hquantlib-time 0.0.5.3 → 0.1.0

raw patch · 6 files changed

+100/−105 lines, 6 filesdep ~timePVP ok

version bump matches the API change (PVP)

Dependency ranges changed: time

API changes (from Hackage documentation)

Files

• CHANGELOG.md +8/−0
• README.md +2/−0
• hquantlib-time.cabal +11/−7
• src/QuantLib/Time.hs +4/−4
• src/QuantLib/Time/Date.hs +38/−53
• src/QuantLib/Time/DayCounter.hs +37/−41

@@ -0,0 +1,8 @@+### 0.1.0+* Migrated to GHC 9.4.8.+* Upgraded the dependencies to more recent versions.+* Removed obsolete definitions as they are now in [time library](https://hackage.haskell.org/package/time).+* Upgraded to Cabal 3.0.++### 0.0.4.1+* I don't remember what was changed here

@@ -0,0 +1,2 @@+# hquantlib-time+Separated Time module from HQuantlib

@@ -1,6 +1,7 @@+cabal-version:  3.0 name:           hquantlib-time-version:        0.0.5.3-license:        LGPL+version:        0.1.0+license:        LGPL-3.0-or-later license-file:   LICENSE author:         Pavel Ryzhov maintainer:     Pavel Ryzhov <pavel.ryzhov@gmail.com>@@ -8,9 +9,12 @@ synopsis:       HQuantLib Time is a business calendar functions extracted from HQuantLib description:    HQuantLib is intended to be a functional style port of QuantLib (http://quantlib.org) build-type:     Simple-stability:      alpha+stability:      provisional homepage:       http://github.com/paulrzcz/hquantlib-time.git-cabal-version:  1.18.0+extra-doc-files:+        README.md+        CHANGELOG.md+tested-with:    GHC == 9.4.8  source-repository head         type:           git@@ -19,7 +23,7 @@ source-repository this         type:           git         location:       https://github.com/paulrzcz/hquantlib-time.git-        tag:            0.0.5.3+        tag:            0.1.0  flag optimize         description : Enable optimizations for library and benchmarks@@ -34,9 +38,9 @@          build-depends:                         base                    >3              && <5,-                        time                    >= 1.4.0.0      && < 1.15.0.0+                        time                    >= 1.12.2       && < 1.13                  hs-source-dirs: src         ghc-options:    -Wall         if flag(optimize)-                ghc-options: -funbox-strict-fields -O2 -fspec-constr -fdicts-cheap+                ghc-options: -funbox-strict-fields -fspec-constr -fdicts-cheap

@@ -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+

@@ -1,68 +1,53 @@ module QuantLib.Time.Date-  ( module QuantLib.Time.Date,-    DayOfWeek (..),-  )-where--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)+        ( BusinessDayConvention(..)+        , Day(..)+        , Holiday(..)+        , getDaysBetween+        , isWeekEnd+        , getNextBusinessDay+        ) where --- -- | Week days--- data WeekDay = Monday | Tuesday | Wednesday | Thursday | Friday | Saturday | Sunday---         deriving (Show, Eq, Enum)+import Data.Time.Calendar (Day(..), addDays, toGregorian)+import Data.Time.Calendar.WeekDate (dayOfWeek, DayOfWeek(..)) --- | Date-type Date = Day+{- | 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)  -- | 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)--  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)+        isHoliday :: m->(Integer, Int, Int)->Bool+        +        isBusinessDay :: m->Day->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->(Day, Day)->Int+        hBusinessDayBetween m (fd, td) = foldl countDays 0 listOfDates+                where   countDays counter x     = counter + fromEnum (isBusinessDay m x)+                        listOfDates             = getDaysBetween (fd, td)  -- | 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 :: Day->Bool+isWeekEnd d     = (weekday == Saturday) || (weekday == Sunday)+        where   weekday = dayOfWeek d  -- | Gets the next working day-getNextBusinessDay :: Holiday a => a -> Date -> Date+getNextBusinessDay :: Holiday a => a->Day->Day 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

@@ -1,21 +1,18 @@ module QuantLib.Time.DayCounter-  ( module QuantLib.Time.DayCounter,-  )-where+        ( module QuantLib.Time.DayCounter+        ) where -import Data.Time.Calendar (Day (..), toGregorian)-import QuantLib.Time.Date (Date)+import QuantLib.Time.Date+import Data.Time.Calendar  -- | 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->Day->Day->Int+        -- | Year fraction+        dcYearFraction  :: m->Day->Day->Double  {- data SimpleDayCounter = SimpleDayCounter@@ -30,35 +27,34 @@ data Thirty360 = ThirtyUSA | ThirtyEuropean | ThirtyItalian  instance DayCounter Thirty360 where-  dcName ThirtyUSA = "Thirty USA"-  dcName ThirtyEuropean = "Thirty Euro"-  dcName ThirtyItalian = "Thirty Italian"+        dcName ThirtyUSA        = "Thirty USA"+        dcName ThirtyEuropean   = "Thirty Euro"+        dcName ThirtyItalian    = "Thirty Italian" -  dcYearFraction dc fromDate toDate = fromIntegral (dcCount dc fromDate toDate) / 360.0+        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)-  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+        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) -intGregorian :: Day -> (Int, Int, Int)++        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 date = (fromIntegral y, m, d)-  where-    (y, m, d) = toGregorian date+        where   (y, m, d) = toGregorian date