interest_days 0.5.0 → 0.5.1

Sign up to get free protection for your applications and to get access to all the features.
checksums.yaml CHANGED
@@ -1,7 +1,7 @@
1
1
  ---
2
2
  SHA256:
3
- metadata.gz: 12518b1ae316f0c47b62233c4b7e48cf26653488c21028a02d0ec455013e4e41
4
- data.tar.gz: 1eab20b63b6c8e62b95a952345743c90f84e079c54fc9620f5b2e33086dc5e83
3
+ metadata.gz: ebecc4f50f64001035dbc934d9c34db95d4d9839ca1ed2beead12a1812648d97
4
+ data.tar.gz: bfc358121e3074f372fac9c28a7fd5885ab8f735c9c1164f65e387df9857a07b
5
5
  SHA512:
6
- metadata.gz: 100baf4853195b3d2fe8a81d3e71b773f038d9684c897d28e8ae715ad4bb199e3d411ecae6a55c931687a13fd0c00b92590eeb9dde36c37ba0ace8332d08ce08
7
- data.tar.gz: 0db0edf6bb9fa4512f2e1c35c04e297e26f7124268d7fb82a6993f7a65a355e1d833e28cf268f5e24d81d972f7b89422306feb40520881369c91df3ac48cb479
6
+ metadata.gz: 5c30a8d1ad8dd5cb5c0ac71c8ec51cae52f3eb14a45beaf488f4fd2f5617ac18356328ec2e93f0492bbf0c7079349067bd5ca0d8c7460b072f9b410726b510f2
7
+ data.tar.gz: 2ba3ebc474f4dcf71e165bc5270933be011cd72f33ec5ae4d15a46a0bb9ac4c86dbd9dea1da22b18b91b3d859cad2e684cacd6078f6ea2f69c1a58af6d18d953
metadata CHANGED
@@ -1,15 +1,16 @@
1
1
  --- !ruby/object:Gem::Specification
2
2
  name: interest_days
3
3
  version: !ruby/object:Gem::Version
4
- version: 0.5.0
4
+ version: 0.5.1
5
5
  platform: ruby
6
6
  authors:
7
7
  - Eugen Mueller
8
8
  - Kevin Liebholz
9
+ - Cassy Dodd
9
10
  autorequire:
10
11
  bindir: exe
11
12
  cert_chain: []
12
- date: 2022-11-07 00:00:00.000000000 Z
13
+ date: 2022-11-11 00:00:00.000000000 Z
13
14
  dependencies:
14
15
  - !ruby/object:Gem::Dependency
15
16
  name: pry
@@ -73,32 +74,7 @@ email:
73
74
  executables: []
74
75
  extensions: []
75
76
  extra_rdoc_files: []
76
- files:
77
- - ".github/workflows/main.yml"
78
- - ".gitignore"
79
- - ".rspec"
80
- - ".rubocop.yml"
81
- - CHANGELOG.md
82
- - Gemfile
83
- - Gemfile.lock
84
- - LICENSE.txt
85
- - README.md
86
- - Rakefile
87
- - bin/console
88
- - bin/setup
89
- - interest_days.gemspec
90
- - lib/interest_days.rb
91
- - lib/interest_days/calculation/base.rb
92
- - lib/interest_days/calculation/icma_act_act.rb
93
- - lib/interest_days/calculation/isda_30_e_360.rb
94
- - lib/interest_days/calculation/isda_act_360.rb
95
- - lib/interest_days/calculation/isda_act_364.rb
96
- - lib/interest_days/calculation/isda_act_365.rb
97
- - lib/interest_days/calculation/isda_act_act.rb
98
- - lib/interest_days/calculation/thirty_threesixty_base.rb
99
- - lib/interest_days/calculation/us_eom_30_360.rb
100
- - lib/interest_days/calculator.rb
101
- - lib/interest_days/version.rb
77
+ files: []
102
78
  homepage: https://github.com/eugenmueller/interest_days
103
79
  licenses:
104
80
  - MIT
@@ -1,22 +0,0 @@
1
- name: Interest days CI
2
-
3
- on: [push,pull_request]
4
-
5
