// bbldc_periodicmaactualactual.h -*-C++-*-
#ifndef INCLUDED_BBLDC_PERIODICMAACTUALACTUAL
#define INCLUDED_BBLDC_PERIODICMAACTUALACTUAL
#include <bsls_ident.h>
BSLS_IDENT("$Id: $")
//@PURPOSE: Provide stateless functions for period-based ICMA Actual/Actual.
//
//@CLASSES:
// bbldc::PeriodIcmaActualActual: ICMA Act/Act convention stateless functions
//
//@DESCRIPTION: This component provides a 'struct',
// 'bbldc::PeriodIcmaActualActual', that serves as a namespace for defining a
// suite of date-related functions used to compute the day count and the year
// fraction between two dates as per the ICMA Actual/Actual day-count
// convention. In this day-count convention, the day count between two dates
// is exactly the number of days occurring in the time period and the year
// fraction is the number of full periods multiplied by the period weighting
// ('periodYearDiff') plus front-stub and back-stub adjustments. The periods
// are defined by the 'periodDate' elements representing, say, bond coupon
// payment dates with the first period starting on 'periodDate[0]' and ending
// on 'periodDate[1], the second period starting on 'periodDate[1]' and ending
// on 'periodDate[2], and the 'i'-th period starting on 'periodDate[i - 1]' and
// ending on 'periodDate[i]'.
//
///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::PeriodIcmaActualActual' 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));
//..
// Next, compute the day count between 'd1' and 'd2':
//..
// const int daysDiff = bbldc::PeriodIcmaActualActual::daysDiff(d1, d2);
// assert(73 == daysDiff);
//..
// Finally, compute the year fraction between the two dates:
//..
// const double yearsDiff = bbldc::PeriodIcmaActualActual::yearsDiff(d1,
// d2,
// sched,
// 0.25);
// // Need fuzzy comparison since 'yearsDiff' is a 'double'.
// assert(yearsDiff > 0.1983 && yearsDiff < 0.1985);
//..
#include <bblscm_version.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> // 'std::vector', 'std::pmr::vector'
namespace BloombergLP {
namespace bbldc {
// =============================
// struct PeriodIcmaActualActual
// =============================
struct PeriodIcmaActualActual {
// This 'struct' provides a namespace for a suite of pure functions that
// compute values based on dates according to the ICMA Actual/Actual
// day-count convention.
// CLASS METHODS
static int daysDiff(const bdlt::Date& beginDate,
const bdlt::Date& endDate);
// Return the (signed) number of days between the specified 'beginDate'
// and 'endDate' according to the ICMA Actual/Actual day-count
// convention. If 'beginDate <= endDate', then the result is
// non-negative. Note that reversing the order of 'beginDate' and
// 'endDate' negates the result.
static double yearsDiff(const bdlt::Date& beginDate,
const bdlt::Date& endDate,
const bdlt::Date *periodDateBegin,
const bdlt::Date *periodDateEnd,
double periodYearDiff);
// Return the (signed fractional) number of years between the specified
// 'beginDate' and 'endDate' according to the ICMA Actual/Actual
// 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
// '2 <= periodDateEnd - periodDateBegin', the values contained in the
// range are unique and sorted from minimum to maximum,
// '*periodDateBegin <= beginDate <= *(periodDateEnd - 1)', and
// '*periodDateBegin <= endDate <= *(periodDateEnd - 1)'. Note that
// reversing the order of 'beginDate' and 'endDate' negates the result;
// specifically,
// '|yearsDiff(b, e, pd, pyd) + yearsDiff(e, b, pd, pyd)| <= 1.0e-15'
// for all dates 'b' and 'e', periods 'pd', and year fraction per
// period 'pyd'.
static double yearsDiff(
const bdlt::Date& beginDate,
const bdlt::Date& endDate,
const bsl::vector<bdlt::Date>& periodDate,
double periodYearDiff);
static double yearsDiff(
const bdlt::Date& beginDate,
const bdlt::Date& endDate,
const std::vector<bdlt::Date>& periodDate,
double periodYearDiff);
#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);
#endif
// Return the (signed fractional) number of years between the specified
// 'beginDate' and 'endDate' according to the ICMA Actual/Actual
// 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, 'periodDate.front() <= beginDate <= periodDate.back()', and
// 'periodDate.front() <= endDate <= periodDate.back()'. Note that
// reversing the order of 'beginDate' and 'endDate' negates the result;
// specifically,
// '|yearsDiff(b, e, pd, pyd) + yearsDiff(e, b, pd, pyd)| <= 1.0e-15'
// for all dates 'b' and 'e', periods 'pd', and year fraction per
// period 'pyd'.
};
// ============================================================================
// INLINE DEFINITIONS
// ============================================================================
// -----------------------------
// struct PeriodIcmaActualActual
// -----------------------------
// CLASS METHODS
inline
int PeriodIcmaActualActual::daysDiff(const bdlt::Date& beginDate,
const bdlt::Date& endDate)
{
return endDate - beginDate;
}
inline
double PeriodIcmaActualActual::yearsDiff(
const bdlt::Date& beginDate,
const bdlt::Date& endDate,
const bsl::vector<bdlt::Date>& periodDate,
double periodYearDiff)
{
return yearsDiff(beginDate,
endDate,
periodDate.data(),
periodDate.data() + periodDate.size(),
periodYearDiff);
}
inline
double PeriodIcmaActualActual::yearsDiff(
const bdlt::Date& beginDate,
const bdlt::Date& endDate,
const std::vector<bdlt::Date>& periodDate,
double periodYearDiff)
{
// 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 yearsDiff(beginDate,
endDate,
begin,
end,
periodYearDiff);
}
#ifdef BSLS_LIBRARYFEATURES_HAS_CPP17_PMR
inline
double PeriodIcmaActualActual::yearsDiff(
const bdlt::Date& beginDate,
const bdlt::Date& endDate,
const std::pmr::vector<bdlt::Date>& periodDate,
double periodYearDiff)
{
return yearsDiff(beginDate,
endDate,
periodDate.data(),
periodDate.data() + periodDate.size(),
periodYearDiff);
}
#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 ----------------------------------