interest_days 0.2.0 → 0.4.0

checksums.yaml

@@ -1,7 +1,7 @@
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data/.github/workflows/main.yml

@@ -14,3 +14,7 @@ jobs:
         bundler-cache: true
     - name: Run the default task
       run: bundle exec rake
+    - name: Upload coverage to Codecov
+      uses: codecov/codecov-action@v2
+      with:
+        token: ${{ secrets.CODECOV_TOKEN }}

data/.gitignore

@@ -9,3 +9,4 @@
 
 # rspec failure tracking
 .rspec_status
+.history/*

data/CHANGELOG.md

@@ -1,4 +1,36 @@
-## [Unreleased]
+
+## [0.4.0] / 2022-03-22
+==================
+
+  * Update readme file.
+  * Bump version to 0.4.0.
+  * Add Isda Act Act strategy. #11
+
+## [0.3.0] / 2022-02-03
+==================
+
+  * Bump version to 0.3.0
+  * Finish including isda act 364 (#11)
+  
+## [0.2.1] / 2022-02-03
+==================
+
+  * Bump version to 0.2.1
+  * Change the gemspec metadata.
+  * Setup siplecov.
+  * Add spec for act 364 strategy.
+  * Add act 364 calculation strategy.
+  * Tests isda 30 e 360 (#5)
+  * Add codecov integration.
+
+## [0.2.0] / 2021-10-08
+==================
+
+  * Feature/#2 30 360 bond basis (#4)
+  * Merge pull request #1 from eugenmueller/FIX/readme_typo
+  * FIX: indention in README
+  * FIX: fix readme typo
+  * add .history dir to gitignore
 
 ## [0.1.0] - 2021-10-03
 

data/Gemfile

@@ -7,6 +7,9 @@ gemspec
 
 gem "rake", "~> 13.0"
 
-gem "rspec", "~> 3.0"
-
-gem "rubocop", "~> 1.7"
+group :test, :development do
+  gem "codecov", "~> 0.6.0"
+  gem "rspec", "~> 3.0"
+  gem "rubocop", "~> 1.7"
+  gem "simplecov", "~> 0.21.2"
+end

data/Gemfile.lock

@@ -1,13 +1,16 @@
 PATH
   remote: .
   specs:
-    interest_days (0.2.0)
+    interest_days (0.4.0)
 
 GEM
   remote: https://rubygems.org/
   specs:
     ast (2.4.2)
+    codecov (0.6.0)
+      simplecov (>= 0.15, < 0.22)
     diff-lcs (1.4.4)
+    docile (1.4.0)
     parallel (1.20.1)
     parser (3.0.2.0)
       ast (~> 2.4.1)
@@ -45,19 +48,28 @@ GEM
       rubocop (~> 1.0)
       rubocop-ast (>= 1.1.0)
     ruby-progressbar (1.11.0)
+    simplecov (0.21.2)
+      docile (~> 1.1)
+      simplecov-html (~> 0.11)
+      simplecov_json_formatter (~> 0.1)
+    simplecov-html (0.12.3)
+    simplecov_json_formatter (0.1.3)
     unicode-display_width (2.0.0)
 
 PLATFORMS
+  x86_64-darwin-19
   x86_64-darwin-20
   x86_64-linux
 
 DEPENDENCIES
+  codecov (~> 0.6.0)
   interest_days!
   rake (~> 13.0)
   rspec (~> 3.0)
   rubocop (~> 1.7)
   rubocop-rake
   rubocop-rspec
+  simplecov (~> 0.21.2)
 
 BUNDLED WITH
-   2.2.21
+   2.2.33

data/README.md

@@ -1,7 +1,8 @@
 # InterestDays
 
 This gem provide interest day factor calculation based on ISDA conventions e.g. Isda Act 360.
-Since version 0.2 interest_day gem support 30/360 US EOM and 30/360 Bond Basis conventions. 
+- Since version 0.2 interest_day gem support 30/360 US EOM and 30/360 Bond Basis conventions.
+- Since version 0.3 the gem also supports Isda Act 364
 
 ## Installation
 
@@ -23,19 +24,22 @@ Or install it yourself as:
 
