Merge pull request #900.

Add a couple of rarely used day count conventions.

LICENSE.TXT

@@ -10,7 +10,7 @@ QuantLib is
     Copyright (C) 2003 Kawanishi Tomoya
     Copyright (C) 2003 Niels Elken Sønderby
     Copyright (C) 2003, 2004 Roman Gitlin
-    Copyright (C) 2003, 2004, 2005, 2006, 2007, 2008, 2009, 2010, 2011, 2012, 2014, 2016, 2017, 2018, 2019, 2020 StatPro Italia srl
+    Copyright (C) 2003, 2004, 2005, 2006, 2007, 2008, 2009, 2010, 2011, 2012, 2014, 2015, 2016, 2017, 2018, 2019, 2020 StatPro Italia srl
     Copyright (C) 2003, 2004, 2007 Neil Firth
 
     Copyright (C) 2004 FIMAT Group

QuantLib.vcxproj

@@ -1784,13 +1784,15 @@
     <ClInclude Include="ql\time\dategenerationrule.hpp" />
     <ClInclude Include="ql\time\daycounter.hpp" />
     <ClInclude Include="ql\time\daycounters\actual360.hpp" />
+    <ClInclude Include="ql\time\daycounters\actual364.hpp" />
     <ClInclude Include="ql\time\daycounters\actual365fixed.hpp" />
     <ClInclude Include="ql\time\daycounters\actualactual.hpp" />
     <ClInclude Include="ql\time\daycounters\all.hpp" />
     <ClInclude Include="ql\time\daycounters\business252.hpp" />
     <ClInclude Include="ql\time\daycounters\one.hpp" />
     <ClInclude Include="ql\time\daycounters\simpledaycounter.hpp" />
     <ClInclude Include="ql\time\daycounters\thirty360.hpp" />
+    <ClInclude Include="ql\time\daycounters\thirty365.hpp" />
     <ClInclude Include="ql\time\ecb.hpp" />
     <ClInclude Include="ql\time\frequency.hpp" />
     <ClInclude Include="ql\time\imm.hpp" />
@@ -2726,6 +2728,7 @@
     <ClCompile Include="ql\time\daycounters\business252.cpp" />
     <ClCompile Include="ql\time\daycounters\simpledaycounter.cpp" />
     <ClCompile Include="ql\time\daycounters\thirty360.cpp" />
+    <ClCompile Include="ql\time\daycounters\thirty365.cpp" />
     <ClCompile Include="ql\time\ecb.cpp" />
     <ClCompile Include="ql\time\frequency.cpp" />
     <ClCompile Include="ql\time\imm.cpp" />

QuantLib.vcxproj.filters

@@ -2823,6 +2823,9 @@
     <ClInclude Include="ql\time\daycounters\actual360.hpp">
       <Filter>time\daycounters</Filter>
     </ClInclude>
+    <ClInclude Include="ql\time\daycounters\actual364.hpp">
+      <Filter>time\daycounters</Filter>
+    </ClInclude>
     <ClInclude Include="ql\time\daycounters\actual365fixed.hpp">
       <Filter>time\daycounters</Filter>
     </ClInclude>
@@ -2844,6 +2847,9 @@
     <ClInclude Include="ql\time\daycounters\thirty360.hpp">
       <Filter>time\daycounters</Filter>
     </ClInclude>
+    <ClInclude Include="ql\time\daycounters\thirty365.hpp">
+      <Filter>time\daycounters</Filter>
+    </ClInclude>
     <ClInclude Include="ql\legacy\all.hpp">
       <Filter>legacy</Filter>
     </ClInclude>
@@ -5898,6 +5904,9 @@
     <ClCompile Include="ql\time\daycounters\thirty360.cpp">
       <Filter>time\daycounters</Filter>
     </ClCompile>
+    <ClCompile Include="ql\time\daycounters\thirty365.cpp">
+      <Filter>time\daycounters</Filter>
+    </ClCompile>
     <ClCompile Include="ql\legacy\libormarketmodels\lfmcovarparam.cpp">
       <Filter>legacy\libormarketmodels</Filter>
     </ClCompile>

