDiff(
// d1,
// d2,
// sched,
// 0.25,
// bbldc::DayCountConvention::e_PERIOD_ICMA_ACTUAL_ACTUAL);
// // Need fuzzy comparison since 'yearsDiff' is a 'double'.
// assert(yearsDiff > 0.1983 && yearsDiff < 0.1985);
//..
#include <bblscm_version.h>
#include <bbldc_daycountconvention.h>
#include <bdlt_date.h>
#include <bsls_libraryfeatures.h>
#include <bsl_vector.h>
#ifdef BSLS_LIBRARYFEATURES_HAS_CPP17_PMR
# include <memory_resource>
#endif
#include <vector>
namespace BloombergLP {
namespace bbldc {
// =========================
// struct PeriodDayCountUtil
// =========================
struct PeriodDayCountUtil {
// This 'struct' provides a namespace for a suite of pure functions that
// compute values based on dates according to enumerated day-count
// conventions.
private:
// PRIVATE CLASS METHODS
static double yearsDiffImp(const bdlt::Date& beginDate,
const bdlt::Date& endDate,
const bdlt::Date *periodDateBegin,
const bdlt::Date *periodDateEnd,
double periodYearDiff,
DayCountConvention::Enum convention);
// Return the (signed fractional) number of years between the specified
// 'beginDate' and 'endDate' according to the specified day-count
// 'convention' with periods starting on the specified range
// '[ periodDateBegin, periodDateEnd )' values and each period having a
// duration of the specified 'periodYearDiff' years (e.g., 0.25 for
// quarterly periods). If 'beginDate <= endDate' then the result is
// non-negative. The behavior is undefined unless
// 'periodDateEnd - periodDateBegin >= 2', the values contained in the
// range are unique and sorted from minimum to maximum,
// 'min(beginDate, endDate) >= *periodDateBegin',
// 'max(beginDate, endDate) <= *(periodDateEnd - 1)', and
// 'isSupported(convention)'. Note that reversing the order of
// 'beginDate' and 'endDate' negates the result; specifically,
// '|yearsDiff(b,e,pd,pyd,c) + yearsDiff(e,b,pd,pyd,c)| <= 1.0e-15' for
// all dates 'b' and 'e', periods 'pd', and year fraction per period
// 'pyd'.
public:
// CLASS METHODS
static int daysDiff(const bdlt::Date& beginDate,
const bdlt::Date& endDate,
DayCountConvention::Enum convention);
// Return the (signed) number of days between the specified 'beginDate'
// and 'endDate' according to the specified day-count 'convention'. If
// 'beginDate <= endDate' then the result is non-negative. The
// behavior is undefined unless 'isSupported(convention)'. Note that
// reversing the order of 'beginDate' and 'endDate' negates the result.
static bool isSupported(DayCountConvention::Enum convention);
// Return 'true' if the specified 'convention' is valid for use in
// 'daysDiff' and 'yearsDiff', and 'false' otherwise.
static double yearsDiff(const bdlt::Date& beginDate,
const bdlt::Date& endDate,
const bsl::vector<bdlt::Date>& periodDate,
double periodYearDiff,
DayCountConvention::Enum convention);
static double yearsDiff(const bdlt::Date& beginDate,
const bdlt::Date& endDate,
const std::vector<bdlt::Date>& periodDate,
double periodYearDiff,
DayCountConvention::Enum convention);
#ifdef BSLS_LIBRARYFEATURES_HAS_CPP17_PMR
static double yearsDiff(const bdlt::Date& beginDate,
const bdlt::Date& endDate,
const std::pmr::vector<bdlt::Date>& periodDate,
double periodYearDiff,
DayCountConvention::Enum convention);
#endif
// Return the (signed fractional) number of years between the specified
// 'beginDate' and 'endDate' according to the specified day-count
// 'convention' with periods starting on the specified 'periodDate'
// values and each period having a duration of the specified
// 'periodYearDiff' years (e.g., 0.25 for quarterly periods). If
// 'beginDate <= endDate' then the result is non-negative. The
// behavior is undefined unless 'periodDate.size() >= 2', the values
// contained in 'periodDate' are unique and sorted from minimum to
// maximum, 'min(beginDate, endDate) >= periodDate.front()',
// 'max(beginDate, endDate) <= periodDate.back()', and
// 'isSupported(convention)'. Note that reversing the order of
// 'beginDate' and 'endDate' negates the result; specifically,
// '|yearsDiff(b,e,pd,pyd,c) + yearsDiff(e,b,pd,pyd,c)| <= 1.0e-15' for
// all dates 'b' and 'e', periods 'pd', and year fraction per period
// 'pyd'.
};
// ============================================================================
// INLINE DEFINITIONS
// ============================================================================
// -------------------------
// struct PeriodDayCountUtil
// -------------------------
// CLASS METHODS
inline
double PeriodDayCountUtil::yearsDiff(
const bdlt::Date& beginDate,
const bdlt::Date& endDate,
const bsl::vector<bdlt::Date>& periodDate,
double periodYearDiff,
DayCountConvention::Enum convention)
{
return yearsDiffImp(beginDate,
endDate,
periodDate.data(),
periodDate.data() + periodDate.size(),
periodYearDiff,
convention);
}
inline
double PeriodDayCountUtil::yearsDiff(
const bdlt::Date& beginDate,
const bdlt::Date& endDate,
const std::vector<bdlt::Date>& periodDate,
double periodYearDiff,
DayCountConvention::Enum convention)
{
// Some implmentations of 'std::vector', notably Aix and Solaris, do not
// provide the 'data' accessor.
const bdlt::Date *begin = periodDate.empty() ? 0 : &*periodDate.begin();
const bdlt::Date *end = begin + periodDate.size();
return yearsDiffImp(beginDate,
endDate,
begin,
end,
periodYearDiff,
convention);
}
#ifdef BSLS_LIBRARYFEATURES_HAS_CPP17_PMR
inline
double PeriodDayCountUtil::yearsDiff(
const bdlt::Date& beginDate,
const bdlt::Date& endDate,
const std::pmr::vector<bdlt::Date>& periodDate,
double periodYearDiff,
DayCountConvention::Enum convention)
{
// This function is defined here to avoid having to include
// 'memory_resource' in the .h file.
return yearsDiffImp(beginDate,
endDate,
periodDate.data(),
periodDate.data() + periodDate.size(),
periodYearDiff,
convention);
}
#endif
} // close package namespace
} // close enterprise namespace
#endif
// ----------------------------------------------------------------------------
// Copyright 2015 Bloomberg Finance L.P.
//
// 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.
// ----------------------------- END-OF-FILE ----------------------------------