Java tutorial
/** * Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.financial.convention.daycount; import java.util.Arrays; import org.apache.commons.lang.Validate; import org.threeten.bp.LocalDate; import org.threeten.bp.ZoneOffset; import org.threeten.bp.ZonedDateTime; import com.opengamma.financial.convention.StubCalculator; import com.opengamma.financial.convention.StubType; import com.opengamma.financial.convention.calendar.Calendar; /** * Utility to calculate the accrued interest. */ public final class AccruedInterestCalculator { /** * Restricted constructor. */ private AccruedInterestCalculator() { } /** * Calculates the accrued interest for a {@code ZonedDateTime}. * * @param dayCount the day count convention, not null * @param settlementDate the settlement date, not null * @param nominalDates the nominalDates, not null, no null elements * @param coupon the coupon value * @param paymentsPerYear the number of payments per year, one, two, three, four, six or twelve * @param isEndOfMonthConvention whether to use end of month rules * @param exDividendDays the number of ex-dividend days * @param calendar The working day calendar to be used in calculating ex-dividend dates, not null * @return the accrued interest */ public static double getAccruedInterest(final DayCount dayCount, final ZonedDateTime settlementDate, final ZonedDateTime[] nominalDates, final double coupon, final int paymentsPerYear, final boolean isEndOfMonthConvention, final int exDividendDays, final Calendar calendar) { Validate.notNull(dayCount, "day-count"); Validate.notNull(settlementDate, "date"); Validate.noNullElements(nominalDates, "nominalDates"); Validate.notNull(calendar, "calendar"); Validate.isTrue(paymentsPerYear > 0); Validate.isTrue(exDividendDays >= 0); final int i = Arrays.binarySearch(nominalDates, settlementDate); if (i > 0) { return 0; } final int index = -i - 2; final int length = nominalDates.length; Validate.isTrue(index >= 0, "Settlement date is before first accrual date"); Validate.isTrue(index < length, "Settlement date is after maturity date"); final double accruedInterest = getAccruedInterest(dayCount, index, length, nominalDates[index], settlementDate, nominalDates[index + 1], coupon, paymentsPerYear, isEndOfMonthConvention); ZonedDateTime exDividendDate = nominalDates[index + 1]; for (int j = 0; j < exDividendDays; j++) { while (!calendar.isWorkingDay(exDividendDate.toLocalDate())) { exDividendDate = exDividendDate.minusDays(1); } exDividendDate = exDividendDate.minusDays(1); } if (exDividendDays != 0 && exDividendDate.isBefore(settlementDate)) { return accruedInterest - coupon; } return accruedInterest; } /** * Calculates the accrued interest for a {@code ZonedDateTime}. * * @param dayCount the day count convention, not null * @param settlementDate the settlement date, not null * @param nominalDates the nominalDates, not null, no null elements * @param coupon the coupon value * @param paymentsPerYear the number of payments per year, one, two, three, four, six or twelve * @param isEndOfMonthConvention whether to use end of month rules * @param exDividendDays the number of ex-dividend days * @param index The index of the previous coupon in the nominalDates array * @param calendar The working day calendar to be used in calculating ex-dividend dates, not null * @return the accrued interest */ public static double getAccruedInterest(final DayCount dayCount, final ZonedDateTime settlementDate, final ZonedDateTime[] nominalDates, final double coupon, final double paymentsPerYear, final boolean isEndOfMonthConvention, final int exDividendDays, final int index, final Calendar calendar) { Validate.notNull(dayCount, "day-count"); Validate.notNull(settlementDate, "date"); Validate.noNullElements(nominalDates, "nominalDates"); Validate.notNull(calendar, "calendar"); Validate.isTrue(paymentsPerYear > 0); Validate.isTrue(exDividendDays >= 