ql/CMakeLists.txt

@@ -889,6 +889,7 @@ set(QuantLib_SRC
     time/daycounters/business252.cpp
     time/daycounters/simpledaycounter.cpp
     time/daycounters/thirty360.cpp
+    time/daycounters/thirty365.cpp
     time/ecb.cpp
     time/frequency.cpp
     time/imm.cpp
@@ -2230,13 +2231,15 @@ set(QuantLib_HDR
     time/dategenerationrule.hpp
     time/daycounter.hpp
     time/daycounters/actual360.hpp
+    time/daycounters/actual364.hpp
     time/daycounters/actual365fixed.hpp
     time/daycounters/actualactual.hpp
     time/daycounters/all.hpp
     time/daycounters/business252.hpp
     time/daycounters/one.hpp
     time/daycounters/simpledaycounter.hpp
     time/daycounters/thirty360.hpp
+    time/daycounters/thirty365.hpp
     time/ecb.hpp
     time/frequency.hpp
     time/imm.hpp

ql/time/daycounters/Makefile.am

@@ -5,19 +5,22 @@ this_includedir=${includedir}/${subdir}
 this_include_HEADERS = \
 	all.hpp \
 	actual360.hpp \
+	actual364.hpp \
 	actual365fixed.hpp \
 	actualactual.hpp \
 	business252.hpp \
 	one.hpp \
 	simpledaycounter.hpp \
-	thirty360.hpp
+	thirty360.hpp \
+	thirty365.hpp
 
 cpp_files = \
     actual365fixed.cpp \
     actualactual.cpp \
     business252.cpp \
 	simpledaycounter.cpp \
-    thirty360.cpp
+    thirty360.cpp \
+    thirty365.cpp
 
 if UNITY_BUILD
 

ql/time/daycounters/actual364.hpp

@@ -0,0 +1,52 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2014 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.
+*/
+
+/*! \file actual364.hpp
+    \brief Actual/364 day counter
+*/
+
+#ifndef quantlib_actual364_day_counter_hpp
+#define quantlib_actual364_day_counter_hpp
+
+#include <ql/time/daycounter.hpp>
+
+namespace QuantLib {
+
+    //! Actual/364 day count convention
+    /*! \ingroup daycounters */
+    class Actual364 : public DayCounter {
+      private:
+        class Impl : public DayCounter::Impl {
+          public:
+            std::string name() const { return std::string("Actual/364"); }
+            Time yearFraction(const Date& d1,
+                              const Date& d2,
+                              const Date&,
+                              const Date&) const {
+                return dayCount(d1,d2)/364.0;
+            }
+        };
+      public:
+        Actual364()
+        : DayCounter(ext::shared_ptr<DayCounter::Impl>(new Actual364::Impl)) {}
+    };
+
+}
+
+#endif

ql/time/daycounters/all.hpp

@@ -2,10 +2,12 @@
 /* Add the files to be included into Makefile.am instead. */
 
 #include <ql/time/daycounters/actual360.hpp>
+#include <ql/time/daycounters/actual364.hpp>
 #include <ql/time/daycounters/actual365fixed.hpp>
 #include <ql/time/daycounters/actualactual.hpp>
 #include <ql/time/daycounters/business252.hpp>
 #include <ql/time/daycounters/one.hpp>
 #include <ql/time/daycounters/simpledaycounter.hpp>
 #include <ql/time/daycounters/thirty360.hpp>
+#include <ql/time/daycounters/thirty365.hpp>
 

ql/time/daycounters/thirty365.cpp

@@ -0,0 +1,36 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2015 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/thirty365.hpp>
+
+namespace QuantLib {
+
+    Date::serial_type Thirty365::Impl::dayCount(const Date& d1,
+                                                const Date& d2) const {
+        Day dd1 = d1.dayOfMonth(), dd2 = d2.dayOfMonth();
+        Integer mm1 = d1.month(), mm2 = d2.month();
+        Year yy1 = d1.year(), yy2 = d2.year();
+
+        return 360*(yy2-yy1) + 30*(mm2-mm1) + (dd2-dd1);
+    }
+
+    Thirty365::Thirty365()
+    : DayCounter(ext::shared_ptr<DayCounter::Impl>(new Thirty365::Impl)) {}
+
+}