 You can simple use the InterestDays::Calculator like:
 
-    ```ruby
-    calculator = InterestDays::Calculator.new(start_date: start, end_date: end, strategy: :isda_act_360)
-    
-    calculator.interest_day_count_factor
-    ```
+```ruby
+calculator = InterestDays::Calculator.new(start_date: start, end_date: end, strategy: :isda_act_360)
+
+calculator.interest_day_count_factor
+```
 
-currently there a three supported conventions:
+currently there a five supported conventions:
 - :isda_act_360
+- :isda_act_364
 - :isda_act_365
+- :isda_act_act
 - :isda_30_e_360
 - :us_eom_30_360
 - :bond_basis_30_360
 
+As often, [Wikipedia](https://en.wikipedia.org/wiki/Day_count_convention) is the best resource, so check it out to get more insights into these conventions.
 
 ## Development
 
@@ -45,7 +49,7 @@ To install this gem onto your local machine, run `bundle exec rake install`. To
 
 ## Contributing
 
-Bug reports and pull requests are welcome on GitHub at https://github.com/eugenmueller/interest_days.
+Bug reports and pull requests are welcome on GitHub at https://github.com/eugenmueller/interest_days. ;)
 
 ## License
 

data/interest_days.gemspec

@@ -5,7 +5,7 @@ require_relative "lib/interest_days/version"
 Gem::Specification.new do |spec|
   spec.name          = "interest_days"
   spec.version       = InterestDays::VERSION
-  spec.authors       = ["Eugen Mueller"]
+  spec.authors       = ["Eugen Mueller", "Kevin Liebholz"]
   spec.email         = ["eugen.mllr@gmail.com"]
 
   spec.summary       = "Interest day calculation"
@@ -18,7 +18,7 @@ Gem::Specification.new do |spec|
 
   spec.metadata["homepage_uri"] = spec.homepage
   spec.metadata["source_code_uri"] = "https://github.com/eugenmueller/interest_days"
-  spec.metadata["changelog_uri"] = "https://github.com/eugenmueller/interest_days/CHANGELOG.md"
+  spec.metadata["changelog_uri"] = "https://github.com/eugenmueller/interest_days/blob/v0.2.0/CHANGELOG.md"
 
   # Specify which files should be added to the gem when it is released.
   # The `git ls-files -z` loads the files in the RubyGem that have been added into git.

data/lib/interest_days/calculation/base.rb

@@ -2,6 +2,13 @@
 
 module InterestDays
   module Calculation
+    # StartDateBeforeEndDateError class
+    class StartDateBeforeEndDateError < StandardError
+      def initialize(msg = "End date have to be after start date!")
+        super(msg)
+      end
+    end
+
     # Base calculation class
     class Base
       attr_reader :start_date, :end_date
@@ -9,6 +16,8 @@ module InterestDays
       def initialize(start_date:, end_date:)
         @start_date = start_date
         @end_date = end_date
+
+        raise StartDateBeforeEndDateError if start_date_after_end_date?
       end
 
       def day_count_factor
@@ -17,6 +26,10 @@ module InterestDays
 
       private
 
+      def start_date_after_end_date?
+        start_date >= end_date
+      end
+
       def days
         @end_date - @start_date
       end

data/lib/interest_days/calculation/isda_act_364.rb

@@ -0,0 +1,14 @@
+# frozen_string_literal: true
+
+module InterestDays
+  module Calculation
+    # ISDA 30 E 365 Convention calculation
+    class IsdaAct364 < Base
+      RELEVANT_DAYS_IN_YEAR = 364
+
+      def day_count_factor
+        days.fdiv(RELEVANT_DAYS_IN_YEAR)
+      end
+    end
+  end
+end

