def add_weekdays(self, numDays: int):
""" Returns a new date that is numDays working days after Date. Note
that only weekends are taken into account. Other Holidays are not. If
you want to include regional holidays then use add_business_days from
the FinCalendar class. """
# TODO: REMOVE DATETIME DEPENDENCE HERE
if isinstance(numDays, int) is False:
raise FinError("Num days must be an integer")
positiveNumDays = (numDays > 0)
numDays = abs(numDays)
# 5 week days make up a week
numWeeks = int(numDays / 5)
remainingDays = numDays % 5
if (positiveNumDays):
if (self._weekday + remainingDays > self.FRI):
# add weekend
remainingDays += 2
return self.add_days(numWeeks * 7 + remainingDays)
else:
if (self._weekday - remainingDays < self.MON):
# add weekend
remainingDays += 2
return self.add_days(-(numWeeks * 7 + remainingDays))
def add_months(self,
mm: (list, int)):
""" Returns a new date that is mm months after the Date. If mm is an
integer or float you get back a single date. If mm is a vector you get
back a vector of dates."""
num_months = 1
scalarFlag = False
if isinstance(mm, int) or isinstance(mm, float):
mmVector = [mm]
scalarFlag = True
else:
mmVector = mm
num_months = len(mmVector)
dateList = []
for i in range(0, num_months):
mmi = mmVector[i]
# If I get a float I check it has no decimal places
if int(mmi) != mmi:
raise FinError("Must only pass integers or float integers.")
mmi = int(mmi)
d = self._d
m = self._m + mmi
y = self._y
while m > 12:
m = m - 12
y += 1
while m < 1:
m = m + 12
y -= 1
leap_year = is_leap_year(y)
if leap_year:
if d > monthDaysLeapYear[m - 1]:
d = monthDaysLeapYear[m-1]
else:
if d > monthDaysNotLeapYear[m - 1]:
d = monthDaysNotLeapYear[m-1]
newDt = Date(d, m, y)
dateList.append(newDt)
if scalarFlag is True:
return dateList[0]
else:
return dateList
def days_in_month(m, y):
""" Get the number of days in the month (1-12) of a given year y. """
if m < 1 or m > 12:
raise FinError("Month must be 1-12")
if is_leap_year(y) is False:
return monthDaysNotLeapYear[m - 1]
else:
return monthDaysLeapYear[m - 1]
def add_hours(self, hours):
""" Returns a new date that is h hours after the Date. """
if hours < 0:
raise FinError("Number of hours must be positive")
startHour = self._hh
finalHour = startHour + hours
days = int(finalHour / 24)
hour = finalHour % 24
# Move forward a specific number of days
dt1 = self.add_days(days)
# On that date we then move to the correct hour
dt2 = Date(dt1._d, dt1._m, dt1._y, hour, dt1._mm, dt1._ss)
return dt2
def third_wednesday_of_month(self,
m: int, # Month number
y: int): # Year number
""" For a specific month and year this returns the day number of the
3rd Wednesday by scanning through dates in the third week. """
# Suppose 1st is Weds then 8th is Wed and 15th is 3rd Wed
# Suppose 1st is Thur then 7th is Wed and 14th is 2nd Wed so 21 is 3rd
# so earliest and latest dates are 15th and 21st
d_start = 15
d_end = 21
for d in range(d_start, d_end+1):
immDate = Date(d, m, y)
if immDate._weekday == self.WED:
return d
# Should never reach this line but just to be defensive
raise FinError("Third Wednesday not found")
def print(self, *args):
""" Print comma separated output to GOLDEN or COMPARE directory. """
if self._mode == FinTestCaseMode.DEBUG_TEST_CASES:
print(args)
return
if not self._foldersExist:
print("Cannot print as GOLDEN and COMPARE folders don't exist")
return
if self._headerFields is None:
print("ERROR: Need to set header fields before printing results")
elif len(self._headerFields) != len(args):
n1 = len(self._headerFields)
n2 = len(args)
raise FinError("ERROR: Number of data columns is " + str(n1)
+ " but must equal " + str(n2)
+ " to align with headers.")