- jobs:
6
- build:
7
- runs-on: ubuntu-latest
8
- steps:
9
- - uses: actions/checkout@v2
10
- - name: Set up Ruby
11
- uses: ruby/setup-ruby@v1
12
- with:
13
- ruby-version: '2.7.3'
14
- bundler-cache: true
15
- - name: Run the default task
16
- run: COVERAGE=true bundle exec rake
17
- env:
18
- token: ${{ secrets.CODECOV_TOKEN }}
19
- - name: Upload coverage to Codecov
20
- uses: codecov/codecov-action@v2
21
- with:
22
- token: ${{ secrets.CODECOV_TOKEN }}
data/.gitignore DELETED
@@ -1,13 +0,0 @@
1
- /.bundle/
2
- /.yardoc
3
- /_yardoc/
4
- /coverage/
5
- /doc/
6
- /pkg/
7
- /spec/reports/
8
- /tmp/
9
-
10
- # rspec failure tracking
11
- .rspec_status
12
- .history/*
13
- .DS_Store
data/.rspec DELETED
@@ -1,3 +0,0 @@
1
- --format documentation
2
- --color
3
- --require spec_helper
data/.rubocop.yml DELETED
@@ -1,20 +0,0 @@
1
- AllCops:
2
- TargetRubyVersion: 2.7
3
- NewCops: enable
4
-
5
- Style/StringLiterals:
6
- Enabled: true
7
- EnforcedStyle: double_quotes
8
-
9
- Style/StringLiteralsInInterpolation:
10
- Enabled: true
11
- EnforcedStyle: double_quotes
12
-
13
- Layout/LineLength:
14
- Max: 120
15
-
16
- Naming/VariableNumber:
17
- EnforcedStyle: snake_case
18
-
19
- Metrics/BlockLength:
20
- Max: 50
data/CHANGELOG.md DELETED
@@ -1,40 +0,0 @@
1
-
2
- ## [0.5.0] / 2022-11-07
3
- ==================
4
- * Add ICMA act/act strategy.
5
-
6
- ## [0.4.1] / 2022-04-12
7
- ==================
8
-
9
- * Fix start_date_after_end_date method considering the case that start_date and end_date are equal.
10
-
11
- ## [0.4.0] / 2022-03-22
12
- ==================
13
-
14
- * Update readme file.
15
- * Bump version to 0.4.0.
16
- * Add Isda act/act strategy. #11
17
-
18
- ## [0.3.0] / 2022-02-03
19
- ==================
20
-
21
- * Bump version to 0.2.1
22
- * Change the gemspec metadata.
23
- * Setup siplecov.
24
- * Add spec for act 364 strategy.
25
- * Add act 364 calculation strategy.
26
- * Tests isda 30 e 360 (#5)
27
- * Add codecov integration.
28
-
29
- ## [0.2.0] / 2021-10-08
30
- ==================
31
-
32
- * Feature/#2 30 360 bond basis (#4)
33
- * Merge pull request #1 from eugenmueller/FIX/readme_typo
34
- * FIX: indention in README
35
- * FIX: fix readme typo
36
- * add .history dir to gitignore
37
-
38
- ## [0.1.0] - 2021-10-03
39
-
40
- - Initial release
data/Gemfile DELETED
@@ -1,15 +0,0 @@
1
- # frozen_string_literal: true
2
-
3
- source "https://rubygems.org"
4
-
5
- # Specify your gem's dependencies in interest_days.gemspec
6
- gemspec
7
-
8
- gem "rake", "~> 13.0"
9
-
10
- group :test, :development do
11
- gem "codecov", "~> 0.6.0", require: false
12
- gem "rspec", "~> 3.0"
13
- gem "rubocop", "~> 1.7"
14
- gem "simplecov", "~> 0.21.2", require: false
15
- end
data/Gemfile.lock DELETED
@@ -1,81 +0,0 @@
1
- PATH
2
- remote: .
