com.algoTrader.util.RoundUtil.java Source code

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Here is the source code for com.algoTrader.util.RoundUtil.java

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/*******************************************************************************
 * Copyright (c) 2013 Andy Flury.
 * http://code.google.com/p/algo-trader
 * All rights reserved. This program and the accompanying materials
 * are made available under the terms of the GNU Public License v2.0
 * which accompanies this distribution, and is available at
 * http://www.gnu.org/licenses/old-licenses/gpl-2.0.html
 ******************************************************************************/
package com.algoTrader.util;

import java.math.BigDecimal;

import org.apache.commons.math.util.MathUtils;

import com.algoTrader.enumeration.OptionType;

public class RoundUtil {

    private static final int PORTFOLIO_DIGITS = ConfigurationUtil.getBaseConfig().getInt("portfolioDigits");

    public static double roundToNextN(double value, double n) {

        return MathUtils.round(value / n, 0) * n;
    }

    public static BigDecimal roundToNextN(BigDecimal value, double n) {

        return RoundUtil.getBigDecimal(roundToNextN(value.doubleValue(), n), getDigits(n));
    }

    public static double roundToNextN(double value, double n, int roundingMethod) {

        return MathUtils.round(value / n, 0, roundingMethod) * n;
    }

    public static BigDecimal roundToNextN(BigDecimal value, double n, int roundingMethod) {

        return RoundUtil.getBigDecimal(roundToNextN(value.doubleValue(), n, roundingMethod), getDigits(n));
    }

    public static BigDecimal getBigDecimal(double value) {

        if (!Double.isNaN(value)) {
            BigDecimal decimal = new BigDecimal(value);
            return decimal.setScale(PORTFOLIO_DIGITS, BigDecimal.ROUND_HALF_UP);
        } else {
            return null;
        }
    }

    public static BigDecimal getBigDecimal(double value, int scale) {

        if (!Double.isNaN(value)) {
            BigDecimal decimal = new BigDecimal(value);
            return decimal.setScale(scale, BigDecimal.ROUND_HALF_UP);
        } else {
            return null;
        }
    }

    public static BigDecimal roundStockOptionStrikeToNextN(BigDecimal spot, double n, OptionType type) {

        if (OptionType.CALL.equals(type)) {
            // increase by strikeOffset and round to upper n
            return roundToNextN(spot, n, BigDecimal.ROUND_CEILING);
        } else {
            // reduce by strikeOffset and round to lower n
            return roundToNextN(spot, n, BigDecimal.ROUND_FLOOR);
        }
    }

    public static int getDigits(double n) {
        int exponent = -(int) Math.floor(Math.log10(n));
        int digits = exponent >= 0 ? exponent : 0;
        return digits;
    }
}