if self._mode == FinTestCaseMode.SAVE_TEST_CASES:
filename = self._goldenFilename
else:
filename = self._compareFilename
f = open(filename, 'a')
f.write("RESULTS,")
for arg in args:
if isinstance(arg, float):
f.write("%10.8f" % (arg))
else:
f.write(str(arg))
f.write(",")
f.write("\n")
f.close()
def __repr__(self):
""" returns a formatted string of the date """
global gDateFormatType
dayNameStr = short_day_names[self._weekday]
if self._d < 10:
dayStr = "0" + str(self._d)
else:
dayStr = "" + str(self._d)
if self._m < 10:
shortMonthStr = "0" + str(self._m)
else:
shortMonthStr = str(self._m)
longMonthStr = shortMonthNames[self._m - 1]
shortYearStr = str(self._y)[2:]
longYearStr = str(self._y)
if gDateFormatType == DateFormatTypes.UK_LONGEST:
sep = " "
date_str = dayNameStr + " " + dayStr + sep + longMonthStr + sep + longYearStr
return date_str
elif gDateFormatType == DateFormatTypes.UK_LONG:
sep = "-"
date_str = dayStr + sep + longMonthStr + sep + longYearStr
return date_str
elif gDateFormatType == DateFormatTypes.UK_MEDIUM:
sep = "/"
date_str = dayStr + sep + shortMonthStr + sep + longYearStr
return date_str
elif gDateFormatType == DateFormatTypes.UK_SHORT:
sep = "/"
date_str = dayStr + sep + shortMonthStr + sep + shortYearStr
return date_str
elif gDateFormatType == DateFormatTypes.US_LONGEST:
sep = " "
date_str = dayNameStr + " " + longMonthStr + sep + dayStr + sep + longYearStr
return date_str
elif gDateFormatType == DateFormatTypes.US_LONG:
sep = "-"
date_str = longMonthStr + sep + dayStr + sep + longYearStr
return date_str
elif gDateFormatType == DateFormatTypes.US_MEDIUM:
sep = "-"
date_str = shortMonthStr + sep + dayStr + sep + longYearStr
return date_str
elif gDateFormatType == DateFormatTypes.US_SHORT:
sep = "-"
date_str = shortMonthStr + sep + dayStr + sep + shortYearStr
return date_str
elif gDateFormatType == DateFormatTypes.BLOOMBERG:
sep = "/"
date_str = shortMonthStr + sep + dayStr + sep + shortYearStr
return date_str
elif gDateFormatType == DateFormatTypes.DATETIME:
sep = "/"
if self._hh < 10:
hourStr = "0" + str(self._hh)
else:
hourStr = str(self._hh)
if self._mm < 10:
minuteStr = "0" + str(self._mm)
else:
minuteStr = str(self._mm)
if self._ss < 10:
secondStr = "0" + str(self._ss)
else:
secondStr = str(self._ss)
timeStr = hourStr + ":" + minuteStr + ":" + secondStr
date_str = dayStr + sep + shortMonthStr + sep + longYearStr
date_str = date_str + " " + timeStr
return date_str
else:
raise FinError("Unknown date format")
def add_tenor(self, tenor: (list, str)):
""" Return the date following the Date by a period given by the
tenor which is a string consisting of a number and a letter, the
letter being d, w, m , y for day, week, month or year. This is case
independent. For example 10Y means 10 years while 120m also means 10
years. The date is NOT weekend or holiday calendar adjusted. This must