3
- specs:
4
- interest_days (0.5.0)
5
-
6
- GEM
7
- remote: https://rubygems.org/
8
- specs:
9
- ast (2.4.2)
10
- codecov (0.6.0)
11
- simplecov (>= 0.15, < 0.22)
12
- coderay (1.1.3)
13
- diff-lcs (1.4.4)
14
- docile (1.4.0)
15
- method_source (1.0.0)
16
- parallel (1.20.1)
17
- parser (3.0.2.0)
18
- ast (~> 2.4.1)
19
- pry (0.13.1)
20
- coderay (~> 1.1)
21
- method_source (~> 1.0)
22
- rainbow (3.0.0)
23
- rake (13.0.6)
24
- regexp_parser (2.1.1)
25
- rexml (3.2.5)
26
- rspec (3.10.0)
27
- rspec-core (~> 3.10.0)
28
- rspec-expectations (~> 3.10.0)
29
- rspec-mocks (~> 3.10.0)
30
- rspec-core (3.10.1)
31
- rspec-support (~> 3.10.0)
32
- rspec-expectations (3.10.1)
33
- diff-lcs (>= 1.2.0, < 2.0)
34
- rspec-support (~> 3.10.0)
35
- rspec-mocks (3.10.2)
36
- diff-lcs (>= 1.2.0, < 2.0)
37
- rspec-support (~> 3.10.0)
38
- rspec-support (3.10.2)
39
- rubocop (1.18.3)
40
- parallel (~> 1.10)
41
- parser (>= 3.0.0.0)
42
- rainbow (>= 2.2.2, < 4.0)
43
- regexp_parser (>= 1.8, < 3.0)
44
- rexml
45
- rubocop-ast (>= 1.7.0, < 2.0)
46
- ruby-progressbar (~> 1.7)
47
- unicode-display_width (>= 1.4.0, < 3.0)
48
- rubocop-ast (1.7.0)
49
- parser (>= 3.0.1.1)
50
- rubocop-rake (0.6.0)
51
- rubocop (~> 1.0)
52
- rubocop-rspec (2.4.0)
53
- rubocop (~> 1.0)
54
- rubocop-ast (>= 1.1.0)
55
- ruby-progressbar (1.11.0)
56
- simplecov (0.21.2)
57
- docile (~> 1.1)
58
- simplecov-html (~> 0.11)
59
- simplecov_json_formatter (~> 0.1)
60
- simplecov-html (0.12.3)
61
- simplecov_json_formatter (0.1.3)
62
- unicode-display_width (2.0.0)
63
-
64
- PLATFORMS
65
- x86_64-darwin-19
66
- x86_64-darwin-20
67
- x86_64-linux
68
-
69
- DEPENDENCIES
70
- codecov (~> 0.6.0)
71
- interest_days!
72
- pry (~> 0.13.1)
73
- rake (~> 13.0)
74
- rspec (~> 3.0)
75
- rubocop (~> 1.7)
76
- rubocop-rake
77
- rubocop-rspec
78
- simplecov (~> 0.21.2)
79
-
80
- BUNDLED WITH
81
- 2.2.33
data/LICENSE.txt DELETED
@@ -1,21 +0,0 @@
1
- The MIT License (MIT)
2
-
3
- Copyright (c) 2021 Eugen Mueller
4
-
5
- Permission is hereby granted, free of charge, to any person obtaining a copy
6
- of this software and associated documentation files (the "Software"), to deal
7
- in the Software without restriction, including without limitation the rights
8
- to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
9
- copies of the Software, and to permit persons to whom the Software is
10
- furnished to do so, subject to the following conditions:
11
-
12
- The above copyright notice and this permission notice shall be included in
13
- all copies or substantial portions of the Software.
14
-
15
- THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
16
- IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
17
- FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
18
- AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
19
- LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
20
- OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN
21
- THE SOFTWARE.
data/README.md DELETED
@@ -1,57 +0,0 @@
1
- # InterestDays
2
-
3
- This gem provides interest day factor calculation based on ISDA conventions e.g. Isda Act 360.
4
- - Since version 0.2 interest_day gem supported 30/360 US EOM and 30/360 Bond Basis conventions.
5
- - Since version 0.3 the gem also supports Isda Act 364
6
-
7
- ## Installation
8
-
9
- Add this line to your application's Gemfile:
10
-
11
- ```ruby
12
- gem 'interest_days'
13
- ```
14
-
15
- And then execute:
16
-
17
- $ bundle install
18
-
19
- Or install it yourself as:
20
-
21
- $ gem install interest_days
22
-
23
- ## Usage
24
-
25
- You can simply use the InterestDays::Calculator like:
26
-
27
- ```ruby
28
- calculator = InterestDays::Calculator.new(start_date: start, end_date: end, strategy: :isda_act_360)
29
-
30
- calculator.interest_day_count_factor
31
- ```
32
-
33
- currently, there are five supported conventions:
34
- - :isda_act_360
35
- - :isda_act_364
36
- - :isda_act_365
37
- - :isda_act_act
38
- - :isda_30_e_360
39
- - :us_eom_30_360
40
- - :bond_basis_30_360
41
- - :icma_act_act
42
-
43
- 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.
