def rolldate(dt, calendar, convention):
""" Roll date to the business day
Roll date of the date to the business day according to the convention.
For 'follow' convention, if date falls on a holiday, finds first working day after it
For 'previous' convention, if date falls on a holiday, finds latest working day before it
For 'modfollow' convention, if date falls on a holiday, finds first working day after it, unless date is the end of month in which case previous workday is found
For 'previous' convention, if date falls on a holiday, finds latest working day before it, unless date is the beginning of month in which case following workday is found
Parameters
----------
dt: datetime.date, datetime.datetime or date string
calendar: Calendar object that has is_holiday method
convention: one of 'follow', 'previous', 'modfollow', 'modprevious'
Returns
-------
datetime.datetime of the next business day according to the convention
"""
convention = convention.lower()
dt = dateutils.asdatetime(dt)
rolled = dt
if convention == "follow":
rolled = _roll_forward(dt, calendar)
elif convention == 'modfollow':
rolled = _roll_forward(dt, calendar)
if rolled.month > dt.month:
rolled = _roll_backward(dt, calendar)
elif convention == 'previous':
rolled = _roll_backward(dt, calendar)
elif convention == 'modprevious':
rolled = _roll_backward(dt, calendar)
if rolled.month < dt.month:
rolled = _roll_forward(dt, calendar)
return rolled
def rolldate(dt, calendar, convention):
""" Roll date to the business day
Roll date of the date to the business day according to the convention.
For 'follow' convention, if date falls on a holiday, finds first working day after it
For 'previous' convention, if date falls on a holiday, finds latest working day before it
For 'modfollow' convention, if date falls on a holiday, finds first working day after it, unless date is the end of month in which case previous workday is found
For 'previous' convention, if date falls on a holiday, finds latest working day before it, unless date is the beginning of month in which case following workday is found
Parameters
----------
dt: datetime.date, datetime.datetime or date string
calendar: Calendar object that has is_holiday method
convention: one of 'follow', 'previous', 'modfollow', 'modprevious'
Returns
-------
datetime.datetime of the next business day according to the convention
"""
convention = convention.lower()
dt = dateutils.asdatetime(dt)
rolled = dt
if convention == "follow":
rolled = _roll_forward(dt, calendar)
elif convention == 'modfollow':
rolled = _roll_forward(dt, calendar)
if rolled.month > dt.month:
rolled = _roll_backward(dt, calendar)
elif convention == 'previous':
rolled = _roll_backward(dt, calendar)
elif convention == 'modprevious':
rolled = _roll_backward(dt, calendar)
if rolled.month < dt.month:
rolled = _roll_forward(dt, calendar)
return rolled
def is_holiday(self, dt):
""" Check if specific date is holiday
"""
dt = dateutils.asdatetime(dt)
year = dt.year
if not year in self._holiday_cache:
# create year cache
self._holiday_cache[year] = set()
current = datetime.datetime(year, 1, 1)
end_year = datetime.datetime(year, 12, 31)
while current <= end_year:
b_holiday, name, move_day = self._verify_holiday(current)
if b_holiday:
self._holiday_cache[year].add(current)
if move_day is not None:
self._holiday_cache[year].add(move_day)
current = current + datetime.timedelta(days = 1)
return dt in self._holiday_cache[year]
def is_holiday(self, dt):
""" Check if specific date is holiday
"""
dt = dateutils.asdatetime(dt)
year = dt.year
if not year in self._holiday_cache:
# create year cache
self._holiday_cache[year] = set()
current = datetime.datetime(year, 1, 1)
end_year = datetime.datetime(year, 12, 31)
while current <= end_year:
b_holiday, name, move_day = self._verify_holiday(current)
if b_holiday:
self._holiday_cache[year].add(current)
if move_day is not None:
self._holiday_cache[year].add(move_day)
current = current + datetime.timedelta(days = 1)
return dt in self._holiday_cache[year]
def _daycount_parameters(dt1, dt2, convention, **kwargs):
""" Return number of days and total number of days (i.e. numerator and
denominator in the counting of year fraction between dates
"""
convention = _normalize_daycount_convention(convention)
dt1 = dateutils.asdatetime(dt1)
dt2 = dateutils.asdatetime(dt2)
y1, m1, d1 = dt1.year, dt1.month, dt1.day
y2, m2, d2 = dt2.year, dt2.month, dt2.day
factor = None
if convention in {'30/360 US', '30E/360', '30E/360 ISDA', '30E+/360'}:
eom = 'eom' in kwargs and kwargs['eom']
if convention == '30/360 US':
# US adjustments
if eom and dt1.month == 2 and dateutils.iseom(
