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finmath lib is a Mathematical Finance Library in Java. It provides algorithms and methodologies related to mathematical finance.
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/*
 * (c) Copyright Christian P. Fries, Germany. All rights reserved. Contact: [email protected].
 *
 * Created on 07.09.2013
 */

package net.finmath.time.daycount;

import java.util.Calendar;
import java.util.GregorianCalendar;

/**
 * Implementation of ACT/ACT as in Excel (2013).
 * 
 * Calculates the day count by calculating the actual number of days between startDate and endDate.
 * 
 * The method is only exact, if the two calendar dates are (approximately) on the same time. A fractional day is
 * rounded to the approximately nearest day (since daylight saving is not considered, the notion of nearest may be off by one hour).
 * 
 * The day count fraction is calculated using ACT_ACT_YEARFRAC convention, that is, it is calculates the daycount fraction
 * corresponding to the Excel (2013) function YEARFRAC(startDate, endDate, 1). The day count fraction is calculated by dividing
 * the actual number of days between start and end date by a denominator, where the denominator is determines as follows:
 * 
 * 		If the interval from start to end spans more than one year fraction, denominator is the average number of days per year
 * 		If the interval from start to end spans less or equal one year and if start and end fall in a leap year, denominator is 366.0
 * 		If the interval from start to end spans less or equal one year and if either falls in a leap year and if February 29th of that leap year lies in between start and end (or is equal to start or end), denominator is 366.0
 * 		If the interval from start to end spans less or equal one year and neither of the above applied denominator is 365.0
 * 
 * 
 * 
 * 	
 * 		This method is not identical to ACT/ACT ISDA. For ACT/ACT ISDA use {@link net.finmath.time.daycount.DayCountConvention_ACT_ACT_ISDA}.
 * 	
 * 
 * 
 * 
 * 		In addition the method has the defect, that it is not additive (if you consider small intervals). For example
 *		YEARFRAC(30.12.2011, 04.01.2012, 1) is not equal to YEARFRAC(30.12.2011, 01.01.2012, 1) + YEARFRAC(01.01.2012, 04.01.2012, 1).
 * 
 * 
 * @author Christian Fries
 */
public class DayCountConvention_ACT_ACT_YEARFRAC extends DayCountConvention_ACT {

	/**
	 * Create an ACT/ACT YEARFRAC daycount convention.
	 */
	public DayCountConvention_ACT_ACT_YEARFRAC() {
	}

	/* (non-Javadoc)
	 * @see net.finmath.time.daycount.DayCountConventionInterface#getDaycountFraction(java.util.GregorianCalendar, java.util.GregorianCalendar)
	 */
	@Override
	public double getDaycountFraction(Calendar startDate, Calendar endDate) {
		if(startDate.after(endDate)) return -getDaycountFraction(endDate,startDate);


		/*
		 * Determine the denominator of act/act.
		 */
		double denominator;

		Calendar startDatePlusOneYear = (Calendar)startDate.clone();
		startDatePlusOneYear.add(Calendar.YEAR, 1);
		if(endDate.after(startDatePlusOneYear)) {
			/*
			 * The following method applies, if the interval spans more than one year:
			 * fraction = actual number of days / average number of days per year.
			 */

			Calendar startDateYearStart = (Calendar)startDate.clone();
			startDateYearStart.set(Calendar.DAY_OF_YEAR, 1);


			Calendar endDateYearEnd = (Calendar)endDate.clone();
			endDateYearEnd.set(Calendar.DAY_OF_YEAR, endDateYearEnd.getActualMaximum(Calendar.DAY_OF_YEAR));
			endDateYearEnd.add(Calendar.DAY_OF_YEAR, 1);

			double spannedYears = endDate.get(Calendar.YEAR) - startDate.get(Calendar.YEAR) + 1;

			denominator = getDaycount(startDateYearStart, endDateYearEnd) / spannedYears;
		}
		else {
			GregorianCalendar calendar = (GregorianCalendar)GregorianCalendar.getInstance();
			boolean isStartLeapYear	= calendar.isLeapYear(startDate.get(Calendar.YEAR));
			boolean isEndLeapYear	= calendar.isLeapYear(endDate.get(Calendar.YEAR));
			/*
			 * If the start and end span less or equal one year:
			 * If start and end fall in a leap year, use ACT/366.
			 */
			if(isStartLeapYear && isEndLeapYear)
			{
				denominator = 366.0;
			}
			else 
				/*
				 * If the start and end span less or equal one year:
				 * If either falls in a leap year and Feb 29th of that leap year lies in between start and end (or is equal to start or end), use ACT/366.
				 */
				if(isStartLeapYear || isEndLeapYear)
				{
					// Get February 29th of the respective leap year
					Calendar leapYearsFeb29th = isStartLeapYear ? (Calendar)startDate.clone() : (Calendar)endDate.clone();
					leapYearsFeb29th.set(Calendar.MONTH, Calendar.FEBRUARY);
					leapYearsFeb29th.set(Calendar.DAY_OF_MONTH, 29);

					// Check position of February 29th
					if(startDate.compareTo(leapYearsFeb29th) <= 0 && endDate.compareTo(leapYearsFeb29th) >= 0) {
						denominator = 366.0;
					}
					else {
						denominator = 365.0;
					}
				}
				else {
					/*
					 * If the start and end span less or equal one year:
					 * If none of the above applies, use denominator = ACT/365.
					 */
					denominator = 365.0;
				}
		}

		double daycountFraction = getDaycount(startDate, endDate) / denominator;

		return daycountFraction;
	}

	@Override
	public String toString() {
		return "DayCountConvention_ACT_ACT_YEARFRAC";
	}

}