hquantlib-time (empty) → 0.0.4.0
raw patch · 6 files changed
+343/−0 lines, 6 filesdep +basedep +timesetup-changed
Dependencies added: base, time
Files
- LICENSE +165/−0
- Setup.hs +6/−0
- hquantlib-time.cabal +44/−0
- src/QuantLib/Time.hs +8/−0
- src/QuantLib/Time/Date.hs +60/−0
- src/QuantLib/Time/DayCounter.hs +60/−0
+ LICENSE view
@@ -0,0 +1,165 @@+ GNU LESSER GENERAL PUBLIC LICENSE+ Version 3, 29 June 2007++ Copyright (C) 2007 Free Software Foundation, Inc. <https://fsf.org/>+ Everyone is permitted to copy and distribute verbatim copies+ of this license document, but changing it is not allowed.+++ This version of the GNU Lesser General Public License incorporates+the terms and conditions of version 3 of the GNU General Public+License, supplemented by the additional permissions listed below.++ 0. Additional Definitions.++ As used herein, "this License" refers to version 3 of the GNU Lesser+General Public License, and the "GNU GPL" refers to version 3 of the GNU+General Public License.++ "The Library" refers to a covered work governed by this License,+other than an Application or a Combined Work as defined below.++ An "Application" is any work that makes use of an interface provided+by the Library, but which is not otherwise based on the Library.+Defining a subclass of a class defined by the Library is deemed a mode+of using an interface provided by the Library.++ A "Combined Work" is a work produced by combining or linking an+Application with the Library. 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Combined Libraries.++ You may place library facilities that are a work based on the+Library side by side in a single library together with other library+facilities that are not Applications and are not covered by this+License, and convey such a combined library under terms of your+choice, if you do both of the following:++ a) Accompany the combined library with a copy of the same work based+ on the Library, uncombined with any other library facilities,+ conveyed under the terms of this License.++ b) Give prominent notice with the combined library that part of it+ is a work based on the Library, and explaining where to find the+ accompanying uncombined form of the same work.++ 6. Revised Versions of the GNU Lesser General Public License.++ The Free Software Foundation may publish revised and/or new versions+of the GNU Lesser General Public License from time to time. Such new+versions will be similar in spirit to the present version, but may+differ in detail to address new problems or concerns.++ Each version is given a distinguishing version number. If the+Library as you received it specifies that a certain numbered version+of the GNU Lesser General Public License "or any later version"+applies to it, you have the option of following the terms and+conditions either of that published version or of any later version+published by the Free Software Foundation. If the Library as you+received it does not specify a version number of the GNU Lesser+General Public License, you may choose any version of the GNU Lesser+General Public License ever published by the Free Software Foundation.++ If the Library as you received it specifies that a proxy can decide+whether future versions of the GNU Lesser General Public License shall+apply, that proxy's public statement of acceptance of any version is+permanent authorization for you to choose that version for the+Library.
+ Setup.hs view
@@ -0,0 +1,6 @@+#!/usr/bin/env runhaskell++import Distribution.Simple+import System.Cmd++main = defaultMain
+ hquantlib-time.cabal view
@@ -0,0 +1,44 @@+name: hquantlib-time+version: 0.0.4.0+license: LGPL+license-file: LICENSE+author: Pavel Ryzhov+maintainer: Pavel Ryzhov <pavel.ryzhov@gmail.com>+category: Finance+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+homepage: http://github.com/paulrzcz/hquantlib-time.git+cabal-version: >= 1.18.0++source-repository head+ type: git+ location: https://github.com/paulrzcz/hquantlib-time.git++source-repository this+ type: git+ location: https://github.com/paulrzcz/hquantlib-time.git+ tag: 0.0.4.0++flag optimize+ description : Enable optimizations for library and benchmarks+ default : True++library+ default-language: Haskell2010+ exposed-modules:+ QuantLib.Time++ other-modules:+ QuantLib.Time.Date+ QuantLib.Time.DayCounter++ build-depends:+ base >3 && <5,+ time >= 1.4.0.0 && < 1.9.0.0++ hs-source-dirs: src+ ghc-options: -Wall+ if flag(optimize)+ ghc-options: -funbox-strict-fields -O2 -fspec-constr -fdicts-cheap
+ src/QuantLib/Time.hs view
@@ -0,0 +1,8 @@+module QuantLib.Time+ ( module QuantLib.Time.Date+ , module QuantLib.Time.DayCounter+ ) where++import QuantLib.Time.Date+import QuantLib.Time.DayCounter+
+ src/QuantLib/Time/Date.hs view
@@ -0,0 +1,60 @@+module QuantLib.Time.Date+ ( module QuantLib.Time.Date+ ) where++import Data.Time+import Data.Time.Calendar.WeekDate++{- | 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+ deriving (Show, Eq, Enum)++-- | Date+type Date = Day++-- | 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)++-- | Gets a week day +getWeekDay :: Date->WeekDay+getWeekDay d = toEnum (weekDay - 1)+ where (_, _, weekDay) = toWeekDate d++-- | Generate a list of all dates inbetween+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++-- | 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++-- | Gets the next working day+getNextBusinessDay :: Holiday a => a->Date->Date+getNextBusinessDay m d+ | isBusinessDay m nextDay = nextDay+ | otherwise = getNextBusinessDay m nextDay+ where nextDay = addDays 1 d
+ src/QuantLib/Time/DayCounter.hs view
@@ -0,0 +1,60 @@+module QuantLib.Time.DayCounter+ ( module QuantLib.Time.DayCounter+ ) where++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++{-+data SimpleDayCounter = SimpleDayCounter++instance DayCounter SimpleDayCounter where+ dcName _ = "Simple"+ dcCount = undefined+ dcYearFraction = undefined+-}++-- | Thirty day counters as in QuantLib+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)+++ 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