interest_days 0.2.1 → 0.4.1

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data/CHANGELOG.md

@@ -1,4 +1,27 @@
 
+## [0.4.1] / 2022-04-12
+==================
+
+  * Fix start_date_after_end_date method considering the case that start_date and end_date are equal.
+
+## [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 0.2.1
+  * 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
 ==================
 

data/Gemfile

@@ -8,11 +8,8 @@ gemspec
 gem "rake", "~> 13.0"
 
 group :test, :development do
+  gem "codecov", "~> 0.6.0"
   gem "rspec", "~> 3.0"
-
   gem "rubocop", "~> 1.7"
-
   gem "simplecov", "~> 0.21.2"
-
-  gem "codecov", "~> 0.6.0"
 end

data/Gemfile.lock

@@ -1,7 +1,7 @@
 PATH
   remote: .
   specs:
-    interest_days (0.2.1)
+    interest_days (0.4.1)
 
 GEM
   remote: https://rubygems.org/
@@ -72,4 +72,4 @@ DEPENDENCIES
   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
 
@@ -31,11 +32,15 @@ calculator.interest_day_count_factor
 
 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
 
 After checking out the repo, run `bin/setup` to install dependencies. Then, run `rake spec` to run the tests. You can also run `bin/console` for an interactive prompt that will allow you to experiment.

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

@@ -2,7 +2,7 @@
 
 module InterestDays
   module Calculation
-    # ISDA Act 360 Convention calculation
+    # ISDA 30 E 365 Convention calculation
     class IsdaAct364 < Base
       RELEVANT_DAYS_IN_YEAR = 364
 

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 = "0.2.1"
+  VERSION = "0.4.1"
 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

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: interest_days
 version: !ruby/object:Gem::Version
-  version: 0.2.1
+  version: 0.4.1
 platform: ruby
 authors:
 - Eugen Mueller
@@ -9,7 +9,7 @@ authors:
 autorequire: 
 bindir: exe
 cert_chain: []
-date: 2022-02-03 00:00:00.000000000 Z
+date: 2022-04-12 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: rspec
@@ -72,7 +72,6 @@ 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
@@ -80,6 +79,7 @@ files:
 - 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