diff --git a/hquantlib-time.cabal b/hquantlib-time.cabal --- a/hquantlib-time.cabal +++ b/hquantlib-time.cabal @@ -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 diff --git a/src/QuantLib/Time.hs b/src/QuantLib/Time.hs --- a/src/QuantLib/Time.hs +++ b/src/QuantLib/Time.hs @@ -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 - diff --git a/src/QuantLib/Time/Date.hs b/src/QuantLib/Time/Date.hs --- a/src/QuantLib/Time/Date.hs +++ b/src/QuantLib/Time/Date.hs @@ -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 diff --git a/src/QuantLib/Time/DayCounter.hs b/src/QuantLib/Time/DayCounter.hs --- a/src/QuantLib/Time/DayCounter.hs +++ b/src/QuantLib/Time/DayCounter.hs @@ -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