be done AFTERWARDS. """
listFlag = False
if isinstance(tenor, list) is True:
listFlag = True
for ten in tenor:
if isinstance(ten, str) is False:
raise FinError("Tenor must be a string e.g. '5Y'")
else:
if isinstance(tenor, str) is True:
tenor = [tenor]
else:
raise FinError("Tenor must be a string e.g. '5Y'")
newDates = []
for tenStr in tenor:
tenStr = tenStr.upper()
DAYS = 1
WEEKS = 2
MONTHS = 3
YEARS = 4
periodType = 0
num_periods = 0
if tenStr == "ON": # overnight - should be used only if spot days = 0
periodType = DAYS
num_periods = 1
elif tenStr == "TN": # overnight - should be used when spot days > 0
periodType = DAYS
num_periods = 1
elif tenStr[-1] == "D":
periodType = DAYS
num_periods = int(tenStr[0:-1])
elif tenStr[-1] == "W":
periodType = WEEKS
num_periods = int(tenStr[0:-1])
elif tenStr[-1] == "M":
periodType = MONTHS
num_periods = int(tenStr[0:-1])
elif tenStr[-1] == "Y":
periodType = YEARS
num_periods = int(tenStr[0:-1])
else:
raise FinError("Unknown tenor type in " + tenor)
newDate = Date(self._d, self._m, self._y)
if periodType == DAYS:
for _ in range(0, num_periods):
newDate = newDate.add_days(1)
elif periodType == WEEKS:
for _ in range(0, num_periods):
newDate = newDate.add_days(7)
elif periodType == MONTHS:
for _ in range(0, num_periods):
newDate = newDate.add_months(1)
elif periodType == YEARS:
for _ in range(0, num_periods):
newDate = newDate.add_months(12)
newDates.append(newDate)
if listFlag is True:
return newDates
else:
return newDates[0]
def __init__(self, d, m, y, hh=0, mm=0, ss=0):
""" Create a date given a day of month, month and year. The arguments
must be in the order of day (of month), month number and then the year.
The year must be a 4-digit number greater than or equal to 1900. The
user can also supply an hour, minute and second for intraday work.
Example Input:
start_date = Date(1, 1, 2018)
"""
global gStartYear
global gEndYear
# If the date has been entered as y, m, d we flip it to d, m, y
# This message should be removed after a few releases
if d >= gStartYear and d < gEndYear and y > 0 and y <= 31:
raise FinError(
"Date arguments must now be in the order Date(dd, mm, yyyy)")
if gDateCounterList is None:
calculate_list()
if y < 1900:
raise FinError("Year cannot be before 1900")
# Resize date list dynamically if required
if y < gStartYear:
gStartYear = y
calculate_list()
if y > gEndYear:
gEndYear = y
calculate_list()
if y < gStartYear or y > gEndYear:
raise FinError("Date: year " + str(y) + " should be " +
str(gStartYear) + " to " + str(gEndYear))
if d < 1:
raise FinError("Date: Leap year. Day not valid.")
leap_year = is_leap_year(y)
if leap_year:
if d > monthDaysLeapYear[m - 1]:
print(d, m, y)
raise FinError("Date: Leap year. Day not valid.")
else:
if d > monthDaysNotLeapYear[m - 1]:
print(d, m, y)
raise FinError("Date: Not Leap year. Day not valid.")
