Ejemplo n.º 1
1
 /**
  * Exactly divides this frequency by another.
  *
  * <p>This calculates the integer division of this frequency by the specified frequency. If the
  * result is not an integer, an exception is thrown.
  *
  * <p>Month-based and year-based periodic frequencies are calculated by dividing the total number
  * of months. For example, P6M divided by P3M results in 2, and P2Y divided by P6M returns 4.
  *
  * <p>Day-based and week-based periodic frequencies are calculated by dividing the total number of
  * days. For example, P26W divided by P13W results in 2, and P2W divided by P1D returns 14.
  *
  * <p>The 'Term' frequency throws an exception.
  *
  * @param other the other frequency to divide into this one
  * @return this frequency divided by the other frequency
  * @throws IllegalArgumentException if the frequency does not exactly divide into this one
  */
 public int exactDivide(Frequency other) {
   ArgChecker.notNull(other, "other");
   if (isMonthBased() && other.isMonthBased()) {
     long paymentMonths = getPeriod().toTotalMonths();
     long accrualMonths = other.getPeriod().toTotalMonths();
     if ((paymentMonths % accrualMonths) == 0) {
       return Math.toIntExact(paymentMonths / accrualMonths);
     }
   } else if (period.toTotalMonths() == 0 && other.period.toTotalMonths() == 0) {
     long paymentDays = getPeriod().getDays();
     long accrualDays = other.getPeriod().getDays();
     if ((paymentDays % accrualDays) == 0) {
       return Math.toIntExact(paymentDays / accrualDays);
     }
   }
   throw new IllegalArgumentException(
       Messages.format("Frequency '{}' is not a multiple of '{}'", this, other));
 }
Ejemplo n.º 2
0
 /**
  * Make a set of standard CDS represented as a MultiCdsAnalytic instance. The first CDS with have
  * a tenor of firstTenor, while the last CDS will have a tenor of lastTenor; the remaining CDS
  * will consist of all the (multiple of 3 month) tenors between the first and last tenor, e.g. if
  * firstTenor = 6M and lastTenor = 5Y, there will be a total of 22 CDS with tenors of 6M, 9M,
  * 1Y,....4Y9M, 5Y.
  *
  * @param tradeDate the trade date
  * @param firstTenor the first tenor
  * @param lastTenor the last tenor
  * @return a set of CDS represented as a MultiCdsAnalytic
  */
 public MultiCdsAnalytic makeMultiImmCds(
     LocalDate tradeDate, Period firstTenor, Period lastTenor) {
   ArgChecker.notNull(firstTenor, "firstTenor");
   ArgChecker.notNull(lastTenor, "lastTenor");
   int immNMonths = (int) DEFAULT_COUPON_INT.toTotalMonths();
   int m1 = (int) firstTenor.toTotalMonths();
   int m2 = (int) lastTenor.toTotalMonths();
   if (m1 % immNMonths != 0 || m2 % immNMonths != 0) {
     throw new IllegalArgumentException(
         "tenors is not a multiple of " + DEFAULT_COUPON_INT.toString());
   }
   int firstIndex = m1 / immNMonths;
   int lastIndex = m2 / immNMonths;
   return makeMultiImmCds(tradeDate, firstIndex, lastIndex);
 }
Ejemplo n.º 3
0
 /**
  * Subtracts the period of this frequency from the specified date.
  *
  * <p>This method implements {@link TemporalAmount}. It is not intended to be called directly. Use
  * {@link LocalDate#minus(TemporalAmount)} instead.
  *
  * @param temporal the temporal object to subtract from
  * @return the result with this frequency subtracted
  * @throws DateTimeException if unable to subtract
  * @throws ArithmeticException if numeric overflow occurs
  */
 @Override
 public Temporal subtractFrom(Temporal temporal) {
   // special case for performance
   if (temporal instanceof LocalDate) {
     LocalDate date = (LocalDate) temporal;
     return date.minusMonths(period.toTotalMonths()).minusDays(period.getDays());
   }
   return period.subtractFrom(temporal);
 }
Ejemplo n.º 4
0
 /**
  * Adds the period of this frequency to the specified date.
  *
  * <p>This method implements {@link TemporalAmount}. It is not intended to be called directly. Use
  * {@link LocalDate#plus(TemporalAmount)} instead.
  *
  * @param temporal the temporal object to add to
  * @return the result with this frequency added
  * @throws DateTimeException if unable to add
  * @throws ArithmeticException if numeric overflow occurs
  */
 @Override
 public Temporal addTo(Temporal temporal) {
   // special case for performance
   if (temporal instanceof LocalDate) {
     LocalDate date = (LocalDate) temporal;
     return date.plusMonths(period.toTotalMonths()).plusDays(period.getDays());
   }
   return period.addTo(temporal);
 }
Ejemplo n.º 5
0
 /**
  * Obtains a periodic frequency from a {@code Period}.
  *
  * <p>The period normally consists of either days and weeks, or months and years. It must also be
  * positive and non-zero.
  *
  * <p>If the number of days is an exact multiple of 7 it will be converted to weeks. Months are
  * not normalized into years.
  *
  * <p>The maximum tenor length is 1,000 years.
  *
  * @param period the period to convert to a periodic frequency
  * @return the periodic frequency
  * @throws IllegalArgumentException if the period is negative, zero or too large
  */
 public static Frequency of(Period period) {
   ArgChecker.notNull(period, "period");
   int days = period.getDays();
   long months = period.toTotalMonths();
   if (months == 0 && days != 0) {
     return ofDays(days);
   }
   if (months > MAX_MONTHS) {
     throw new IllegalArgumentException("Period must not exceed 1000 years");
   }
   return new Frequency(period);
 }
 private String readablePeriod(Period period) {
   if (period.isZero()) return "Hoy";
   String startsWith = period.isNegative() ? "Hace " : "En ";
   long months = Math.abs(period.toTotalMonths());
   int days = Math.abs(period.getDays());
   if (Math.abs(months) > 0) {
     String endsWith = (months > 1) ? "es" : "";
     return startsWith + months + " mes" + endsWith;
   } else {
     String endsWith = (days > 1) ? "s" : "";
     return startsWith + days + " dia" + endsWith;
   }
 }
Ejemplo n.º 7
0
 /**
  * Calculates the number of events that occur in a year.
  *
  * <p>The number of events per year is the number of times that the period occurs per year. Not
  * all periodic frequency instances can be converted to an integer events per year. All constants
  * declared on this class will return a result.
  *
  * <p>Month-based and year-based periodic frequencies are converted by dividing 12 by the number
  * of months. Only the following periodic frequencies return a value - P1M, P2M, P3M, P4M, P6M,
  * P1Y.
  *
  * <p>Day-based and week-based periodic frequencies are converted by dividing 364 by the number of
  * days. Only the following periodic frequencies return a value - P1D, P2D, P4D, P1W, P2W, P4W,
  * P13W, P26W, P52W.
  *
  * <p>The 'Term' periodic frequency returns zero.
  *
  * @return the number of events per year
  * @throws IllegalArgumentException if unable to calculate the number of events per year
  */
 public int eventsPerYear() {
   if (isTerm()) {
     return 0;
   }
   long months = period.toTotalMonths();
   int days = period.getDays();
   if (isMonthBased()) {
     if (12 % months == 0) {
       return (int) (12 / months);
     }
   } else if (months == 0 && 364 % days == 0) {
     return (int) (364 / days);
   }
   throw new IllegalArgumentException("Unable to calculate events per year: " + this);
 }
Ejemplo n.º 8
0
  /**
   * Make a set of standard CDS represented as a MultiCdsAnalytic instance.
   *
   * @param tradeDate the trade date
   * @param accStartDate the accrual start date
   * @param tenors the tenors (length) of the CDS
   * @return a set of CDS represented as a MultiCdsAnalytic
   */
  public MultiCdsAnalytic makeMultiImmCds(
      LocalDate tradeDate, LocalDate accStartDate, Period[] tenors) {