44
-
45
- ## Development
46
-
47
- 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.
48
-
49
- To install this gem onto your local machine, run `bundle exec rake install`. To release a new version, update the version number in `version.rb`, and then run `bundle exec rake release`, which will create a git tag for the version, push git commits and the created tag, and push the `.gem` file to [rubygems.org](https://rubygems.org).
50
-
51
- ## Contributing
52
-
53
- Bug reports and pull requests are welcome on GitHub at https://github.com/eugenmueller/interest_days. ;)
54
-
55
- ## License
56
-
57
- The gem is available as open source under the terms of the [MIT License](https://opensource.org/licenses/MIT).
data/Rakefile DELETED
@@ -1,12 +0,0 @@
1
- # frozen_string_literal: true
2
-
3
- require "bundler/gem_tasks"
4
- require "rspec/core/rake_task"
5
-
6
- RSpec::Core::RakeTask.new(:spec)
7
-
8
- require "rubocop/rake_task"
9
-
10
- RuboCop::RakeTask.new
11
-
12
- task default: %i[spec rubocop]
data/bin/console DELETED
@@ -1,15 +0,0 @@
1
- #!/usr/bin/env ruby
2
- # frozen_string_literal: true
3
-
4
- require "bundler/setup"
5
- require "interest_days"
6
-
7
- # You can add fixtures and/or initialization code here to make experimenting
8
- # with your gem easier. You can also use a different console, if you like.
9
-
10
- # (If you use this, don't forget to add pry to your Gemfile!)
11
- # require "pry"
12
- # Pry.start
13
-
14
- require "irb"
15
- IRB.start(__FILE__)
data/bin/setup DELETED
@@ -1,8 +0,0 @@
1
- #!/usr/bin/env bash
2
- set -euo pipefail
3
- IFS=$'\n\t'
4
- set -vx
5
-
6
- bundle install
7
-
8
- # Do any other automated setup that you need to do here
@@ -1,42 +0,0 @@
1
- # frozen_string_literal: true
2
-
3
- require_relative "lib/interest_days/version"
4
-
5
- Gem::Specification.new do |spec|
6
- spec.name = "interest_days"
7
- spec.version = InterestDays::VERSION
8
- spec.authors = ["Eugen Mueller", "Kevin Liebholz"]
9
- spec.email = ["eugen.mllr@gmail.com"]
10
-
11
- spec.summary = "Interest day calculation"
12
- spec.description = "Interest days gem calculate interest days depends on desired method."
13
- spec.homepage = "https://github.com/eugenmueller/interest_days"
14
- spec.license = "MIT"
15
- spec.required_ruby_version = ">= 2.7.0"
16
-
17
- # spec.metadata["allowed_push_host"] = "TODO: Set to 'https://mygemserver.com'"
18
-
19
- spec.metadata["homepage_uri"] = spec.homepage
20
- spec.metadata["source_code_uri"] = "https://github.com/eugenmueller/interest_days"
21
- spec.metadata["changelog_uri"] = "https://github.com/eugenmueller/interest_days/blob/v0.2.0/CHANGELOG.md"
22
-
23
- # Specify which files should be added to the gem when it is released.
24
- # The `git ls-files -z` loads the files in the RubyGem that have been added into git.
25
- spec.files = Dir.chdir(File.expand_path(__dir__)) do
26
- `git ls-files -z`.split("\x0").reject { |f| f.match(%r{\A(?:test|spec|features)/}) }
27
- end
28
- spec.bindir = "exe"
29
- spec.executables = spec.files.grep(%r{\Aexe/}) { |f| File.basename(f) }
30
- spec.require_paths = ["lib"]
31
-
32
- # Uncomment to register a new dependency of your gem
33
- # spec.add_dependency "example-gem", "~> 1.0"
34
- spec.add_development_dependency "pry", "~> 0.13.1"
35
- spec.add_development_dependency "rspec", "~> 3.2"
36
- spec.add_development_dependency "rubocop-rake"
37
- spec.add_development_dependency "rubocop-rspec"
38
-
39
- # For more information and examples about making a new gem, checkout our
40
- # guide at: https://bundler.io/guides/creating_gem.html
41
- spec.metadata["rubygems_mfa_required"] = "true"
42
- end
@@ -1,38 +0,0 @@
1
- # frozen_string_literal: true
2
-
3
- module InterestDays
4
- module Calculation
5
- # StartDateBeforeEndDateError class
6
- class StartDateBeforeEndDateError < StandardError
7
- def initialize(msg = "End date have to be after start date!")
