hquantlib-time 0.0.5.1 → 0.0.5.2
raw patch · 4 files changed
+94/−83 lines, 4 filesdep ~timePVP ok
version bump matches the API change (PVP)
Dependency ranges changed: time
API changes (from Hackage documentation)
Files
- hquantlib-time.cabal +4/−4
- src/QuantLib/Time.hs +4/−4
- src/QuantLib/Time/Date.hs +45/−38
- src/QuantLib/Time/DayCounter.hs +41/−37
hquantlib-time.cabal view
@@ -1,5 +1,5 @@ name: hquantlib-time-version: 0.0.5.1+version: 0.0.5.2 license: LGPL license-file: LICENSE author: Pavel Ryzhov@@ -10,7 +10,7 @@ build-type: Simple stability: alpha homepage: http://github.com/paulrzcz/hquantlib-time.git-cabal-version: >= 1.18+cabal-version: 1.18.0 source-repository head type: git@@ -19,7 +19,7 @@ source-repository this type: git location: https://github.com/paulrzcz/hquantlib-time.git- tag: 0.0.5.1+ tag: 0.0.5.2 flag optimize description : Enable optimizations for library and benchmarks@@ -34,7 +34,7 @@ build-depends: base >3 && <5,- time >= 1.9.0.0 && < 1.10.0.0+ time >= 1.4.0.0 && < 1.12.0.0 hs-source-dirs: src ghc-options: -Wall
src/QuantLib/Time.hs view
@@ -1,8 +1,8 @@ module QuantLib.Time- ( module QuantLib.Time.Date- , module QuantLib.Time.DayCounter- ) where+ ( module QuantLib.Time.Date,+ module QuantLib.Time.DayCounter,+ )+where import QuantLib.Time.Date import QuantLib.Time.DayCounter-
src/QuantLib/Time/Date.hs view
@@ -1,20 +1,21 @@ module QuantLib.Time.Date- ( module QuantLib.Time.Date- , DayOfWeek(..)- ) where+ ( module QuantLib.Time.Date,+ DayOfWeek (..),+ )+where -import Data.Time-import Data.Time.Calendar.WeekDate+import Data.Time.Calendar (Day (..), DayOfWeek (..), addDays, toGregorian)+import Data.Time.Calendar.WeekDate (toWeekDate) -{- | Business Day conventions- - These conventions specify the algorithm used to adjust a date in case it is not a valid business day.- -}-data BusinessDayConvention = Following - | ModifiedFollowing - | Preceding- | ModifiedPreceding- | Unadjusted- deriving (Show, Eq, Enum)+-- | Business Day conventions+-- - These conventions specify the algorithm used to adjust a date in case it is not a valid business day.+data BusinessDayConvention+ = Following+ | ModifiedFollowing+ | Preceding+ | ModifiedPreceding+ | Unadjusted+ deriving (Show, Eq, Enum) -- -- | Week days -- data WeekDay = Monday | Tuesday | Wednesday | Thursday | Friday | Saturday | Sunday@@ -25,37 +26,43 @@ -- | Defines a holidays for given calendar. Corresponds to calendar class in QuantLib class Holiday m where- isHoliday :: m->(Integer, Int, Int)->Bool- - isBusinessDay :: m->Date->Bool- isBusinessDay m d = not (isHoliday m $ toGregorian d)+ isHoliday :: m -> (Integer, Int, Int) -> Bool - hBusinessDayBetween :: m->(Date, Date)->Int- hBusinessDayBetween m (fd, td) = foldl countDays 0 listOfDates- where countDays counter x = counter + fromEnum (isBusinessDay m x)- listOfDates = getDaysBetween (fd, td)+ isBusinessDay :: m -> Date -> Bool+ isBusinessDay m d = not (isHoliday m $ toGregorian d) --- | Gets a week day -getWeekDay :: Date->DayOfWeek-getWeekDay d = toEnum (weekDay - 1)- where (_, _, weekDay) = toWeekDate d+ hBusinessDayBetween :: m -> (Date, Date) -> Int+ hBusinessDayBetween m (fd, td) = foldl countDays 0 listOfDates+ where+ countDays counter x = counter + fromEnum (isBusinessDay m x)+ listOfDates = getDaysBetween (fd, td) +-- | Gets a week day+getWeekDay :: Date -> DayOfWeek+getWeekDay d = toEnum (weekDay - 1)+ where+ (_, _, weekDay) = toWeekDate d+ -- | Generate a list of all dates inbetween-getDaysBetween :: (Day, Day) -> [Day]+getDaysBetween :: (Day, Day) -> [Day] getDaysBetween (fd, td) = reverse $ generator fd []- where generator date x- | date < td = generator nextDate (nextDate : x)- | otherwise = x- where nextDate = addDays 1 