    ArgChecker.noNulls(tenors, "tenors");
    int n = tenors.length;

    int immNMonths = (int) DEFAULT_COUPON_INT.toTotalMonths();
    int[] matIndices = new int[n];
    for (int i = 0; i < n; i++) {
      int months = (int) tenors[i].toTotalMonths();
      if (months % immNMonths != 0) {
        throw new IllegalArgumentException(
            "tenors index " + i + " is not a multiple of " + DEFAULT_COUPON_INT.toString());
      }
      matIndices[i] = months / immNMonths;
    }

    return makeMultiImmCds(tradeDate, accStartDate, matIndices);
  }
Ejemplo n.º 9
0
  private LocalDate getMaxMonthsThresholdDate(ExcelRow item) {
    LocalDate result = null;

    if (item.getDate() != null) {
      if (firstDate == null || firstDate.isAfter(item.getDate())) {
        firstDate = item.getDate();
      }

      final LocalDate startDate = firstDate;
      final LocalDate endDate = LocalDate.now();
      final Period period = Period.between(startDate, endDate);

      /** If the period between the first date and today is greater or equal to maxNumberOfMonth */
      if (period.toTotalMonths() >= maxNumberOfMonth) {
        result = endDate;
      }
    }

    return result;
  }
Ejemplo n.º 10
0
 /**
  * Checks if the periodic frequency is month-based.
  *
  * <p>A month-based frequency consists of an integral number of months. Any year-based frequency
  * is also counted as month-based. There must be no day or week element.
  *
  * @return true if this is month-based
  */
 public boolean isMonthBased() {
   return period.toTotalMonths() > 0 && period.getDays() == 0 && isTerm() == false;
 }
Ejemplo n.º 11
0
 /**
  * Checks if the periodic frequency is week-based.
  *
  * <p>A week-based frequency consists of an integral number of weeks. There must be no day, month
  * or year element.
  *
  * @return true if this is week-based
  */
 public boolean isWeekBased() {
   return period.toTotalMonths() == 0 && period.getDays() % 7 == 0;
 }