/**
* 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]);
}
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
/**
* Given a LocalDate representing the valuation date and an integer representing the n'th expiry
* after that date, returns a date in the expiry month Used in
* BloombergFutureUtils.getExpiryCodeForSoybeanFutures()
*/
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;
for (int m = n; m > 0; m--) {
expiryDate = getNextExpiryMonth(expiryDate);
}
if (expiryDate.getDayOfMonth() > 15) {
expiryDate = getNextExpiryMonth(expiryDate);
}
// set day to first possible - used in getExpiryDate()
return LocalDate.of(expiryDate.getYear(), expiryDate.getMonth(), 14);
}
