imm.cpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
 Copyright (C) 2003, 2004, 2005, 2006, 2007 StatPro Italia srl
 Copyright (C) 2004, 2005, 2006 Ferdinando Ametrano
 Copyright (C) 2006 Katiuscia Manzoni
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
#include <ql/time/imm.hpp>
#include <ql/settings.hpp>
#include <ql/utilities/dataparsers.hpp>
#include <boost/algorithm/string/case_conv.hpp>
#include <string>
 
using boost::algorithm::to_upper_copy;
using std::string;
 
namespace QuantLib {
 
    bool IMM::isIMMdate(const Date& date, bool mainCycle) {
        if (date.weekday()!=Wednesday)
            return false;
 
        Day d = date.dayOfMonth();
        if (d<15 || d>21)
            return false;
 
        if (!mainCycle) return true;
 
        switch (date.month()) {
          case March:
          case June:
          case September:
          case December:
            return true;
          default:
            return false;
        }
    }
 
    bool IMM::isIMMcode(const std::string& in, bool mainCycle) {
        if (in.length() != 2)
            return false;
 
        string str1("0123456789");
        string::size_type loc = str1.find(in.substr(1,1), 0);
        if (loc == string::npos)
            return false;
 
        if (mainCycle) str1 = "hmzuHMZU";
        else           str1 = "fghjkmnquvxzFGHJKMNQUVXZ";
        loc = str1.find(in.substr(0,1), 0);
        return loc != string::npos;
    }
 
    std::string IMM::code(const Date& date) {
        QL_REQUIRE(isIMMdate(date, false),
                   date << " is not an IMM date");
 
        std::ostringstream IMMcode;
        unsigned int y = date.year() % 10;
        switch(date.month()) {
          case January:
            IMMcode << 'F' << y;
            break;
          case February:
            IMMcode << 'G' << y;
            break;
          case March:
            IMMcode << 'H' << y;
            break;
          case April:
            IMMcode << 'J' << y;
            break;
          case May:
            IMMcode << 'K' << y;
            break;
          case June:
            IMMcode << 'M' << y;
            break;
          case July:
            IMMcode << 'N' << y;
            break;
          case August:
            IMMcode << 'Q' << y;
            break;
          case September:
            IMMcode << 'U' << y;
            break;
          case October:
            IMMcode << 'V' << y;
            break;
          case November:
            IMMcode << 'X' << y;
            break;
          case December:
            IMMcode << 'Z' << y;
            break;
          default:
            QL_FAIL("not an IMM month (and it should have been)");
        }
 
        #if defined(QL_EXTRA_SAFETY_CHECKS)
        QL_ENSURE(isIMMcode(IMMcode.str(), false),
                  "the result " << IMMcode.str() <<
                  " is an invalid IMM code");
        #endif
        return IMMcode.str();
    }
 
    Date IMM::date(const std::string& immCode,
                   const Date& refDate) {
        QL_REQUIRE(isIMMcode(immCode, false),
                   immCode << " is not a valid IMM code");
 
        Date referenceDate = (refDate != Date() ?
                              refDate :
                              Date(Settings::instance().evaluationDate()));
 
        std::string code = to_upper_copy(immCode);
        std::string ms = code.substr(0,1);
        QuantLib::Month m;
        if (ms=="F")      m = January;
        else if (ms=="G") m = February;
        else if (ms=="H") m = March;
        else if (ms=="J") m = April;
        else if (ms=="K") m = May;
        else if (ms=="M") m = June;
        else if (ms=="N") m = July;
        else if (ms=="Q") m = August;
        else if (ms=="U") m = September;
        else if (ms=="V") m = October;
        else if (ms=="X") m = November;
        else if (ms=="Z") m = December;
        else QL_FAIL("invalid IMM month letter");
 
        Year y = std::stoi(code.substr(1,1));
        /* year<1900 are not valid QuantLib years: to avoid a run-time
           exception few lines below we need to add 10 years right away */
        if (y==0 && referenceDate.year()<=1909) y+=10;
        Year referenceYear = (referenceDate.year() % 10);
        y += referenceDate.year() - referenceYear;
        Date result = IMM::nextDate(Date(1, m, y), false);
        if (result<referenceDate)
            return IMM::nextDate(Date(1, m, y+10), false);
 
        return result;
    }
 
    Date IMM::nextDate(const Date& date, bool mainCycle) {
        Date refDate = (date == Date() ?
                        Date(Settings::instance().evaluationDate()) :
                        date);
        Year y = refDate.year();
        QuantLib::Month m = refDate.month();
 
        Size offset = mainCycle ? 3 : 1;
        Size skipMonths = offset-(m%offset);
        if (skipMonths != offset || refDate.dayOfMonth() > 21) {
            skipMonths += Size(m);
            if (skipMonths<=12) {
                m = QuantLib::Month(skipMonths);
            } else {
                m = QuantLib::Month(skipMonths-12);
                y += 1;
            }
        }
 
        Date result = Date::nthWeekday(3, Wednesday, m, y);
        if (result<=refDate)
            result = nextDate(Date(22, m, y), mainCycle);
        return result;
    }
 
    Date IMM::nextDate(const std::string& IMMcode,
                       bool mainCycle,
                       const Date& referenceDate)  {
        Date immDate = date(IMMcode, referenceDate);
        return nextDate(immDate+1, mainCycle);
    }
 
    std::string IMM::nextCode(const Date& d,
                              bool mainCycle) {
        Date date = nextDate(d, mainCycle);
        return code(date);
    }
 
    std::string IMM::nextCode(const std::string& immCode,
                              bool mainCycle,
                              const Date& referenceDate) {
        Date date = nextDate(immCode, mainCycle, referenceDate);
        return code(date);
    }
 
}