business252.cpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2006 Piter Dias
 Copyright (C) 2011 StatPro Italia srl
 
 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/daycounters/business252.hpp>
#include <map>
 
namespace QuantLib {
 
    namespace {
 
        typedef std::map<Year, std::map<Month, Date::serial_type> > Cache;
        typedef std::map<Year, Date::serial_type> OuterCache;
        
        std::map<std::string, Cache> monthlyFigures_;
        std::map<std::string, OuterCache> yearlyFigures_;
 
        bool sameYear(const Date& d1, const Date& d2) {
            return d1.year() == d2.year();
        }
 
        bool sameMonth(const Date& d1, const Date& d2) {
            return d1.year() == d2.year() && d1.month() == d2.month();
        }
 
        Date::serial_type businessDays(Cache& cache,
                                       const Calendar& calendar,
                                       Month month, Year year) {
            if (cache[year][month] == 0) {
                // calculate and store.
                Date d1 = Date(1,month,year);
                Date d2 = d1 + 1*Months;
                cache[year][month] = calendar.businessDaysBetween(d1, d2);
            }
            return cache[year][month];
        }
 
        Date::serial_type businessDays(OuterCache& outerCache,
                                       Cache& cache,
                                       const Calendar& calendar,
                                       Year year) {
            if (outerCache[year] == 0) {
                // calculate and store.
                Date::serial_type total = 0;
                for (Integer i=1; i<=12; ++i) {
                    total += businessDays(cache,calendar,
                                          Month(i), year);
                }
                outerCache[year] = total;
            }
            return outerCache[year];
        }
 
    }
 
    std::string Business252::Impl::name() const {
        std::ostringstream out;
        out << "Business/252(" << calendar_.name() << ")";
        return out.str();
    }
 
    Date::serial_type Business252::Impl::dayCount(const Date& d1,
                                                  const Date& d2) const {
        if (sameMonth(d1,d2) || d1 >= d2) {
            // we treat the case of d1 > d2 here, since we'd need a
            // second cache to get it right (our cached figures are
            // for first included, last excluded and might have to be
            // changed going the other way.)
            return calendar_.businessDaysBetween(d1, d2);
        } else if (sameYear(d1,d2)) {
            Cache& cache = monthlyFigures_[calendar_.name()];
            Date::serial_type total = 0;
            Date d;
            // first, we get to the beginning of next month.
            d = Date(1,d1.month(),d1.year()) + 1*Months;
            total += calendar_.businessDaysBetween(d1, d);
            // then, we add any whole months (whose figures might be
            // cached already) in the middle of our period.
            while (!sameMonth(d,d2)) {
                total += businessDays(cache, calendar_,
                                      d.month(), d.year());
                d += 1*Months;
            }
            // finally, we get to the end of the period.
            total += calendar_.businessDaysBetween(d, d2);
            return total;
        } else {
            Cache& cache = monthlyFigures_[calendar_.name()];
            OuterCache& outerCache = yearlyFigures_[calendar_.name()];
            Date::serial_type total = 0;
            Date d;
            // first, we get to the beginning of next year.
            // The first bit gets us to the end of this month...
            d = Date(1,d1.month(),d1.year()) + 1*Months;
            total += calendar_.businessDaysBetween(d1, d);
            // ...then we add any remaining months, possibly cached
            for (Integer m = Integer(d1.month())+1; m <= 12; ++m) {
                total += businessDays(cache, calendar_,
                                      Month(m), d.year());
            }
            // then, we add any whole year in the middle of our period.
            d = Date(1,January,d1.year()+1);
            while (!sameYear(d,d2)) {
                total += businessDays(outerCache, cache,
                                      calendar_, d.year());
                d += 1*Years;
            }
            // finally, we get to the end of the period.
            // First, we add whole months...
            for (Integer m = 1; m<Integer(d2.month()); ++m) {
                total += businessDays(cache, calendar_,
                                      Month(m), d2.year());
            }
            // ...then the last bit.
            d = Date(1,d2.month(),d2.year());
            total += calendar_.businessDaysBetween(d, d2);
            return total;
        }
    }
 
    Time Business252::Impl::yearFraction(const Date& d1,
                                         const Date& d2,
                                         const Date&,
                                         const Date&) const {
        return dayCount(d1, d2)/252.0;
    }
 
}