public override double yearFraction(Date d1, Date d2, Date refPeriodStart, Date refPeriodEnd)
{
if (d1 == d2)
{
return(0);
}
if (d1 > d2)
{
return(-yearFraction(d2, d1, null, null));
}
Date newD2 = d2, temp = d2;
double sum = 0;
while (temp > d1)
{
temp = newD2 - TimeUnit.Years;
if (temp.Day == 28 && temp.Month == 2 && Date.IsLeapYear(temp.Year))
{
temp += 1;
}
if (temp >= d1)
{
sum += 1;
newD2 = temp;
}
}
double den = 365;
if (Date.IsLeapYear(newD2.Year))
{
temp = new Date(29, Month.February, newD2.Year);
if (newD2 > temp && d1 <= temp)
{
den += 1;
}
}
else if (Date.IsLeapYear(d1.Year))
{
temp = new Date(29, Month.February, d1.Year);
if (newD2 > temp && d1 <= temp)
{
den += 1;
}
}
return(sum + Date.daysBetween(d1, newD2) / den);
}
public override double yearFraction(Date d1, Date d2, Date refPeriodStart, Date refPeriodEnd)
{
if (d1 == d2)
{
return(0);
}
if (d1 > d2)
{
return(-yearFraction(d2, d1, null, null));
}
int y1 = d1.Year, y2 = d2.Year;
double dib1 = (Date.IsLeapYear(y1) ? 366 : 365),
dib2 = (Date.IsLeapYear(y2) ? 366 : 365);
double sum = y2 - y1 - 1;
sum += Date.daysBetween(d1, new Date(1, Month.January, y1 + 1)) / dib1;
sum += Date.daysBetween(new Date(1, Month.January, y2), d2) / dib2;
return(sum);
}
public override double yearFraction(Date d1, Date d2, Date d3, Date d4)
{
if (d1 == d2)
{
return(0);
}
if (d1 > d2)
{
return(-yearFraction(d2, d1, d3, d4));
}
// when the reference period is not specified, try taking it equal to (d1,d2)
Date refPeriodStart = (d3 ?? d1);
Date refPeriodEnd = (d4 ?? d2);
Utils.QL_REQUIRE(refPeriodEnd > refPeriodStart && refPeriodEnd > d1, () =>
"Invalid reference period: date 1: " + d1 + ", date 2: " + d2 +
", reference period start: " + refPeriodStart + ", reference period end: " + refPeriodEnd);
// estimate roughly the length in months of a period
int months = (int)(0.5 + 12 * (refPeriodEnd - refPeriodStart) / 365.0);
// for short periods...
if (months == 0)
{
// ...take the reference period as 1 year from d1
refPeriodStart = d1;
refPeriodEnd = d1 + TimeUnit.Years;
months = 12;
}
double period = months / 12.0;
if (d2 <= refPeriodEnd)
{
// here refPeriodEnd is a future (notional?) payment date
if (d1 >= refPeriodStart)
{
// here refPeriodStart is the last (maybe notional) payment date.
// refPeriodStart <= d1 <= d2 <= refPeriodEnd
// [maybe the equality should be enforced, since refPeriodStart < d1 <= d2 < refPeriodEnd could give wrong results] ???
return(period * Date.daysBetween(d1, d2) / Date.daysBetween(refPeriodStart, refPeriodEnd));
}
else
{
// here refPeriodStart is the next (maybe notional) payment date and refPeriodEnd is the second next (maybe notional) payment date.
// d1 < refPeriodStart < refPeriodEnd
// AND d2 <= refPeriodEnd
// this case is long first coupon
// the last notional payment date
Date previousRef = refPeriodStart - new Period(months, TimeUnit.Months);
if (d2 > refPeriodStart)
{
return(yearFraction(d1, refPeriodStart, previousRef, refPeriodStart) +
yearFraction(refPeriodStart, d2, refPeriodStart, refPeriodEnd));
}
else
{
return(yearFraction(d1, d2, previousRef, refPeriodStart));
}
}
}
else
{
// here refPeriodEnd is the last (notional?) payment date
// d1 < refPeriodEnd < d2 AND refPeriodStart < refPeriodEnd
Utils.QL_REQUIRE(refPeriodStart <= d1, () => "invalid dates: d1 < refPeriodStart < refPeriodEnd < d2");
// now it is: refPeriodStart <= d1 < refPeriodEnd < d2
// the part from d1 to refPeriodEnd
double sum = yearFraction(d1, refPeriodEnd, refPeriodStart, refPeriodEnd);
// the part from refPeriodEnd to d2
// count how many regular periods are in [refPeriodEnd, d2], then add the remaining time
int i = 0;
Date newRefStart, newRefEnd;
for (;;)
{
newRefStart = refPeriodEnd + new Period(months * i, TimeUnit.Months);
newRefEnd = refPeriodEnd + new Period(months * (i + 1), TimeUnit.Months);
if (d2 < newRefEnd)
{
break;
}
else
{
sum += period;
i++;
}
}
sum += yearFraction(newRefStart, d2, newRefStart, newRefEnd);
return(sum);
}
}
