Ejemplo n.º 1
0
    def actual_nb_days_AFB_alter(start, end): # http://svn.finmath.net/finmath%20lib/trunk/src/main/java/net/finmath/time/daycount/DayCountConvention_ACT_ACT_YEARFRAC.java
        y1, m1, d1 = start
        y2, m2, d2 = end

        delta = date(*end) - date(*start)

        if delta <= 365:
            if is_leap_year(y1) and is_leap_year(y2):
                denom = 366
            elif is_leap_year(y1) and date(y1, m1, d1) <= date(y1, 2, 29):
                denom = 366
            elif is_leap_year(y2) and date(y2, m2, d2) >= date(y2, 2, 29):
                denom = 366
            else:
                denom = 365
        else:
            year_range = range(y1, y2 + 1)
            nb = 0

            for y in year_range:
                nb += 366 if is_leap_year(y) else 365

            denom = nb / len(year_range)

        return delta / denom
Ejemplo n.º 2
0
    def actual_nb_days_AFB_alter(
        start, end
    ):  # http://svn.finmath.net/finmath%20lib/trunk/src/main/java/net/finmath/time/daycount/DayCountConvention_ACT_ACT_YEARFRAC.java
        y1, m1, d1 = start
        y2, m2, d2 = end

        delta = date(*end) - date(*start)

        if delta <= 365:
            if is_leap_year(y1) and is_leap_year(y2):
                denom = 366
            elif is_leap_year(y1) and date(y1, m1, d1) <= date(y1, 2, 29):
                denom = 366
            elif is_leap_year(y2) and date(y2, m2, d2) >= date(y2, 2, 29):
                denom = 366
            else:
                denom = 365
        else:
            year_range = list(range(y1, y2 + 1))
            nb = 0

            for y in year_range:
                nb += 366 if is_leap_year(y) else 365

            denom = nb / len(year_range)

        return delta / denom
Ejemplo n.º 3
0
    def actual_nb_days_ISDA(start, end): # needed to separate days_in_leap_year from days_not_leap_year
        y1, m1, d1 = start
        y2, m2, d2 = end

        days_in_leap_year = 0
        days_not_in_leap_year = 0

        year_range = range(y1, y2 + 1)

        for y in year_range:

            if y == y1 and y == y2:
                nb_days = date(y2, m2, d2) - date(y1, m1, d1)
            elif y == y1:
                nb_days = date(y1 + 1, 1, 1) - date(y1, m1, d1)
            elif y == y2:
                nb_days = date(y2, m2, d2) - date(y2, 1, 1)
            else:
                nb_days = 366 if is_leap_year(y) else 365

            if is_leap_year(y):
                days_in_leap_year += nb_days
            else:
                days_not_in_leap_year += nb_days

        return (days_not_in_leap_year, days_in_leap_year)
Ejemplo n.º 4
0
    def actual_nb_days_ISDA(
            start, end
    ):  # needed to separate days_in_leap_year from days_not_leap_year
        y1, m1, d1 = start
        y2, m2, d2 = end

        days_in_leap_year = 0
        days_not_in_leap_year = 0

        year_range = list(range(y1, y2 + 1))

        for y in year_range:

            if y == y1 and y == y2:
                nb_days = date(y2, m2, d2) - date(y1, m1, d1)
            elif y == y1:
                nb_days = date(y1 + 1, 1, 1) - date(y1, m1, d1)
            elif y == y2:
                nb_days = date(y2, m2, d2) - date(y2, 1, 1)
            else:
                nb_days = 366 if is_leap_year(y) else 365

            if is_leap_year(y):
                days_in_leap_year += nb_days
            else:
                days_not_in_leap_year += nb_days

        return (days_not_in_leap_year, days_in_leap_year)
Ejemplo n.º 5
0
    def actual_nb_days_afb_alter(beg, end):
        # http://svn.finmath.net/finmath%20lib/trunk/src/main/java/net/
        #   finmath/time/daycount/DayCountConvention_ACT_ACT_YEARFRAC.java
        delta = date(*end) - date(*beg)

        if delta <= 365:
            if (is_leap_year(beg[0]) and date(*beg) <= date(beg[0], 2, 29) or
                    is_leap_year(end[0]) and date(*end) >= date(end[0], 2, 29)
                    or is_leap_year(beg[0]) and is_leap_year(end[0])):
                denom = 366
            else:
                denom = 365
        else:
            year_range = range(beg[0], end[0] + 1)
            nb = 0

            for y in year_range:
                nb += 366 if is_leap_year(y) else 365

            denom = nb / len(year_range)

        return delta / denom
Ejemplo n.º 6
0
    def actual_nb_days_afb_alter(beg, end):
        # http://svn.finmath.net/finmath%20lib/trunk/src/main/java/net/
        #   finmath/time/daycount/DayCountConvention_ACT_ACT_YEARFRAC.java
        delta = date(*end) - date(*beg)

        if delta <= 365:
            if (is_leap_year(beg[0]) and date(*beg) <= date(beg[0], 2, 29) or
                is_leap_year(end[0]) and date(*end) >= date(end[0], 2, 29) or
                    is_leap_year(beg[0]) and is_leap_year(end[0])):
                denom = 366
            else:
                denom = 365
        else:
            year_range = range(beg[0], end[0] + 1)
            nb = 0

            for y in year_range:
                nb += 366 if is_leap_year(y) else 365

            denom = nb / len(year_range)

        return delta / denom
Ejemplo n.º 7
0
def test_is_leap_year():

    assert is_leap_year(1900)
    assert is_leap_year(1904)
    assert is_leap_year(2000)
    assert is_leap_year(2104)

    assert not is_leap_year(1)
    assert not is_leap_year(2100)
    assert not is_leap_year(2101)
    assert not is_leap_year(2103)
    assert not is_leap_year(2102)

    with pytest.raises(TypeError):
        is_leap_year('x')

    with pytest.raises(TypeError):
        is_leap_year(-1)

    with pytest.raises(TypeError):
        is_leap_year(0)
Ejemplo n.º 8
0
def test_is_leap_year():

    assert is_leap_year(1900)
    assert is_leap_year(1904)
    assert is_leap_year(2000)
    assert is_leap_year(2104)

    assert not is_leap_year(1)
    assert not is_leap_year(2100)
    assert not is_leap_year(2101)
    assert not is_leap_year(2103)
    assert not is_leap_year(2102)

    with pytest.raises(TypeError):
        is_leap_year('x')

    with pytest.raises(TypeError):
        is_leap_year(-1)

    with pytest.raises(TypeError):
        is_leap_year(0)