SCP-4728: Added day count methods

input-output-hk · Nov 28, 2022 · fa1e595 · fa1e595
1 parent 79159b2
commit fa1e595
Showing 1 changed file with 56 additions and 49 deletions.
diff --git a/src/Actus/Utility/YearFraction.purs b/src/Actus/Utility/YearFraction.purs
@@ -5,12 +5,13 @@ module Actus.Utility.YearFraction
 import Prelude
 
 import Actus.Domain.ContractTerms (DCC(..))
-import Data.Date (Date, diff, year)
-import Data.DateTime (DateTime, date, day, month)
-import Data.Enum (fromEnum)
+import Data.Date (Date, Month(..), diff, isLeapYear, lastDayOfMonth, year)
+import Data.DateTime (DateTime(..), canonicalDate, date, day, hour, minute, month, second)
+import Data.Enum (fromEnum, toEnum)
 import Data.Int (ceil)
-import Data.Maybe (Maybe)
+import Data.Maybe (Maybe(..), fromMaybe)
 import Data.Refined (fromInt)
+import Data.Time (Time(..))
 import Data.Time.Duration (Days(..))
 import Effect.Exception (throw)
 import Effect.Unsafe (unsafePerformEffect)
@@ -19,29 +20,34 @@ yearFraction :: forall a. EuclideanRing a => DCC -> DateTime -> DateTime -> Mayb
 yearFraction dcc x y o = yearFraction' dcc (date x) (date $ clipToMidnight y) (date <$> o)
 
 yearFraction' :: forall a. EuclideanRing a => DCC -> Date -> Date -> Maybe Date -> a
--- yearFraction' DCC_A_AISDA startDay endDay _
---   | startDay <= endDay
---   = let
---       d1Year = year startDay
---       d2Year = year endDay
---       d1YearFraction = fromInt $ if isLeapYear d1Year then 366 else 365
---     in
---       if d1Year == d2Year
---         then
---           let Days d = diff endDay startDay
---            in (fromInt $ ceil d) / d1YearFraction
---         else
---           let
---             d2YearFraction = if isLeapYear d2Year then fromInt 366 else fromInt 365
---             d1YearLastDay      = canonicalDate (fromMaybe (year startDay) $ toEnum $ (fromEnum d1Year) + 1) January (fromJust $ toEnum 1)
---             d2YearLastDay      = canonicalDate d2Year January (fromMaybe (day endDay) $ toEnum 1)
---             firstFractionDays  = diff d1YearLastDay startDay
---             secondFractionDays = let Days s = diff endDay d2YearLastDay in s
---           in
---             (firstFractionDays / d1YearFraction)
---               + (secondFractionDays / d2YearFraction) + (fromInt $ fromEnum d2Year) - (fromInt $ fromEnum d1Year) - one
---   | otherwise
---   = zero
+yearFraction' DCC_A_AISDA startDay endDay _
+  | startDay <= endDay =
+      let
+        d1Year = year startDay
+        d2Year = year endDay
+
+        d1YearFraction = fromInt $ if isLeapYear d1Year then 366 else 365
+        d2YearFraction = fromInt $ if isLeapYear d2Year then 366 else 365
+      in
+        if d1Year == d2Year then
+          let
+            Days d = diff endDay startDay
+          in
+            (fromInt $ ceil d) / d1YearFraction
+        else
+          let
+            (d1YearLastDay :: Date) = canonicalDate (fromMaybe (year startDay) $ toEnum $ (fromEnum d1Year) + 1) January (fromMaybe (day startDay) $ toEnum 1)
+            (d2YearLastDay :: Date) = canonicalDate d2Year January (fromMaybe (day endDay) $ toEnum 1)
+
+            (firstFractionDays :: a) = let Days s = diff d1YearLastDay startDay in fromInt $ ceil s
+            (secondFractionDays :: a) = let Days s = diff endDay d2YearLastDay in fromInt $ ceil s
+          in
+            (firstFractionDays / d1YearFraction)
+              + (secondFractionDays / d2YearFraction)
+              + (fromInt $ fromEnum d2Year)
+              - (fromInt $ fromEnum d1Year)
+              - one
+  | otherwise = zero
 
 yearFraction' DCC_A_360 startDay endDay _
   | startDay <= endDay = let Days daysDiff = diff endDay startDay in (fromInt $ ceil daysDiff) / fromInt 360
@@ -51,22 +57,22 @@ yearFraction' DCC_A_365 startDay endDay _
   | startDay <= endDay = let Days daysDiff = diff endDay startDay in (fromInt $ ceil daysDiff) / fromInt 365
   | otherwise = zero
 
