Got most day counts working

lib/rupee/calendar.rb

@@ -193,7 +193,7 @@ def last_week?(date)
         when 2
           # Save February, with twenty-eight days clear
           # And twenty-nine each leap year ;)
-          date.day > (date.year % 4 == 0 && date.year % 100 != 0) ? 22 : 21
+          date.day > (date.year % 4 == 0 && (date.year % 100 != 0 || date.year % 400 == 0)) ? 22 : 21
         end
       end
 

lib/rupee/day_count.rb

@@ -1,4 +1,77 @@
+require "rupee/mixins/find_instance"
+
 module Rupee
+  # A class representing a day count convention used to determine cash flow
+  # and accrual dates for fixed income products
   class DayCount
+    include FindInstance
+
+    autoload :THIRTY_360,        "rupee/day_count/30_360"
+    autoload :THIRTY_E_360,      "rupee/day_count/30e_360"
+    autoload :THIRTY_E_PLUS_360, "rupee/day_count/30e+_360"
+    autoload :ACT_360,           "rupee/day_count/act_360"
+    autoload :ACT_365,           "rupee/day_count/act_365"
+    autoload :ACT_ACT,           "rupee/day_count/act_act"
+
+    # A description of the day count convention
+    attr :description
+    # The formula for determining a day count factor (days divided by years)
+    attr :block
+
+    # Create a new DayCount object
+    def initialize(description, &block)
+      @description = description
+      @block = block
+    end
+
+    def factor(from, to)
+      block.call from, to
+    end
+
+    class << self
+      # The number of seconds in a day (a difference of <tt>1</tt> between two
+      # dates in Ruby indicates a difference of one second)
+      SECONDS_PER_DAY = 86_400.0
+
+      private
+
+      def days(from, to)
+        (to - from) / SECONDS_PER_DAY
+      end
+
+      def days_in_year(date)
+        if leap_year?(date)
+          366.0
+        else
+          365.0
+        end
+      end
+
+      def end_of_month?(date)
+        case date.month
+        when 9, 4, 6, 11
+          # Thirty days hath September
+          # April, June and November
+          date.day == 30
+        when 1, 3, 5, 7, 8, 10, 12
+          # All the rest have thirty-one
+          date.day == 31
+        when 2
+          # Save February, with twenty-eight days clear
+          # And twenty-nine each leap year ;)
+          date.day == (date.year % 4 == 0 && (date.year % 100 != 0 || date.year % 400 == 0)) ? 29 : 28
+        end
+      end
+
+      # Determines whether a date falls during a leap year. Leap years include
+      # all years divisible by 4, with the exception of years divisible by 100
+      # but not divisible by 400 (got that?). That is, 2004 is a leap year, as is
+      # 1904. But while 2000 is a leap year (divisible by 400), 1900 is not
+      # (divisible by 100 but not 400).
+      def leap_year?(date)  # :doc:
+        year = date.year
+        year % 4 == 0 && (year % 100 != 0 || year % 400 == 0)
+      end
+    end
   end
 end

lib/rupee/day_count/30_360.rb

@@ -0,0 +1,20 @@
+module Rupee
+  class DayCount
+    # Standard US 30/360
+    THIRTY_360 = DayCount.new "30/360, typical pay-fixed convention" do |from, to|
+      m1 = from.month
+      m2 = to.month
+      d1 = from.day
+      d2 = to.day
+
+      if end_of_month?(from)
+        d1 = 30
+        d2 = 30 if m1 == 2 && end_of_month?(to) && m2 == 2
+      end
+
+      d2 = 30 if d2 == 31 && d1 == 30
+
+      (360 * (to.year - from.year) + 30 * (m2 - m1) + (d2 - d1)) / 360.0
+    end
+  end
+end

lib/rupee/day_count/30e+_360.rb

@@ -0,0 +1,17 @@
+module Rupee
+  class DayCount
+    # 30E+/360
+    THIRTY_E_PLUS_360 = DayCount.new "30E+/360" do |from, to|
+      m  = to.month - from.month
+      d1 = from.day
+      d2 = to.day
+      d1 = 30 if d1 == 31
+      if d2 == 31
+        m += 1
+        d2 = 1
+      end
+
+      (360 * (to.year - from.year) + 30 * m + (d2 - d1)) / 360.0
+    end
+  end
+end