0); final int length = nominalDates.length; Validate.isTrue(index >= 0 && index < length); final double accruedInterest = getAccruedInterest(dayCount, index, length, nominalDates[index], settlementDate, nominalDates[index + 1], coupon, paymentsPerYear, isEndOfMonthConvention); ZonedDateTime exDividendDate = nominalDates[index + 1]; for (int i = 0; i < exDividendDays; i++) { while (!calendar.isWorkingDay(exDividendDate.toLocalDate())) { exDividendDate = exDividendDate.minusDays(1); } exDividendDate = exDividendDate.minusDays(1); } if (exDividendDays != 0 && exDividendDate.isBefore(settlementDate)) { return accruedInterest - coupon; } return accruedInterest; } /** * Calculates the accrued interest for a {@code LocalDate}. * * @param dayCount the day count convention, not null * @param settlementDate the settlement date, not null * @param nominalDates the nominalDates, not null, no null elements * @param coupon the coupon value * @param paymentsPerYear the number of payments per year, one, two, three, four, six or twelve * @param isEndOfMonthConvention whether to use end of month rules * @param exDividendDays the number of ex-dividend days * @param calendar The working day calendar to be used in calculating ex-dividend dates, not null * @return the accrued interest */ //TODO one where you can pass in array of coupons public static double getAccruedInterest(final DayCount dayCount, final LocalDate settlementDate, final LocalDate[] nominalDates, final double coupon, final double paymentsPerYear, final boolean isEndOfMonthConvention, final int exDividendDays, final Calendar calendar) { Validate.notNull(dayCount, "day-count"); Validate.notNull(settlementDate, "date"); Validate.noNullElements(nominalDates, "nominalDates"); Validate.notNull(calendar, "calendar"); Validate.isTrue(paymentsPerYear > 0); Validate.isTrue(exDividendDays >= 0); final int i = Arrays.binarySearch(nominalDates, settlementDate); if (i > 0) { return 0; } final int index = -i - 2; final int length = nominalDates.length; if (index < 0) { throw new IllegalArgumentException("Settlement date is before first accrual date"); } if (index == length) { throw new IllegalArgumentException("Settlement date is after maturity date"); } final ZonedDateTime previousCouponDate = nominalDates[index].atStartOfDay(ZoneOffset.UTC); final ZonedDateTime date = settlementDate.atStartOfDay(ZoneOffset.UTC); final ZonedDateTime nextCouponDate = nominalDates[index + 1].atStartOfDay(ZoneOffset.UTC); final double accruedInterest = getAccruedInterest(dayCount, index, length, previousCouponDate, date, nextCouponDate, coupon, paymentsPerYear, isEndOfMonthConvention); LocalDate exDividendDate = nominalDates[index + 1]; for (int j = 0; j < exDividendDays; j++) { while (!calendar.isWorkingDay(exDividendDate)) { exDividendDate = exDividendDate.minusDays(1); } exDividendDate = exDividendDate.minusDays(1); } if (exDividendDays != 0 && exDividendDate.isBefore(settlementDate)) { return accruedInterest - coupon; } return accruedInterest; } /** * Calculates the accrued interest for a {@code LocalDate}. * * @param dayCount the day count convention, not null * @param settlementDate the settlement date, not null * @param nominalDates the nominalDates, not null, no null elements * @param coupon the coupon value * @param paymentsPerYear the number of payments per year, one, two, three, four, six or twelve * @param isEndOfMonthConvention whether to use end of month rules * @param exDividendDays the number of ex-dividend days * @param index The index of the previous coupon in the nominalDates * @param calendar The working day calendar to be used in calculating ex-dividend dates, not null * @return the accrued interest */ public static double getAccruedInterest(final DayCount dayCount, final LocalDate settlementDate, final LocalDate[] nominalDates, final double coupon, final double paymentsPerYear, final boolean