net.finmath.time.daycount.DayCountConventionFactory Maven / Gradle / Ivy

Go to download

Show more of this group Show more artifacts with this name
Show all versions of finmath-lib Show documentation

finmath lib is a Mathematical Finance Library in Java. It provides algorithms and methodologies related to mathematical finance.

There is a newer version: 6.0.19

Show newest version

/*
 * (c) Copyright Christian P. Fries, Germany. All rights reserved. Contact: [email protected].
 *
 * Created on 20.09.2013
 */

package net.finmath.time.daycount;

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

/**
 * Factory methods for day count conventions.
 * 
 * @author Christian Fries
 */
public class DayCountConventionFactory {

	/**
	 * Factory methods for day count conventions.
	 */
	public DayCountConventionFactory() {
		// TODO Auto-generated constructor stub
	}

	/**
	 * Create a day count convention base on a convention string.
	 * The follwoing convention strings are supported
	 * 
	 * 	act/act isda
	 * 	30/360
	 * 	30E/360
	 * 	30U/360
	 * 	act/360
	 * 	act/365
	 * 	act/act yearfrac
	 * 
	 * 
	 * @param convention A convention string.
	 * @return A day count convention object.
	 */
	public static DayCountConventionInterface getDayCountConvention(String convention) {
		if(convention.compareToIgnoreCase("act/act isda") == 0) {
			return new DayCountConvention_ACT_ACT_ISDA();
		}
		else if(convention.compareToIgnoreCase("30/360") == 0) {
			return new DayCountConvention_30E_360_ISDA();
		}
		else if(convention.compareToIgnoreCase("30e/360") == 0) {
			return new DayCountConvention_30E_360();
		}
		else if(convention.compareToIgnoreCase("30u/360") == 0) {
			return new DayCountConvention_30U_360();
		}
		else if(convention.compareToIgnoreCase("act/360") == 0) {
			return new DayCountConvention_ACT_360();
		}
		else if(convention.compareToIgnoreCase("act/365") == 0) {
			return new DayCountConvention_ACT_365();
		}
		else if(convention.compareToIgnoreCase("act/act yearfrac") == 0) {
			return new DayCountConvention_ACT_ACT_YEARFRAC();
		}
		
		throw new IllegalArgumentException("Unknow day count convention: " + convention);
	}

	/**
	 * Return the number of days between startDate and endDate given the
	 * specific daycount convention.
	 * 
	 * @param startDate The start date given as a {@link java.util.Date}.
	 * @param endDate The end date given as a {@link java.util.Date}.
	 * @param convention A convention string.
	 * @return The number of days within the given period.
	 */
	public static double getDaycount(Date startDate, Date endDate, String convention) {
		DayCountConventionInterface daycountConvention = getDayCountConvention(convention);
		return daycountConvention.getDaycount(getCalendarForData(startDate), getCalendarForData(endDate));
	}

	/**
	 * Return the daycount fraction corresponding to the period from startDate to endDate given the
	 * specific daycount convention.
	 * 
	 * @param startDate The start date given as a {@link java.util.Date}.
	 * @param endDate The end date given as a {@link java.util.Date}.
	 * @param convention A convention string.
	 * @return The daycount fraction corresponding to the given period.
	 */
	public static double getDaycountFraction(Date startDate, Date endDate, String convention) {
		DayCountConventionInterface daycountConvention = getDayCountConvention(convention);
		return daycountConvention.getDaycountFraction(getCalendarForData(startDate), getCalendarForData(endDate));
	}
	
	/**
	 * Returns a java.util.Calendar for a given java.util.Date.
	 * 
	 * @param date A Date
	 * @return The corresponding calendar
	 */
	public static Calendar getCalendarForData(Date date) {
		Calendar calendar = GregorianCalendar.getInstance();
		calendar.setTime(date);
		return calendar;
	}
}