/**
* Construct an array of dates according the a start date, an end date, the period between dates
* and the conventions. The start date is not included in the array. The date are constructed
* forward and the stub period, if any, is last. The end date is always included in the schedule.
*
* @param startDate The reference initial date for the construction.
* @param endDate The end date. Usually unadjusted.
* @param period The period between payments.
* @param businessDayConvention The business day convention.
* @param calendar The applicable calendar.
* @param isEOM The end-of-month rule flag.
* @param stubShort Flag indicating if the stub, if any, is short (true) or long (false).
* @return The array of dates.
*/
public static ZonedDateTime[] getAdjustedDateSchedule(
final ZonedDateTime startDate,
final ZonedDateTime endDate,
final Period period,
final BusinessDayConvention businessDayConvention,
final Calendar calendar,
final boolean isEOM,
final boolean stubShort) {
boolean eomApply = false;
if (isEOM) {
final BusinessDayConvention following = new FollowingBusinessDayConvention();
eomApply =
(following.adjustDate(calendar, startDate.plusDays(1)).getMonth()
!= startDate.getMonth());
}
// When the end-of-month rule applies and the start date is on month-end, the dates are the last
// business day of the month.
BusinessDayConvention actualBDC;
final List<ZonedDateTime> adjustedDates = new ArrayList<>();
ZonedDateTime date = startDate;
if (eomApply) {
actualBDC =
new PrecedingBusinessDayConvention(); // To ensure that the date stays in the current
// month.
date = date.plus(period).with(TemporalAdjusters.lastDayOfMonth());
while (date.isBefore(endDate)) { // date is strictly before endDate
adjustedDates.add(actualBDC.adjustDate(calendar, date));
date = date.plus(period).with(TemporalAdjusters.lastDayOfMonth());
}
} else {
actualBDC = businessDayConvention;
date = date.plus(period);
while (date.isBefore(endDate)) { // date is strictly before endDate
adjustedDates.add(businessDayConvention.adjustDate(calendar, date));
date = date.plus(period);
}
}
// For long stub the last date before end date, if any, is removed.
if (!stubShort && adjustedDates.size() >= 1) {
adjustedDates.remove(adjustedDates.size() - 1);
}
adjustedDates.add(actualBDC.adjustDate(calendar, endDate)); // the end date
return adjustedDates.toArray(EMPTY_ARRAY);
}
/**
* Compute the end date of a period from the start date, the tenor and the conventions.
*
* @param startDate The period start date.
* @param tenor The period tenor.
* @param convention The business day convention.
* @param calendar The calendar.
* @param endOfMonthRule True if end-of-month rule applies, false if it does not. The rule applies
* when the start date is the last business day of the month and the period is a number of
* months or years, not days or weeks. When the rule applies, the end date is the last
* business day of the month.
* @return The end date.
*/
public static ZonedDateTime getAdjustedDate(
final ZonedDateTime startDate,
final Period tenor,
final BusinessDayConvention convention,
final Calendar calendar,
final boolean endOfMonthRule) {
ArgumentChecker.notNull(startDate, "Start date");
ArgumentChecker.notNull(convention, "Convention");
ArgumentChecker.notNull(calendar, "Calendar");
ArgumentChecker.notNull(tenor, "Tenor");
final ZonedDateTime endDate = startDate.plus(tenor); // Unadjusted date.
// Adjusted to month-end: when start date is last business day of the month, the end date is the
// last business day of the month.
final boolean isStartDateEOM =
(startDate.getMonth() != getAdjustedDate(startDate, 1, calendar).getMonth());
if ((tenor.getDays() == 0) & (endOfMonthRule) & (isStartDateEOM)) {
final BusinessDayConvention preceding = new PrecedingBusinessDayConvention();
return preceding.adjustDate(calendar, endDate.with(TemporalAdjusters.lastDayOfMonth()));
}
return convention.adjustDate(calendar, endDate); // Adjusted by Business day convention
}
/**
* Adjust an array of date with a given convention and EOM flag.
*
* @param dates The array of unadjusted dates.
* @param convention The business day convention.
* @param calendar The calendar.
* @param eomApply The flag indicating if the EOM apply, i.e. if the flag is true, the adjusted
* date is the last business day of the unadjusted date.
* @return The adjusted dates.