--- yearFraction' DCC_E30_360ISDA _ _ Nothing = error "DCC_E30_360ISDA requires maturity date"
--- yearFraction' DCC_E30_360ISDA startDay endDay (Just maturityDate)
---   | startDay <= endDay
---   = let
---       d1ChangedDay = if isLastDayOfMonth startDay then 30 else day startDay
---       d2ChangedDay = if isLastDayOfMonth endDay && not (endDay == maturityDate && (month endDay == 2)) then 30 else day endDay
---     in
---       ( 360.0
---         * ((year endDay) - (year startDay))
---         + 30.0
---         * ((month endDay) - (month startDay))
---         + (d2ChangedDay - d1ChangedDay)
---         )
---         / 360.0
---   | otherwise
---   = 0.0
+yearFraction' DCC_E30_360ISDA _ _ Nothing = error "DCC_E30_360ISDA requires maturity date"
+yearFraction' DCC_E30_360ISDA startDay endDay (Just maturityDate)
+  | startDay <= endDay =
+      let
+        d1ChangedDay = if isLastDayOfMonth startDay then 30 else fromEnum $ day startDay
+        d2ChangedDay = if isLastDayOfMonth endDay && not (endDay == maturityDate && (Just (month endDay) == toEnum 2)) then 30 else fromEnum $ day endDay
+      in
+        ( fromInt $
+            360
+              * ((fromEnum $ year endDay) - (fromEnum $ year startDay))
+              + 30
+                  * ((fromEnum $ month endDay) - (fromEnum $ month startDay))
+              + (d2ChangedDay - d1ChangedDay)
+        )
+          / (fromInt 360)
+  | otherwise = zero
 
 yearFraction' DCC_E30_360 startDay endDay _
   | startDay <= endDay =
@@ -75,9 +81,9 @@ yearFraction' DCC_E30_360 startDay endDay _
         d2ChangedDay = if fromEnum (day endDay) == 31 then 30 else fromEnum (day endDay)
       in
         ( fromInt $
-            (360)
+            360
               * ((fromEnum $ year endDay) - (fromEnum $ year startDay))
-              + (30)
+              + 30
                   * ((fromEnum $ month endDay) - (fromEnum $ month startDay))
               + (d2ChangedDay - d1ChangedDay)
         ) / (fromInt 360)
@@ -88,10 +94,11 @@ yearFraction' dcc _ _ _ = error $ "Unsupported day count convention: " <> show d
 error :: forall a. String -> a
 error = unsafePerformEffect <<< throw
 
--- isLastDayOfMonth :: Date -> Boolean
--- isLastDayOfMonth d = lastDayOfMonth (year d) (month d) == (day d)
+isLastDayOfMonth :: Date -> Boolean
+isLastDayOfMonth d = lastDayOfMonth (year d) (month d) == (day d)
 
 -- |Advance to midnight, if one second before midnight - see note in ACTUS specification (2.8. Date/Time)
 clipToMidnight :: DateTime -> DateTime
--- clipToMidnight (DateTime _ t) | Just (hour t) == toEnum 23 && Just (minute t) == toEnum 59 && Just (second t) == toEnum 59 = adjust ...
-clipToMidnight lt = lt
+clipToMidnight (DateTime d t) | Just (hour t) == toEnum 23 && Just (minute t) == toEnum 59 && Just (second t) == toEnum 59 = let t' = Time <$> toEnum 24 <*> toEnum 0 <*> toEnum 0 <*> toEnum 0 in DateTime d (fromMaybe t t')
+clipToMidnight dt = dt
+