14910176578

Committed 08 May 2025 03:28PM UTC coverage: 73.315% (+0.02%) from 73.3%

Build # 14910176578

Build Type

Pull #2195

github

Committed by

web-flow

Commit Message

Merge 3a61f499c into 5d972fb7b

Pull Request Pull Request #2195: Added `Handle<Quote>` for spread in `OISRateHelper`

Run Details

32 of 33 new or added lines in 2 files covered. (96.97%)

277 existing lines in 25 files now uncovered.

56277 of 76761 relevant lines covered (73.31%)

8687029.35 hits per line

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90.91

/ql/time/daycounters/actual365fixed.cpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
 Copyright (C) 2013 BGC Partners L.P.

 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/actual365fixed.hpp>
#include <cmath>

namespace QuantLib {

    ext::shared_ptr<DayCounter::Impl>
    Actual365Fixed::implementation(Actual365Fixed::Convention c) {
        switch (c) {
          case Standard:
            return ext::shared_ptr<DayCounter::Impl>(new Impl);
          case Canadian:
            return ext::shared_ptr<DayCounter::Impl>(new CA_Impl);
          case NoLeap:
            return ext::shared_ptr<DayCounter::Impl>(new NL_Impl);
          default:
            QL_FAIL("unknown Actual/365 (Fixed) convention");
        }
    }

    Time Actual365Fixed::CA_Impl::yearFraction(const Date& d1,
                                               const Date& d2,
                                               const Date& refPeriodStart,
                                               const Date& refPeriodEnd) const {
        if (d1 == d2)
            return 0.0;

        // We need the period to calculate the frequency
        QL_REQUIRE(refPeriodStart != Date(), "invalid refPeriodStart");
        QL_REQUIRE(refPeriodEnd != Date(), "invalid refPeriodEnd");

        Time dcs = daysBetween(d1,d2);
        Time dcc = daysBetween(refPeriodStart,refPeriodEnd);
        auto months = Integer(std::lround(12 * dcc / 365));
        QL_REQUIRE(months != 0,
                   "invalid reference period for Act/365 Canadian; "
                   "must be longer than a month");
        auto frequency = Integer(12 / months);
        QL_REQUIRE(frequency != 0,
                   "invalid reference period for Act/365 Canadian; "
                   "must not be longer than a year");

        if (dcs < Integer(365/frequency))
            return dcs/365.0;

        return 1./frequency - (dcc-dcs)/365.0;

    }

    Date::serial_type Actual365Fixed::NL_Impl::dayCount(const Date& d1,
                                                        const Date& d2) const {

        static const Integer MonthOffset[] = {
            0,  31,  59,  90, 120, 151,  // Jan - Jun
            181, 212, 243, 273, 304, 334   // Jun - Dec
        };

        Date::serial_type s1 = d1.dayOfMonth()
                             + MonthOffset[d1.month()-1] + (d1.year() * 365);
        Date::serial_type s2 = d2.dayOfMonth()
                             + MonthOffset[d2.month()-1] + (d2.year() * 365);

        if (d1.month() == Feb && d1.dayOfMonth() == 29) {
            --s1;
        }

        if (d2.month() == Feb && d2.dayOfMonth() == 29) {
            --s2;
        }

        return s2 - s1;
    }

    Time Actual365Fixed::NL_Impl::yearFraction(const Date& d1,
                                               const Date& d2,
                                               const Date& d3,
                                               const Date& d4) const {
        return dayCount(d1, d2)/365.0;
    }

}


1	/* -- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -- */
2
3	/*
4	Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
5	Copyright (C) 2013 BGC Partners L.P.
6
7	This file is part of QuantLib, a free-software/open-source library
8	for financial quantitative analysts and developers - http://quantlib.org/
9
10	QuantLib is free software: you can redistribute it and/or modify it
11	under the terms of the QuantLib license. You should have received a
12	copy of the license along with this program; if not, please email
13	<quantlib-dev@lists.sf.net>. The license is also available online at
14	<http://quantlib.org/license.shtml>.
15
16	This program is distributed in the hope that it will be useful, but WITHOUT
17	ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18	FOR A PARTICULAR PURPOSE. See the license for more details.
19	*/
20
21	#include <ql/time/daycounters/actual365fixed.hpp>
22	#include <cmath>
23
24	namespace QuantLib {
25
26	ext::shared_ptr<DayCounter::Impl>
27	Actual365Fixed::implementation(Actual365Fixed::Convention c) {	535,278✔
28	switch (c) {	535,278✔
29	case Standard:	535,275✔
30	return ext::shared_ptr<DayCounter::Impl>(new Impl);	535,275✔
31	case Canadian:	2✔
32	return ext::shared_ptr<DayCounter::Impl>(new CA_Impl);	2✔
33	case NoLeap:	1✔
34	return ext::shared_ptr<DayCounter::Impl>(new NL_Impl);	1✔
35	default:	×
36	QL_FAIL("unknown Actual/365 (Fixed) convention");	×
37	}
38	}
39
40	Time Actual365Fixed::CA_Impl::yearFraction(const Date& d1,	6✔
41	const Date& d2,
42	const Date& refPeriodStart,
43	const Date& refPeriodEnd) const {
44	if (d1 == d2)	6✔
45	return 0.0;
46
47	// We need the period to calculate the frequency
48	QL_REQUIRE(refPeriodStart != Date(), "invalid refPeriodStart");	8✔
49	QL_REQUIRE(refPeriodEnd != Date(), "invalid refPeriodEnd");	5✔
50
51	Time dcs = daysBetween(d1,d2);
52	Time dcc = daysBetween(refPeriodStart,refPeriodEnd);
53	auto months = Integer(std::lround(12 * dcc / 365));	5✔
54	QL_REQUIRE(months != 0,	7✔
55	"invalid reference period for Act/365 Canadian; "
56	"must be longer than a month");
57	auto frequency = Integer(12 / months);	4✔
58	QL_REQUIRE(frequency != 0,	6✔
59	"invalid reference period for Act/365 Canadian; "
60	"must not be longer than a year");
61
62	if (dcs < Integer(365/frequency))	3✔
UNCOV 63	return dcs/365.0;	×
64
65	return 1./frequency - (dcc-dcs)/365.0;	3✔
66
67	}
68
69	Date::serial_type Actual365Fixed::NL_Impl::dayCount(const Date& d1,	4,360✔
70	const Date& d2) const {
71
72	static const Integer MonthOffset[] = {
73	0, 31, 59, 90, 120, 151, // Jan - Jun
74	181, 212, 243, 273, 304, 334 // Jun - Dec
75	};
76
77	Date::serial_type s1 = d1.dayOfMonth()	4,360✔
78	+ MonthOffset[d1.month()-1] + (d1.year() * 365);	4,360✔
79	Date::serial_type s2 = d2.dayOfMonth()	4,360✔
80	+ MonthOffset[d2.month()-1] + (d2.year() * 365);	4,360✔
81
82	if (d1.month() == Feb && d1.dayOfMonth() == 29) {	4,360✔
83	--s1;	4✔
84	}
85
86	if (d2.month() == Feb && d2.dayOfMonth() == 29) {	4,360✔
87	--s2;	1✔
88	}
89
90	return s2 - s1;	4,360✔
91	}
92
93	Time Actual365Fixed::NL_Impl::yearFraction(const Date& d1,	4,360✔
94	const Date& d2,
95	const Date& d3,
96	const Date& d4) const {
97	return dayCount(d1, d2)/365.0;	4,360✔
98	}
99
100	}
101

lballabio / QuantLib / 14910176578

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