ql/time/daycounters/thirty365.hpp

@@ -0,0 +1,52 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2015 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.
+*/
+
+/*! \file thirty365.hpp
+    \brief 30/365 day counters
+*/
+
+#ifndef quantlib_thirty_365_day_counter_hpp
+#define quantlib_thirty_365_day_counter_hpp
+
+#include <ql/time/daycounter.hpp>
+
+namespace QuantLib {
+
+    //! 30/365 day count convention
+    /*! \ingroup daycounters */
+    class Thirty365 : public DayCounter {
+      private:
+        class Impl : public DayCounter::Impl {
+          public:
+            std::string name() const { return std::string("30/365"); }
+            Date::serial_type dayCount(const Date& d1,
+                                       const Date& d2) const;
+            Time yearFraction(const Date& d1,
+                              const Date& d2,
+                              const Date&, 
+                              const Date&) const {
+                return dayCount(d1,d2)/365.0; }
+        };
+      public:
+        Thirty365();
+    };
+
+}
+
+#endif

test-suite/daycounters.cpp

@@ -30,6 +30,7 @@
 #include <ql/time/daycounters/simpledaycounter.hpp>
 #include <ql/time/daycounters/business252.hpp>
 #include <ql/time/daycounters/thirty360.hpp>
+#include <ql/time/daycounters/thirty365.hpp>
 #include <ql/time/calendars/brazil.hpp>
 #include <ql/time/calendars/canada.hpp>
 #include <ql/time/calendars/unitedstates.hpp>
@@ -640,6 +641,30 @@ void DayCounterTest::testBusiness252() {
     }
 }
 
+void DayCounterTest::testThirty365() {
+
+    BOOST_TEST_MESSAGE("Testing 30/365 day counter...");
+
+    Date d1(17,June,2011), d2(30,December,2012);
+    DayCounter dayCounter = Thirty365();
+
+    BigInteger days = dayCounter.dayCount(d1,d2);
+    if (days != 553) {
+        BOOST_FAIL("from " << d1 << " to " << d2 << ":\n"
+                   << "    calculated: " << days << "\n"
+                   << "    expected:   " << 553);
+    }
+
+    Time t = dayCounter.yearFraction(d1,d2);
+    Time expected = 553/365.0;
+    if (std::fabs(t-expected) > 1.0e-12) {
+        BOOST_FAIL("from " << d1 << " to " << d2 << ":\n"
+                   << std::setprecision(12)
+                   << "    calculated: " << t << "\n"
+                   << "    expected:   " << expected);
+    }
+}
+
 void DayCounterTest::testThirty360_BondBasis() {
 
     BOOST_TEST_MESSAGE("Testing thirty/360 day counter (Bond Basis)...");
@@ -866,6 +891,7 @@ test_suite* DayCounterTest::suite() {
     suite->add(QUANTLIB_TEST_CASE(&DayCounterTest::testSimple));
     suite->add(QUANTLIB_TEST_CASE(&DayCounterTest::testOne));
     suite->add(QUANTLIB_TEST_CASE(&DayCounterTest::testBusiness252));
+    suite->add(QUANTLIB_TEST_CASE(&DayCounterTest::testThirty365));
     suite->add(QUANTLIB_TEST_CASE(&DayCounterTest::testThirty360_BondBasis));
     suite->add(QUANTLIB_TEST_CASE(&DayCounterTest::testThirty360_EurobondBasis));
     suite->add(QUANTLIB_TEST_CASE(&DayCounterTest::testThirty360_German));

test-suite/daycounters.hpp

@@ -34,6 +34,7 @@ class DayCounterTest {
     static void testSimple();
     static void testOne();
     static void testBusiness252();
+    static void testThirty365();
     static void testThirty360_BondBasis();
     static void testThirty360_EurobondBasis();
     static void testThirty360_German();