data/lib/interest_days/calculation/isda_act_act.rb

@@ -0,0 +1,45 @@
+# frozen_string_literal: true
+
+module InterestDays
+  module Calculation
+    # ISDA Act Act Convention calculation
+    class IsdaActAct < Base
+      RELEVANT_DAYS_IN_YEAR = 365
+      RELEVANT_DAYS_IN_LEAP_YEAR = 366
+
+      def day_count_factor
+        return days.fdiv(stard_date_days_in_year) if start_date_and_end_date_in_same_year?
+
+        end_date_days.fdiv(end_date_days_in_year) +
+          start_date_days.fdiv(stard_date_days_in_year) +
+          full_years_between_start_and_end_date
+      end
+
+      private
+
+      def full_years_between_start_and_end_date
+        (end_date.year - start_date.year) - 1
+      end
+
+      def start_date_and_end_date_in_same_year?
+        start_date.year.eql?(end_date.year)
+      end
+
+      def stard_date_days_in_year
+        start_date.leap? ? RELEVANT_DAYS_IN_LEAP_YEAR : RELEVANT_DAYS_IN_YEAR
+      end
+
+      def end_date_days_in_year
+        end_date.leap? ? RELEVANT_DAYS_IN_LEAP_YEAR : RELEVANT_DAYS_IN_YEAR
+      end
+
+      def start_date_days
+        stard_date_days_in_year - start_date.yday
+      end
+
+      def end_date_days
+        end_date.yday
+      end
+    end
+  end
+end

data/lib/interest_days/calculator.rb

@@ -22,7 +22,9 @@ module InterestDays
     def strategies
       @strategies ||= {
         isda_act_360: InterestDays::Calculation::IsdaAct360,
+        isda_act_364: InterestDays::Calculation::IsdaAct364,
         isda_act_365: InterestDays::Calculation::IsdaAct365,
+        isda_act_act: InterestDays::Calculation::IsdaActAct,
         isda_30_e_360: InterestDays::Calculation::Isda30e360,
         bond_basis_30_360: InterestDays::Calculation::Isda30e360,
         us_eom_30_360: InterestDays::Calculation::UsEom30360

data/lib/interest_days/version.rb

@@ -1,5 +1,5 @@
 # frozen_string_literal: true
 
 module InterestDays
-  VERSION = "0.2.0"
+  VERSION = "0.4.0"
 end

data/lib/interest_days.rb

@@ -6,7 +6,9 @@ require "interest_days/calculation/base"
 require "interest_days/calculation/thirty_threesixty_base"
 require "interest_days/calculation/us_eom_30_360"
 require "interest_days/calculation/isda_act_360"
+require "interest_days/calculation/isda_act_364"
 require "interest_days/calculation/isda_act_365"
+require "interest_days/calculation/isda_act_act"
 require "interest_days/calculation/isda_30_e_360"
 
 module InterestDays

metadata

@@ -1,14 +1,15 @@
 --- !ruby/object:Gem::Specification
 name: interest_days
 version: !ruby/object:Gem::Version
-  version: 0.2.0
+  version: 0.4.0
 platform: ruby
 authors:
 - Eugen Mueller
+- Kevin Liebholz
 autorequire: 
 bindir: exe
 cert_chain: []
-date: 2021-10-08 00:00:00.000000000 Z
+date: 2022-03-29 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: rspec
@@ -71,12 +72,15 @@ files:
 - Rakefile
 - bin/console
 - bin/setup
+- interest_days-0.2.0.gem
 - interest_days.gemspec
 - lib/interest_days.rb
 - lib/interest_days/calculation/base.rb
 - lib/interest_days/calculation/isda_30_e_360.rb
 - lib/interest_days/calculation/isda_act_360.rb
+- lib/interest_days/calculation/isda_act_364.rb
 - lib/interest_days/calculation/isda_act_365.rb
+- lib/interest_days/calculation/isda_act_act.rb
 - lib/interest_days/calculation/thirty_threesixty_base.rb
 - lib/interest_days/calculation/us_eom_30_360.rb
 - lib/interest_days/calculator.rb
@@ -87,7 +91,7 @@ licenses:
 metadata:
   homepage_uri: https://github.com/eugenmueller/interest_days
   source_code_uri: https://github.com/eugenmueller/interest_days
-  changelog_uri: https://github.com/eugenmueller/interest_days/CHANGELOG.md
+  changelog_uri: https://github.com/eugenmueller/interest_days/blob/v0.2.0/CHANGELOG.md
 post_install_message: 
 rdoc_options: []
 require_paths: