/*
Copyright (C) 2007 Richard Gomes
This source code is release under the BSD License.
This file is part of JQuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://jquantlib.org/
JQuantLib is free software: you can redistribute it and/or modify it
under the terms of the JQuantLib license. You should have received a
copy of the license along with this program; if not, please email
<jquant-devel@lists.sourceforge.net>. The license is also available online at
<http://www.jquantlib.org/index.php/LICENSE.TXT>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
JQuantLib is based on QuantLib. http://quantlib.org/
When applicable, the original copyright notice follows this notice.
*/
/*
Copyright (C) 2003 RiskMap srl
Copyright (C) 2006 Piter Dias
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
package org.jquantlib.testsuite.daycounters;
import static java.lang.Math.abs;
import static org.junit.Assert.assertFalse;
import static org.junit.Assert.fail;
import org.jquantlib.QL;
import org.jquantlib.daycounters.ActualActual;
import org.jquantlib.daycounters.Business252;
import org.jquantlib.daycounters.DayCounter;
import org.jquantlib.daycounters.SimpleDayCounter;
import org.jquantlib.time.Date;
import org.jquantlib.time.Month;
import org.jquantlib.time.Period;
import org.jquantlib.time.TimeUnit;
import org.jquantlib.time.calendars.Brazil;
import org.junit.Test;
/**
* Test Day Counters
*
* @author Richard Gomes
* @author Daniel Kong
*
*/
public class DayCountersTest {
public DayCountersTest() {
QL.info("::::: "+this.getClass().getSimpleName()+" :::::");
}
private static class SingleCase {
private final ActualActual.Convention convention;
private final Date start;
private final Date end;
private final Date refStart;
private final Date refEnd;
private final /*@Time*/ double result;
public SingleCase(
final ActualActual.Convention convention,
final Date start,
final Date end,
final /*@Time*/ double result) {
this(convention, start, end, new Date(), new Date(), result);
}
public SingleCase(
final ActualActual.Convention convention,
final Date start,
final Date end,
final Date refStart,
final Date refEnd,
final /*@Time*/ double result) {
this.convention = convention;
this.start = start;
this.end = end;
this.refStart = refStart;
this.refEnd = refEnd;
this.result = result;
}
private String dumpDate(final Date date) {
if (date == null)
return "null";
else
return date.isoDate().toString();
}
@Override
public String toString() {
final StringBuilder sb = new StringBuilder();
sb.append("[ ");
sb.append(convention).append(", ");
sb.append(dumpDate(start)).append(", ");
sb.append(dumpDate(end)).append(", ");
sb.append(dumpDate(refStart)).append(", ");
sb.append(dumpDate(refEnd));
sb.append(" ]");
return sb.toString();
}
}
@Test
public void testActualActual() {
QL.info("Testing actual/actual day counters...");
final SingleCase testCases[] = new SingleCase[] {
// first example
new SingleCase(ActualActual.Convention.ISDA,
new Date(1,Month.November,2003), new Date(1,Month.May,2004),
0.497724380567),
new SingleCase(ActualActual.Convention.ISMA,
new Date(1,Month.November,2003), new Date(1,Month.May,2004),
new Date(1,Month.November,2003), new Date(1,Month.May,2004),
0.500000000000),
new SingleCase(ActualActual.Convention.AFB,
new Date(1,Month.November,2003), new Date(1,Month.May,2004),
0.497267759563),
// short first calculation period (first period)
new SingleCase(ActualActual.Convention.ISDA,
new Date(1,Month.February,1999), new Date(1,Month.July,1999),
0.410958904110),
new SingleCase(ActualActual.Convention.ISMA,
new Date(1,Month.February,1999), new Date(1,Month.July,1999),
new Date(1,Month.July,1998), new Date(1,Month.July,1999),
0.410958904110),
new SingleCase(ActualActual.Convention.AFB,
new Date(1,Month.February,1999), new Date(1,Month.July,1999),
0.410958904110),
// short first calculation period (second period)
new SingleCase(ActualActual.Convention.ISDA,
new Date(1,Month.July,1999), new Date(1,Month.July,2000),
1.001377348600),
new SingleCase(ActualActual.Convention.ISMA,
new Date(1,Month.July,1999), new Date(1,Month.July,2000),
new Date(1,Month.July,1999), new Date(1,Month.July,2000),
1.000000000000),
new SingleCase(ActualActual.Convention.AFB,
new Date(1,Month.July,1999), new Date(1,Month.July,2000),
1.000000000000),
// long first calculation period (first period)
new SingleCase(ActualActual.Convention.ISDA,
new Date(15,Month.August,2002), new Date(15,Month.July,2003),
0.915068493151),
new SingleCase(ActualActual.Convention.ISMA,
new Date(15,Month.August,2002), new Date(15,Month.July,2003),
new Date(15,Month.January,2003), new Date(15,Month.July,2003),
0.915760869565),
new SingleCase(ActualActual.Convention.AFB,
new Date(15,Month.August,2002), new Date(15,Month.July,2003),
0.915068493151),
// long first calculation period (second period)
/* Warning: the ISDA case is in disagreement with mktc1198.pdf */
new SingleCase(ActualActual.Convention.ISDA,
new Date(15,Month.July,2003), new Date(15,Month.January,2004),
0.504004790778),
new SingleCase(ActualActual.Convention.ISMA,
new Date(15,Month.July,2003), new Date(15,Month.January,2004),
new Date(15,Month.July,2003), new Date(15,Month.January,2004),
0.500000000000),
new SingleCase(ActualActual.Convention.AFB,
new Date(15,Month.July,2003), new Date(15,Month.January,2004),
0.504109589041),
// short final calculation period (penultimate period)
new SingleCase(ActualActual.Convention.ISDA,
new Date(30,Month.July,1999), new Date(30,Month.January,2000),
0.503892506924),
new SingleCase(ActualActual.Convention.ISMA,
new Date(30,Month.July,1999), new Date(30,Month.January,2000),
new Date(30,Month.July,1999), new Date(30,Month.January,2000),
0.500000000000),
new SingleCase(ActualActual.Convention.AFB,
new Date(30,Month.July,1999), new Date(30,Month.January,2000),
0.504109589041),
// short final calculation period (final period)
new SingleCase(ActualActual.Convention.ISDA,
new Date(30,Month.January,2000), new Date(30,Month.June,2000),
0.415300546448),
new SingleCase(ActualActual.Convention.ISMA,
new Date(30,Month.January,2000), new Date(30,Month.June,2000),
new Date(30,Month.January,2000), new Date(30,Month.July,2000),
0.417582417582),
new SingleCase(ActualActual.Convention.AFB,
new Date(30,Month.January,2000), new Date(30,Month.June,2000),
0.41530054644)
};
for (int i=0; i<testCases.length-1; i++) {
final ActualActual dayCounter = new ActualActual(testCases[i].convention);
final Date d1 = testCases[i].start;
final Date d2 = testCases[i].end;
final Date rd1 = testCases[i].refStart;
final Date rd2 = testCases[i].refEnd;
QL.info(testCases[i].toString());
/*@Time*/ final double calculated = dayCounter.yearFraction(d1, d2, rd1, rd2);
if (abs(calculated-testCases[i].result) > 1.0e-10) {
final String period = "period: " + d1 + " to " + d2;
String refPeriod = "";
if (testCases[i].convention == ActualActual.Convention.ISMA) {
refPeriod = "referencePeriod: " + rd1 + " to " + rd2;
}
fail(dayCounter.name() + ":\n"
+ period + "\n"
+ refPeriod + "\n"
+ " calculated: " + calculated + "\n"
+ " expected: " + testCases[i].result);
}
}
}
@Test
public void testSimple() {
QL.info("Testing simple day counter...");
final Period p[] = new Period[] { new Period(3, TimeUnit.Months), new Period(6, TimeUnit.Months), new Period(1, TimeUnit.Years) };
/*@Time*/ final double expected[] = { 0.25, 0.5, 1.0 };
// 4 years should be enough
final Date first = new Date(1,Month.January,2002);
final Date last = new Date(31,Month.December,2005);
final DayCounter dayCounter = new SimpleDayCounter();
for (final Date start = first; start.le(last); start.inc()) {
for (int i=0; i<expected.length-1; i++) {
final Date end = start.add(p[i]);
/*@Time*/ final double calculated = dayCounter.yearFraction(start, end);
if (abs(calculated-expected[i]) > 1.0e-12) {
fail("from " + start + " to " + end + ":\n"
+ " calculated: " + calculated + "\n"
+ " expected: " + expected[i]);
}
}
}
}
@Test
public void testOne() {
QL.info("Testing 1/1 day counter...");
final Period p[] = new Period[]{ new Period(3, TimeUnit.Months), new Period(6, TimeUnit.Months), new Period(1, TimeUnit.Years) };
/*@Time*/ final double expected[] = new double[] { 1.0, 1.0, 1.0 };
// 1 years should be enough
final Date first = new Date(1,Month.January,2004);
final Date last = new Date(31,Month.December,2004);
final DayCounter dayCounter = new SimpleDayCounter();
for (final Date start = first; start.le(last); start.inc()) {
for (int i=0; i<expected.length-1; i++) {
final Date end = start.add(p[i]);
/*@Time*/ final double calculated = dayCounter.yearFraction(start, end);
if (abs(calculated-expected[i]) <= 1.0e-12) {
fail("from " + start + " to " + end + ":\n"
+ " calculated: " + calculated + "\n"
+ " expected: " + expected[i]);
}
}
}
}
//TODO: Sounds like this test method from the C++ codes actually test nothing!
//abs(calculated - expected[i]) <= 1.0e-12? making sense? could always pass. Daniel
@Test
public void testBusiness252() {
QL.info("Testing business/252 day counter...");
final Date testDates[] = {
new Date(1,Month.February,2002),
new Date(4,Month.February,2002),
new Date(16,Month.May,2003),
new Date(17,Month.December,2003),
new Date(17,Month.December,2004),
new Date(19,Month.December,2005),
new Date(2,Month.January,2006),
new Date(13,Month.March,2006),
new Date(15,Month.May,2006),
new Date(17,Month.March,2006),
new Date(15,Month.May,2006),
new Date(26,Month.July,2006) };
/*@Time*/ final double expected[] = {
0.0039682539683,
1.2738095238095,
0.6031746031746,
0.9960317460317,
1.0000000000000,
0.0396825396825,
0.1904761904762,
0.1666666666667,
-0.1507936507937,
0.1507936507937,
0.2023809523810
};
final DayCounter dayCounter = new Business252(new Brazil(Brazil.Market.SETTLEMENT));
for (int i=1; i<testDates.length-1; i++) {
final Date start = testDates[i-1];
final Date end = testDates[i];
/*@Time*/ final double calculated = dayCounter.yearFraction(start, end);
// System.out.println(calculated);
assertFalse(dayCounter.getClass().getName()
+"\n from "+start
+"\n to "+end
+"\n calculated: "+calculated
+"\n expected: "+expected[i],
abs(calculated - expected[i]) <= 1.0e-12);
}
}
}