lib/rupee/day_count/30e_360.rb

@@ -0,0 +1,14 @@
+module Rupee
+  class DayCount
+    # Standard European 30/360
+    THIRTY_E_360 = DayCount.new "30E/360" do |from, to|
+      d1 = from.day
+      d2 = to.day
+      d1 = 30 if end_of_month?(from)
+      d2 = 30 if end_of_month?(to) # && (d2 != maturity_date || to.month != 2)
+
+      (360 * (to.year - from.year) + 30 * (to.month - from.month) +
+        (d2 - d1)) / 360.0
+    end
+  end
+end

lib/rupee/day_count/act_360.rb

@@ -0,0 +1,8 @@
+module Rupee
+  class DayCount
+    # Actual/360
+    ACT_360 = DayCount.new "Actual/360, typical LIBOR convention" do |from, to|
+      days(from, to) / 360.0
+    end
+  end
+end

lib/rupee/day_count/act_365.rb

@@ -0,0 +1,8 @@
+module Rupee
+  class DayCount
+    # Actual/365
+    ACT_365 = DayCount.new "Actual/365" do |from, to|
+      days(from, to) / 365.0
+    end
+  end
+end

lib/rupee/day_count/act_act.rb

@@ -0,0 +1,10 @@
+module Rupee
+  class DayCount
+    # Actual/Actual
+    ACT_ACT = DayCount.new "Actual/actual" do |from, to|
+      1 - from.yday / days_in_year(from) +
+        (to.year - from.year - 1) +
+        to.yday / days_in_year(to)
+    end
+  end
+end

spec/ruby/day_count_spec.rb

@@ -0,0 +1,57 @@
+require File.dirname(__FILE__) + "/../spec_helper"
+
+describe DayCount do
+  before :each do
+    @christmas = Time.new(2011, 12, 25)
+    @next_february = Time.new(2012, 2, 29)
+    @many_mays = Time.new(2015, 5, 31)
+    @tolerance = 0.0000001
+  end
+
+  describe "30/360" do
+    it "should produce a correct day count factor" do
+      DayCount::THIRTY_360.factor(@christmas, @next_february).should be_within(@tolerance).of 64 / 360.0
+      DayCount::THIRTY_360.factor(@christmas, @many_mays).should be_within(@tolerance).of 1236 / 360.0
+    end
+  end
+
+  describe "30E/360" do
+    it "should produce a correct day count factor" do
+      DayCount::THIRTY_E_360.factor(@christmas, @next_february).should be_within(@tolerance).of 65 / 360.0
+      DayCount::THIRTY_E_360.factor(@christmas, @many_mays).should be_within(@tolerance).of 1235 / 360.0
+    end
+  end
+
+  describe "30E+/360" do
+    it "should produce a correct day count factor" do
+      DayCount::THIRTY_E_PLUS_360.factor(@christmas, @next_february).should be_within(@tolerance).of 64 / 360.0
+      DayCount::THIRTY_E_PLUS_360.factor(@christmas, @many_mays).should be_within(@tolerance).of 1236 / 360.0
+    end
+  end
+
+  describe "Act/360" do
+    it "should produce a correct day count factor" do
+      DayCount::ACT_360.factor(@christmas, @next_february).should be_within(@tolerance).of 66 / 360.0
+      DayCount::ACT_360.factor(@christmas, @many_mays).should be_within(@tolerance).of 1253 / 360.0
+    end
+  end
+
+  describe "Act/365" do
+    it "should produce a correct day count factor" do
+      DayCount::ACT_365.factor(@christmas, @next_february).should be_within(@tolerance).of 66 / 365.0
+      DayCount::ACT_365.factor(@christmas, @many_mays).should be_within(@tolerance).of 1253 / 365.0
+    end
+  end
+
+  describe "Act/Act" do
+    it "should produce a correct day count factor" do
+      DayCount::ACT_ACT.factor(@christmas, @next_february).should be_within(@tolerance).of 6 / 365.0 + 60 / 366.0
+      DayCount::ACT_ACT.factor(@christmas, @many_mays).should be_within(@tolerance).of 887 / 365.0 + 1
+    end
+  end
+
+  describe "doing leap year calculations" do
+    it "should be correct within a normal year"
+    it "should be correct within a leap year"
+  end
+end