isEndOfMonthConvention, final int exDividendDays, final int index, final Calendar calendar) { Validate.notNull(dayCount, "day-count"); Validate.notNull(settlementDate, "date"); Validate.noNullElements(nominalDates, "nominalDates"); Validate.notNull(calendar, "calendar"); Validate.isTrue(paymentsPerYear > 0); Validate.isTrue(exDividendDays >= 0); final int length = nominalDates.length; Validate.isTrue(index >= 0 && index < length); final ZonedDateTime previousCouponDate = nominalDates[index].atStartOfDay(ZoneOffset.UTC); final ZonedDateTime date = settlementDate.atStartOfDay(ZoneOffset.UTC); final ZonedDateTime nextCouponDate = nominalDates[index + 1].atStartOfDay(ZoneOffset.UTC); double accruedInterest; if (date.isAfter(nextCouponDate)) { accruedInterest = 0; } else { accruedInterest = getAccruedInterest(dayCount, index, length, previousCouponDate, date, nextCouponDate, coupon, paymentsPerYear, isEndOfMonthConvention); } LocalDate exDividendDate = nominalDates[index + 1]; for (int i = 0; i < exDividendDays; i++) { while (!calendar.isWorkingDay(exDividendDate)) { exDividendDate = exDividendDate.minusDays(1); } exDividendDate = exDividendDate.minusDays(1); } if (exDividendDays != 0 && exDividendDate.isBefore(settlementDate)) { return accruedInterest - coupon; } return accruedInterest; } /** * Calculates the accrued interest for a {@code LocalDate}. * * @param dayCount the day count convention, not null * @param settlementDate the settlement date, not null * @param nominalDates the nominalDates, not null, no null elements * @param settlementDates the settlement dates, not null, no null elements * @param coupon the coupon value * @param paymentsPerYear the number of payments per year, one, two, three, four, six or twelve * @param isEndOfMonthConvention whether to use end of month rules * @param exDividendDays the number of ex-dividend days * @param index The index of the previous coupon in the nominalDates * @param calendar The working day calendar used to calculate the ex-dividend date, not null * @return the accrued interest */ public static double getAccruedInterest(final DayCount dayCount, final LocalDate settlementDate, final LocalDate[] nominalDates, final LocalDate[] settlementDates, final double coupon, final double paymentsPerYear, final boolean isEndOfMonthConvention, final int exDividendDays, final int index, final Calendar calendar) { Validate.notNull(dayCount, "day-count"); Validate.notNull(settlementDate, "date"); Validate.notNull(calendar, "calendar"); Validate.noNullElements(nominalDates, "nominalDates"); Validate.noNullElements(settlementDates, "settlementDates"); Validate.isTrue(paymentsPerYear > 0); Validate.isTrue(exDividendDays >= 0); final int length = nominalDates.length; Validate.isTrue(index >= 0 && index < length); final LocalDate previousCouponDate = nominalDates[index]; final LocalDate nextCouponDate = nominalDates[index + 1]; double accruedInterest; if (settlementDate.isAfter(nextCouponDate)) { if (settlementDate.isBefore(settlementDates[index + 1])) { accruedInterest = coupon; } else { accruedInterest = 0; } } else { accruedInterest = getAccruedInterest(dayCount, index, length, previousCouponDate, settlementDate, nextCouponDate, coupon, paymentsPerYear, isEndOfMonthConvention); } LocalDate exDividendDate = nominalDates[index + 1]; for (int i = 0; i < exDividendDays; i++) { while (!calendar.isWorkingDay(exDividendDate)) { exDividendDate = exDividendDate.minusDays(1); } exDividendDate = exDividendDate.minusDays(1); } if (exDividendDays != 0 && exDividendDate.isBefore(settlementDate)) { return accruedInterest - coupon; } return accruedInterest; } public static double getAccruedInterest(final DayCount dayCount, final int index, final int length, final ZonedDateTime previousCouponDate, final ZonedDateTime date, final ZonedDateTime nextCouponDate, final double coupon, final double paymentsPerYear, final boolean