dt1) and dt2.month == 2 and dateutils.iseom(dt2):
d2 = 30
if eom and dt1.month == 2 and dateutils.iseom(dt1):
d1 = 30
if d2 == 31 and d1 >= 30:
d2 = 30
if d1 == 31:
d1 = 30
elif convention == '30E/360':
if d1 == 31:
d1 = 30
if d2 == 31:
d2 = 30
elif convention == '30E/360 ISDA':
if dateutils.iseom(dt1):
d1 = 30
if dateutils.iseom(dt2) and m2 != 2:
d2 = 30
elif convention == '30E+/360':
if d1 == 31:
d1 = 30
if d2 == 31:
m2 += 1
if m2 == 13:
m2 = 1
y2 += 1
d2 = 1
num_days = (360 * (y2 - y1) + 30 * (m2 - m1) + (d2 - d1))
year_days = 360
elif convention == 'ACTUAL/ACTUAL ISDA':
num_days = 0
year_days = 0
if y2 == y1:
num_days = (dt2 - dt1).days
year_days = dateutils.yeardays(y1)
else:
# we need to calculate factor properly
factor = 0.0
# full years between y1 and y2 exclusive
for y in range(y1 + 1, y2):
yd = dateutils.yeardays(y)
num_days += yd
year_days += yd
factor += float(num_days) / year_days
# days in the remaining part of the first year
num = (datetime.datetime(y1 + 1, 1, 1) - dt1).days
den = dateutils.yeardays(y1)
num_days += num
year_days += den
factor += float(num) / den
# days in the beginning of the last year
num = (dt2 - datetime.datetime(y2, 1, 1)).days
den = dateutils.yeardays(y2)
num_days += num
year_days += den
factor += float(num) / den
elif convention == 'ACTUAL/365 FIXED':
num_days = (dt2 - dt1).days
year_days = 365
elif convention == 'ACTUAL/360':
num_days = (dt2 - dt1).days
year_days = 360
elif convention == 'ACTUAL/365L':
yearly_frequency = 'frequency' in kwargs and kwargs[
'frequency'] == 'yearly'
if yearly_frequency:
year_days = 366 if _period_has_29feb(dt1, dt2) else 365
else:
year_days = 366 if dateutils.leapyear(dt2) else 365
num_days = (dt2 - dt1).days
elif convention == 'ACTUAL/ACTUAL AFB':
year_days = 366 if _period_has_29feb(dt1, dt2) else 365
num_days = (dt2 - dt1).days
else:
raise ValueError('Unknown daycount convention \'%s\'' % convention)
if factor is None:
factor = float(num_days) / year_days
return num_days, year_days, factor
def _daycount_parameters(dt1, dt2, convention, **kwargs):
""" Return number of days and total number of days (i.e. numerator and
denominator in the counting of year fraction between dates
"""
convention = convention.upper()
convention = _normalize_daycount_convention(convention)
dt1 = dateutils.asdatetime(dt1)
dt2 = dateutils.asdatetime(dt2)
y1, m1, d1 = dt1.year, dt1.month, dt1.day
y2, m2, d2 = dt2.year, dt2.month, dt2.day
factor = None
if convention in {'30/360 US', '30E/360', '30E/360 ISDA', '30E+/360'}:
eom = 'eom' in kwargs and kwargs['eom']
if convention == '30/360 US':
# US adjustments
if eom and dt1.month == 2 and dateutils.iseom(dt1) and dt2.month == 2 and dateutils.iseom(dt2):
d2 = 30
if eom and dt1.month == 2 and dateutils.iseom(dt1):
d1 = 30
if d2 == 31 and d1>=30:
d2 = 30
if d1 == 31:
d1 = 30
elif convention == '30E/360':
if d1 == 31:
d1 = 30
if d2 == 31:
d2 = 30
elif convention == '30E/360 ISDA':
if dateutils.iseom(dt1):
d1 = 30
if dateutils.iseom(dt2) and m2 != 2:
d2 = 30
elif convention == '30E+/360':
if d1 == 31:
d1 = 30
if d2 == 31:
m2 += 1
if m2 == 13:
m2 = 1
y2 += 1
d2 = 1
num_days = (360*(y2-y1)+30*(m2-m1)+(d2-d1))
year_days = 360
elif convention == 'ACTUAL/ACTUAL ISDA':
num_days = 0
year_days = 0
if y2 == y1:
num_days = (dt2 - dt1).days
year_days = dateutils.yeardays(y1)
else:
# we need to calculate factor properly
factor = 0.0
# full years between y1 and y2 exclusive
for y in range(y1+1, y2):
yd = dateutils.yeardays(y)
num_days += yd
year_days += yd
factor += float(num_days)/year_days
# days in the remaining part of the first year
num = (datetime.datetime(y1+1, 1, 1) - dt1).days
den = dateutils.yeardays(y1)
num_days += num
year_days += den
factor += float(num)/den
# days in the beginning of the last year
num = (dt2 - datetime.datetime(y2, 1, 1)).days
den = dateutils.yeardays(y2)
num_days += num
year_days += den
factor += float(num)/den
elif convention == 'ACTUAL/365 FIXED':
num_days = (dt2-dt1).days
year_days = 365
elif convention == 'ACTUAL/360':
num_days = (dt2-dt1).days
year_days = 360
elif convention == 'ACTUAL/365L':
yearly_frequency = 'frequency' in kwargs and kwargs['frequency'] =='yearly'
if yearly_frequency:
year_days = 366 if _period_has_29feb(dt1, dt2) else 365
else:
year_days = 366 if dateutils.leapyear(dt2) else 365
num_days = (dt2-dt1).days
elif convention == 'ACTUAL/ACTUAL AFB':
year_days = 366 if _period_has_29feb(dt1, dt2) else 365
num_days = (dt2-dt1).days
else:
raise ValueError('Unknown daycount convention \'%s\'' % convention)
if factor is None:
factor = float(num_days)/year_days
return num_days, year_days, factor