if hh < 0 or hh > 23:
raise FinError("Hours must be in range 0-23")
if mm < 0 or mm > 59:
raise FinError("Minutes must be in range 0-59")
if ss < 0 or ss > 59:
raise FinError("Seconds must be in range 0-59")
self._y = y
self._m = m
self._d = d
self._hh = hh
self._mm = mm
self._ss = ss
self._excel_date = 0 # This is a float as it includes intraday time
# update the excel date used for doing lots of financial calculations
self._refresh()
dayFraction = self._hh / 24.0
dayFraction += self._mm / 24.0 / 60.0
dayFraction += self._ss / 24.0 / 60.0 / 60.0
self._excel_date += dayFraction # This is a float as it includes intraday time
def __init__(self, moduleName, mode):
""" Create the TestCase given the module name and whether we are in
GOLDEN or COMPARE mode. """
rootFolder, moduleFilename = split(moduleName)
self._carefulMode = False
self._verbose = False
if mode in FinTestCaseMode:
self._mode = mode
else:
raise FinError("Unknown TestCase Mode")
if mode == FinTestCaseMode.DEBUG_TEST_CASES:
# Don't do anything
self._verbose = True
return
self._moduleName = moduleFilename[0:-3]
self._foldersExist = True
self._rootFolder = rootFolder
self._headerFields = None
self._globalNumWarnings = 0
self._globalNumErrors = 0
# print("Root folder:",self._rootFolder)
# print("Modulename:",self._moduleName)
self._goldenFolder = join(rootFolder, "golden")
self._differencesFolder = join(rootFolder, "differences")
if exists(self._goldenFolder) is False:
print("Looking for:", self._goldenFolder)
print("GOLDEN Folder DOES NOT EXIST. You must create it. Exiting")
self._foldersExist = False
return None
self._compareFolder = join(rootFolder, "compare")
if exists(self._compareFolder) is False:
print("Looking for:", self._compareFolder)
print("COMPARE Folder DOES NOT EXIST. You must create it. Exiting")
self._foldersExist = False
return None
self._goldenFilename = join(self._goldenFolder,
self._moduleName + "_GOLDEN.testLog")
self._compareFilename = join(self._compareFolder,
self._moduleName + "_COMPARE.testLog")
self._differencesFilename = join(self._differencesFolder,
self._moduleName + "_DIFFS.testLog")
if self._mode == FinTestCaseMode.SAVE_TEST_CASES:
print("GOLDEN Test Case Creation for module:", moduleFilename)
if exists(self._goldenFilename) and self._carefulMode:
overwrite = input("File " + self._goldenFilename
+ " exists. Overwrite (Y/N) ?")
if overwrite == "N":
print("Not overwriting. Saving test cases failed.")
return
elif overwrite == "Y":
print("Overwriting existing file...")
creationTime = time.strftime("%Y%m%d_%H%M%S")
f = open(self._goldenFilename, 'w')
f.write("File Created on:" + creationTime)
f.write("\n")
f.close()
else:
# print("GENERATING NEW OUTPUT FOR MODULE", moduleFilename,
# "FOR COMPARISON.")
if exists(self._compareFilename) and self._carefulMode:
overwrite = input("File " + self._compareFilename +
" exists. Overwrite (Y/N) ?")
if overwrite == "N":
print("Not overwriting. Saving test cases failed.")
return
elif overwrite == "Y":
print("Overwriting existing file...")
# print("Creating empty file",self._compareFilename)
creationTime = time.strftime("%Y%m%d_%H%M%S")
f = open(self._compareFilename, 'w')
f.write("File Created on:" + creationTime)
f.write("\n")
f.close()
def add_weekdays(self,
numDays: int):
""" Returns a new date that is numDays working days after Date. Note
that only weekends are taken into account. Other Holidays are not. If
you want to include regional holidays then use add_business_days from
the FinCalendar class. """
# TODO: REMOVE DATETIME DEPENDENCE HERE
end_date = self;
if isinstance(numDays, int) is False:
raise FinError("Num days must be an integer")
positiveNumDays = (numDays > 0)
numDays = abs(numDays)
# 5 week days make up a week
oldLogic = False
if oldLogic is True:
numWeeks = int(numDays / 5)
remainingDays = numDays % 5
if self._weekday == Date.SAT:
weekendAdjust = 1
elif self._weekday == Date.SUN:
weekendAdjust = 0
else:
weekendAdjust = 2
if (positiveNumDays):
if (self._weekday + remainingDays > self.FRI):
# add weekend
remainingDays += weekendAdjust
return self.add_days(numWeeks * 7 + remainingDays)
else:
if (self._weekday - remainingDays < self.MON):
# add weekend
remainingDays += weekendAdjust
return self.add_days(-(numWeeks * 7 + remainingDays))
else: # new logic
numDaysLeft = numDays
end_date = self
while numDaysLeft > 0:
if positiveNumDays is True:
end_date = end_date.add_days(1)
else:
end_date = end_date.add_days(-1)
if end_date._weekday == Date.SAT or end_date._weekday == Date.SUN:
pass
else:
numDaysLeft -= 1
return end_date