isEndOfMonthConvention) { if (dayCount instanceof ActualActualICMANormal) { if (isEndOfMonthConvention) { throw new IllegalArgumentException( "Inconsistent definition; asked for accrual with EOM convention but are not using Actual/Actual ICMA"); } final StubType stubType = getStubType(index, length, previousCouponDate, nextCouponDate, paymentsPerYear, isEndOfMonthConvention); return ((ActualActualICMANormal) dayCount).getAccruedInterest(previousCouponDate, date, nextCouponDate, coupon, paymentsPerYear, stubType); } else if (dayCount instanceof ActualActualICMA) { final StubType stubType = getStubType(index, length, previousCouponDate, nextCouponDate, paymentsPerYear, isEndOfMonthConvention); return ((ActualActualICMA) dayCount).getAccruedInterest(previousCouponDate, date, nextCouponDate, coupon, paymentsPerYear, stubType); } else if (dayCount instanceof ThirtyUThreeSixty) { return ((ThirtyUThreeSixty) dayCount).getAccruedInterest(previousCouponDate, date, coupon, isEndOfMonthConvention); } return dayCount.getAccruedInterest(previousCouponDate, date, nextCouponDate, coupon, paymentsPerYear); } public static double getAccruedInterest(final DayCount dayCount, final int index, final int length, final LocalDate previousCouponDate, final LocalDate date, final LocalDate nextCouponDate, final double coupon, final double paymentsPerYear, final boolean isEndOfMonthConvention) { if (dayCount instanceof ActualActualICMANormal) { if (isEndOfMonthConvention) { throw new IllegalArgumentException( "Inconsistent definition; asked for accrual with EOM convention but are not using Actual/Actual ICMA"); } final StubType stubType = getStubType(index, length, previousCouponDate, nextCouponDate, paymentsPerYear, isEndOfMonthConvention); return ((ActualActualICMANormal) dayCount).getAccruedInterest(previousCouponDate, date, nextCouponDate, coupon, paymentsPerYear, stubType); } else if (dayCount instanceof ActualActualICMA) { final StubType stubType = getStubType(index, length, previousCouponDate, nextCouponDate, paymentsPerYear, isEndOfMonthConvention); return ((ActualActualICMA) dayCount).getAccruedInterest(previousCouponDate, date, nextCouponDate, coupon, paymentsPerYear, stubType); } else if (dayCount instanceof ThirtyUThreeSixty) { return ((ThirtyUThreeSixty) dayCount).getAccruedInterest(previousCouponDate, date, coupon, isEndOfMonthConvention); } return dayCount.getAccruedInterest(previousCouponDate, date, nextCouponDate, coupon, paymentsPerYear); } private static StubType getStubType(final int index, final int length, final ZonedDateTime previousCouponDate, final ZonedDateTime nextCouponDate, final double paymentsPerYear, final boolean isEndOfMonthConvention) { StubType stubType; if (index == 0) { LocalDate[] schedule = new LocalDate[] { previousCouponDate.toLocalDate(), nextCouponDate.toLocalDate() }; stubType = StubCalculator.getStartStubType(schedule, paymentsPerYear, isEndOfMonthConvention); } else if (index == length - 2) { LocalDate[] schedule = new LocalDate[] { previousCouponDate.toLocalDate(), nextCouponDate.toLocalDate() }; stubType = StubCalculator.getEndStubType(schedule, paymentsPerYear, isEndOfMonthConvention); } else { stubType = StubType.NONE; } return stubType; } private static StubType getStubType(final int index, final int length, final LocalDate previousCouponDate, final LocalDate nextCouponDate, final double paymentsPerYear, final boolean isEndOfMonthConvention) { StubType stubType; if (index == 0) { LocalDate[] schedule = new LocalDate[] { previousCouponDate, nextCouponDate }; stubType = StubCalculator.getStartStubType(schedule, paymentsPerYear, isEndOfMonthConvention); } else if (index == length - 2) { LocalDate[] schedule = new LocalDate[] { previousCouponDate, nextCouponDate }; stubType = StubCalculator.getEndStubType(schedule, paymentsPerYear, isEndOfMonthConvention); } else { stubType = StubType.NONE; } return stubType; } }