bbldc_perioddaycountutil.h

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/// @file bbldc_perioddaycountutil.h
///
/// The content of this file has been pre-processed for Doxygen.
///
 
 
// bbldc_perioddaycountutil.h                                         -*-C++-*-
#ifndef INCLUDED_BBLDC_PERIODDAYCOUNTUTIL
#define INCLUDED_BBLDC_PERIODDAYCOUNTUTIL
 
#include <bsls_ident.h>
BSLS_IDENT("$Id: $")
 
/// @defgroup bbldc_perioddaycountutil bbldc_perioddaycountutil
/// @brief  Support for day-count calculations of `enum`-specified conventions.
/// @addtogroup bbl
/// @{
/// @addtogroup bbldc
/// @{
/// @addtogroup bbldc_perioddaycountutil
/// @{
///
/// <h1> Outline </h1>
/// * <a href="#bbldc_perioddaycountutil-purpose"> Purpose</a>
/// * <a href="#bbldc_perioddaycountutil-classes"> Classes </a>
/// * <a href="#bbldc_perioddaycountutil-description"> Description </a>
///   * <a href="#bbldc_perioddaycountutil-usage"> Usage </a>
///     * <a href="#bbldc_perioddaycountutil-example-1-computing-day-count-and-year-fraction"> Example 1: Computing Day Count and Year Fraction </a>
///
/// # Purpose {#bbldc_perioddaycountutil-purpose}
/// Support for day-count calculations of `enum`-specified conventions.
///
/// # Classes {#bbldc_perioddaycountutil-classes}
///
/// -  bbldc::PeriodDayCountUtil: `enum`-specified day-count calculations
///
/// @see  bbldc_daycountconvention, bbldc_periodicmaactualactual
///
/// # Description {#bbldc_perioddaycountutil-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 {#bbldc_perioddaycountutil-usage}
///
///
/// This section illustrates intended use of this component.
///
/// ### Example 1: Computing Day Count and Year Fraction {#bbldc_perioddaycountutil-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`:
/// @code
/// const bdlt::Date d1(2003, 10, 19);
/// const bdlt::Date d2(2003, 12, 31);
/// @endcode
/// Then, create a schedule of period dates, `sched`, corresponding to a
/// quarterly payment (`periodYearDiff == 0.25`):
/// @code
/// bsl::vector<bdlt::Date> sched;
/// sched.push_back(bdlt::Date(2003, 10, 1));
/// sched.push_back(bdlt::Date(2004,  1, 1));
/// @endcode
/// Now, compute the day count between `d1` and `d2` according to the ICMA
/// Actual/Actual day-count convention:
/// @code
/// const int daysDiff = bbldc::PeriodDayCountUtil::daysDiff(
///                    d1,
///                    d2,
///                    bbldc::DayCountConvention::e_PERIOD_ICMA_ACTUAL_ACTUAL);
/// assert(73 == daysDiff);
/// @endcode
/// Finally, compute the year fraction between the two dates according to the
/// ICMA Actual/Actual day-count convention:
/// @code
/// 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);
/// @endcode
/// @}
/** @} */
/** @} */
 
/** @addtogroup bbl
 * @{
 */
/** @addtogroup bbldc
 * @{
 */
/** @addtogroup bbldc_perioddaycountutil
 * @{
 */
 
#include <bblscm_version.h>
 
#include <bbldc_daycountconvention.h>
 
#include <bdlt_date.h>
 
#include <bsls_libraryfeatures.h>
 
#include <bsl_vector.h>
 
#include <vector>
 
 
namespace bbldc {
 
                        // =========================
                        // 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.
struct PeriodDayCountUtil {
 
  private:
    // PRIVATE CLASS METHODS
 
    /// 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`.
    static double yearsDiffImp(const bdlt::Date&         beginDate,
                               const bdlt::Date&         endDate,
                               const bdlt::Date         *periodDateBegin,
                               const bdlt::Date         *periodDateEnd,
                               double                    periodYearDiff,
                               DayCountConvention::Enum  convention);
 
  public:
    // CLASS METHODS
 
    /// 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 int daysDiff(const bdlt::Date&        beginDate,
                        const bdlt::Date&        endDate,
                        DayCountConvention::Enum convention);
 
    static bool isSupported(DayCountConvention::Enum convention);
 
    static double yearsDiff(const bdlt::Date&                   beginDate,
                            const bdlt::Date&                   endDate,
                            const bsl::vector<bdlt::Date>&      periodDate,
                            double                              periodYearDiff,
                            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 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
 
 
#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 ----------------------------------
 
/** @} */
/** @} */
/** @} */