*/
public static ZonedDateTime[] getAdjustedDateSchedule(
final ZonedDateTime[] dates,
final BusinessDayConvention convention,
final Calendar calendar,
final boolean eomApply) {
final ZonedDateTime[] result = new ZonedDateTime[dates.length];
if (eomApply) {
final BusinessDayConvention precedingDBC =
new PrecedingBusinessDayConvention(); // To ensure that the date stays in the current
// month.
for (int loopdate = 0; loopdate < dates.length; loopdate++) {
result[loopdate] =
precedingDBC.adjustDate(
calendar, dates[loopdate].with(TemporalAdjusters.lastDayOfMonth()));
}
return result;
}
for (int loopdate = 0; loopdate < dates.length; loopdate++) {
result[loopdate] = convention.adjustDate(calendar, dates[loopdate]);
}
return result;
}
/** Expiry calculator for gold future contracts. */
public final class GoldFutureExpiryCalculator implements ExchangeTradedInstrumentExpiryCalculator {
/** Name of the calculator */
public static final String NAME = "GoldFutureExpiryCalculator";
/** Singleton. */
private static final GoldFutureExpiryCalculator INSTANCE = new GoldFutureExpiryCalculator();
/** Adjuster. */
private static final TemporalAdjuster LAST_DAY_ADJUSTER = TemporalAdjusters.lastDayOfMonth();
/**
* Gets the singleton instance.
*
* @return the instance, not null
*/
public static GoldFutureExpiryCalculator getInstance() {
return INSTANCE;
}
/** Restricted constructor. */
private GoldFutureExpiryCalculator() {}
// -------------------------------------------------------------------------
/**
* Gets trading months (not static as depends on current date).
*
* @param now the date today, not null
* @return the valid trading months, not null
*/
private Month[] getTradingMonths(final LocalDate now) {
// this may need improvements as the year end approaches
Set<Month> ret = new TreeSet<>();
ret.add(now.getMonth()); // this month
ret.add(now.getMonth().plus(1)); // next month
ret.add(now.getMonth().plus(2)); // next 2 months
// February, April, August, and October in next 23 months
ret.add(Month.FEBRUARY);
ret.add(Month.APRIL);
ret.add(Month.AUGUST);
ret.add(Month.OCTOBER);
// June and December falling in next 72 month period
ret.add(Month.JUNE);
ret.add(Month.DECEMBER);
// assuming this gives enough valid dates so dont go round to next 12 month period
return ret.toArray(new Month[0]);
}
/**
* Expiry date of Soybean Futures: The 3rd last business day of the month. See
* http://www.cmegroup.com/trading/metals/precious/gold_contract_specifications.html
*
* @param n the n'th expiry date after today, greater than zero
* @param today the valuation date, not null
* @param holidayCalendar the holiday calendar, not null
* @return the expiry date, not null
*/
@Override
public LocalDate getExpiryDate(
final int n, final LocalDate today, final Calendar holidayCalendar) {
ArgumentChecker.isTrue(n > 0, "n must be greater than zero; have {}", n);
ArgumentChecker.notNull(today, "today");
ArgumentChecker.notNull(holidayCalendar, "holiday calendar");
LocalDate expiryDate = getExpiryMonth(n, today).with(LAST_DAY_ADJUSTER);
int nBusinessDays = 3;
if (holidayCalendar.isWorkingDay(expiryDate)) {
nBusinessDays--;
}
// go back to 3 business days
while (nBusinessDays > 0) {
expiryDate = expiryDate.minusDays(1);
if (holidayCalendar.isWorkingDay(expiryDate)) {
nBusinessDays--;
}
}
return expiryDate;
}
@Override
public LocalDate getExpiryMonth(final int n, final LocalDate today) {
ArgumentChecker.isTrue(n > 0, "n must be greater than zero");
ArgumentChecker.notNull(today, "today");
LocalDate expiryDate = today;
Month[] validMonths = getTradingMonths(today);
for (int m = n; m > 0; m--) {
expiryDate = getNextExpiryMonth(validMonths, expiryDate);
}
return expiryDate;
}
private LocalDate getNextExpiryMonth(final Month[] validMonths, final LocalDate dtCurrent) {
Month mthCurrent = dtCurrent.getMonth();
int idx = Arrays.binarySearch(validMonths, mthCurrent);
if (Math.abs(idx) >= (validMonths.length - 1)) {
return LocalDate.of(dtCurrent.getYear() + 1, validMonths[0], dtCurrent.getDayOfMonth());
} else if (idx >= 0) {
return dtCurrent.with(validMonths[idx + 1]);
} else {
return dtCurrent.with(validMonths[-idx + 1]);
}
}
@Override
public String getName() {
return NAME;
}
}
