DayCounter.py

# -*- coding: utf-8 -*-
u"""
Created on 2017-6-11

@author: cheng.li
"""

from PyFin.DateUtilities.Period import Period
from PyFin.Enums.TimeUnits import TimeUnits
from PyFin.Enums.Months import Months


class DayCounter(object):

    def __init__(self, dcName):

        dcName = dcName.lower()
        if dcName in _dcDict:
            self.impl_ = _dcDict[dcName]()
        else:
            raise ValueError('{0} is not a valid day counter name'.format(dcName))

    def name(self):
        return self.impl_.name()

    def dayCount(self, d1, d2):
        return self.impl_.dayCount(d1, d2)

    def yearFraction(self, d1, d2, refPeriodStart=None, refPeriodEnd=None):
        return self.impl_.yearFraction(d1, d2, refPeriodStart, refPeriodEnd)


class DayCounterImpl(object):

    def name(self):
        pass

    def dayCount(self, d1, d2):
        return d2 - d1

    def yearFraction(self, d1, d2, refPeriodStart, refPeriodEnd):
        pass


class Actual360(DayCounterImpl):

    def name(self):
        return 'Actual/360'

    def yearFraction(self, d1, d2, refPeriodStart, refPeriodEnd2):
        return float(d2 - d1) / 360.


class Actual365Fixed(DayCounterImpl):

    def name(self):
        return 'Actual/365 (Fixed)'

    def yearFraction(self, d1, d2, refPeriodStart, refPeriodEnd2):
        return float(d2 - d1) / 365.


class Actual365NoLeap(DayCounterImpl):
    MonthOffset = [
        0, 31, 59, 90, 120, 151,  # Jan - Jun
        181, 212, 243, 273, 304, 334  # Jun - Dec
    ]

    def name(self):
        return 'Actual/365 (NL)'

    def dayCount(self, d1, d2):

        s1 = d1.dayOfMonth() + self.MonthOffset[d1.month() - 1] + (d1.year() * 365)
        s2 = d2.dayOfMonth() + self.MonthOffset[d2.month() - 1] + (d2.year() * 365)

        if d1.month() == Months.Feb and d1.dayOfMonth() == 29:
            s1 -= 1

        if d2.month() == Months.Feb and d2.dayOfMonth() == 29:
            s2 -= 1

        return s2 - s1

    def yearFraction(self, d1, d2, refPeriodStart, refPeriodEnd2):
        return self.dayCount(d1, d2) / 365.


class ActualActualISMAImpl(DayCounterImpl):

    def name(self):
        return 'Actual/Actual (ISMA)'

    def yearFraction(self, d1, d2, d3, d4):

        if d1 == d2:
            return 0.

        if d1 > d2:
            return -self.yearFraction(d2, d1, d3, d4)

        refPeriodStart = d3 if d3 else d1
        refPeriodEnd = d4 if d4 else d2

        months = int(0.5 + 12. * (refPeriodEnd - refPeriodStart) / 365.)

        if months == 0:
            refPeriodStart = d1
            refPeriodEnd = d1 + '1y'
            months = 12

        period = months / 12.

        if d2 <= refPeriodEnd:
            if d1 >= refPeriodStart:
                return period * (d2 - d1) / (refPeriodEnd - refPeriodStart)
            else:
                previousRef = refPeriodStart - Period(length=months, units=TimeUnits.Months)

                if d2 > refPeriodStart:
                    return self.yearFraction(d1, refPeriodStart, previousRef, refPeriodStart) \
                           + self.yearFraction(refPeriodStart, d2, refPeriodStart, refPeriodEnd)
                else:
                    return self.yearFraction(d1, d2, previousRef, refPeriodStart)

        else:
            sum = self.yearFraction(d1, refPeriodEnd, refPeriodStart, refPeriodEnd)
            i = 0
            while True:
                newRefStart = refPeriodEnd + Period(length=i*months, units=TimeUnits.Months)
                newRefEnd = refPeriodEnd + Period(length=(i+1)*months, units=TimeUnits.Months)

                if d2 < newRefEnd:
                    break
                else:
                    sum += period
                    i += 1

            sum += self.yearFraction(newRefStart, d2, newRefStart, newRefEnd)
            return sum


_dcDict = {'actual/360': Actual360,
           'actual/365 (fixed)': Actual365Fixed,
           'actual/365 (nl)': Actual365NoLeap,
           'actual/actual (isma)': ActualActualISMAImpl}