date+ where+ generator date x+ | date < td = generator nextDate (nextDate : x)+ | otherwise = x+ where+ nextDate = addDays 1 date -- | Checks if the day is a weekend, i.e. Saturday or Sunday-isWeekEnd :: Date->Bool-isWeekEnd d = (weekday == Saturday) || (weekday == Sunday)- where weekday = getWeekDay d+isWeekEnd :: Date -> Bool+isWeekEnd d = (weekday == Saturday) || (weekday == Sunday)+ where+ weekday = getWeekDay d -- | Gets the next working day-getNextBusinessDay :: Holiday a => a->Date->Date+getNextBusinessDay :: Holiday a => a -> Date -> Date getNextBusinessDay m d- | isBusinessDay m nextDay = nextDay- | otherwise = getNextBusinessDay m nextDay- where nextDay = addDays 1 d+ | isBusinessDay m nextDay = nextDay+ | otherwise = getNextBusinessDay m nextDay+ where+ nextDay = addDays 1 d
src/QuantLib/Time/DayCounter.hs view
@@ -1,19 +1,22 @@ module QuantLib.Time.DayCounter- ( module QuantLib.Time.DayCounter- ) where+ ( module QuantLib.Time.DayCounter,+ )+where -import QuantLib.Time.Date-import Data.Time.Calendar+import Data.Time.Calendar (Day (..), toGregorian)+import QuantLib.Time.Date (Date) -- | Day counter type class class DayCounter m where- -- | Name of day counter- dcName :: m->String- -- | Number of business days inbetween- dcCount :: m->Date->Date->Int- -- | Year fraction- dcYearFraction :: m->Date->Date->Double+ -- | Name of day counter+ dcName :: m -> String + -- | Number of business days inbetween+ dcCount :: m -> Date -> Date -> Int++ -- | Year fraction+ dcYearFraction :: m -> Date -> Date -> Double+ {- data SimpleDayCounter = SimpleDayCounter @@ -27,34 +30,35 @@ data Thirty360 = ThirtyUSA | ThirtyEuropean | ThirtyItalian instance DayCounter Thirty360 where- dcName ThirtyUSA = "Thirty USA"- dcName ThirtyEuropean = "Thirty Euro"- dcName ThirtyItalian = "Thirty Italian"-- dcYearFraction dc fromDate toDate = fromIntegral (dcCount dc fromDate toDate) / 360.0-- dcCount ThirtyUSA fd td = 360*(yy2-yy1) + 30*(mm2-mm1-1) + max 0 (30-dd1) + min 30 dd2- where (yy1, mm1, dd1) = intGregorian fd- (yy2, m2, d2) = intGregorian td- (dd2, mm2) = adjust dd1 d2 m2- adjust x1 x2 z2- | x2 == 31 && x1 < 30 = (1, z2+1)- | otherwise = (x2, z2)-+ dcName ThirtyUSA = "Thirty USA"+ dcName ThirtyEuropean = "Thirty Euro"+ dcName ThirtyItalian = "Thirty Italian" - dcCount ThirtyEuropean fd td = 360*(yy2-yy1) + 30*(m2-m1-1) + max 0 (30-d1) + min 30 d2- where (yy1, m1, d1) = intGregorian fd- (yy2, m2, d2) = intGregorian td+ dcYearFraction dc fromDate toDate = fromIntegral (dcCount dc fromDate toDate) / 360.0 - dcCount ThirtyItalian fd td = 360*(yy2-yy1) + 30*(mm2-mm1-1) + max 0 (30-dd1) + min 30 dd2- where (yy1, mm1, d1) = intGregorian fd- (yy2, mm2, d2) = intGregorian td- dd1 = adjust d1 mm1- dd2 = adjust d2 mm2- adjust x1 z1- | z1 == 2 && x1 > 27 = 30- | otherwise = x1+ dcCount ThirtyUSA fd td = 360 * (yy2 - yy1) + 30 * (mm2 - mm1 -1) + max 0 (30 - dd1) + min 30 dd2+ where+ (yy1, mm1, dd1) = intGregorian fd+ (yy2, m2, d2) = intGregorian td+ (dd2, mm2) = adjust dd1 d2 m2+ adjust x1 x2 z2+ | x2 == 31 && x1 < 30 = (1, z2 + 1)+ | otherwise = (x2, z2)+ dcCount ThirtyEuropean fd td = 360 * (yy2 - yy1) + 30 * (m2 - m1 -1) + max 0 (30 - d1) + min 30 d2+ where+ (yy1, m1, d1) = intGregorian fd+ (yy2, m2, d2) = intGregorian td+ dcCount ThirtyItalian fd td = 360 * (yy2 - yy1) + 30 * (mm2 - mm1 -1) + max 0 (30 - dd1) + min 30 dd2+ where+ (yy1, mm1, d1) = intGregorian fd+ (yy2, mm2, d2) = intGregorian td+ dd1 = adjust d1 mm1+ dd2 = adjust d2 mm2+ adjust x1 z1+ | z1 == 2 && x1 > 27 = 30+ | otherwise = x1 -intGregorian :: Day -> (Int, Int, Int)+intGregorian :: Day -> (Int, Int, Int) intGregorian date = (fromIntegral y, m, d)- where (y, m, d) = toGregorian date + where+ (y, m, d) = toGregorian date