8
- super(msg)
9
- end
10
- end
11
-
12
- # Base calculation class
13
- class Base
14
- attr_reader :start_date, :end_date
15
-
16
- def initialize(start_date:, end_date:)
17
- @start_date = start_date
18
- @end_date = end_date
19
-
20
- raise StartDateBeforeEndDateError if start_date_after_end_date?
21
- end
22
-
23
- def day_count_factor
24
- raise NotImplementedError, "#{self.class} has not implemented method '#{__method__}"
25
- end
26
-
27
- private
28
-
29
- def start_date_after_end_date?
30
- start_date > end_date
31
- end
32
-
33
- def days
34
- @end_date - @start_date
35
- end
36
- end
37
- end
38
- end
@@ -1,71 +0,0 @@
1
- # frozen_string_literal: true
2
-
3
- module InterestDays
4
- module Calculation
5
- # ISDA Act Act Convention calculation
6
- class IcmaActAct < Base
7
- DAYS_IN_YEAR = 365
8
- DAYS_IN_LEAP_YEAR = 366
9
-
10
- def day_count_factor
11
- return days.fdiv(start_date_days_in_year) if start_date_and_end_date_in_same_year?
12
-
13
- if years_in_between_factor > 1
14
- return start_date_period_factor + years_in_between_factor + end_date_period_factor
15
- end
16
-
17
- days.fdiv(year_days_in_period)
18
- end
19
-
20
- private
21
-
22
- def year_days_in_period
23
- period_contains_leap_day? ? DAYS_IN_LEAP_YEAR : DAYS_IN_YEAR
24
- end
25
-
26
- def period_contains_leap_day?
27
- !leap_day.nil? && leap_day.between?(start_date, end_date)
28
- end
29
-
30
- def leap_day
31
- @leap_day ||= if start_date.leap?
32
- Date.new(start_date.year, 2, 29)
33
- elsif end_date.leap?
34
- Date.new(end_date.year, 2, 29)
35
- end
36
- end
37
-
38
- def start_date_period_factor
39
- (start_date_days_in_year - start_date.yday).fdiv(start_date_days_in_year)
40
- end
41
-
42
- def end_date_period_factor
43
- end_date.yday.fdiv(end_date_days_in_year)
44
- end
45
-
46
- def years_in_between_factor
47
- (end_date.year - start_date.year) - 1
48
- end
49
-
50
- def start_date_period_with_leap_date?
51
- start_date.leap? && start_date.month < 3
52
- end
53
-
54
- def end_date_period_with_leap_date?
55
- end_date.leap? && end_date >= Date.new(end_date.year, 2, 29)
56
- end
57
-
58
- def start_date_and_end_date_in_same_year?
59
- start_date.year.eql?(end_date.year)
60
- end
61
-
62
- def start_date_days_in_year
63
- start_date_period_with_leap_date? ? DAYS_IN_LEAP_YEAR : DAYS_IN_YEAR
64
- end
65
-
66
- def end_date_days_in_year
67
- end_date_period_with_leap_date? ? DAYS_IN_LEAP_YEAR : DAYS_IN_YEAR
68
- end
69
- end
70
- end
71
- end
@@ -1,18 +0,0 @@
1
- # frozen_string_literal: true
2
-
3
- module InterestDays
4
- module Calculation
5
- # ISDA 30 E 360 Convention calculation
6
- class Isda30e360 < ThirtyThreesixtyBase
7
- private
8
-
9
- def end_date_days
10
- [@end_date.day, RELEVANT_DAY_IN_MONTH].min
11
- end
12
-
13
- def start_date_days
14
- [@start_date.day, RELEVANT_DAY_IN_MONTH].min
15
- end
16
- end
17
- end
18
- end
@@ -1,14 +0,0 @@
1
- # frozen_string_literal: true
2
-
3
- module InterestDays
4
- module Calculation
5
- # ISDA Act 360 Convention calculation
6
- class IsdaAct360 < Base
7
- RELEVANT_DAYS_IN_YEAR = 360
8
-
9
- def day_count_factor
10
- days.fdiv(RELEVANT_DAYS_IN_YEAR)
11
- end
12
- end
13
- end
14
- end
@@ -1,14 +0,0 @@
1
- # frozen_string_literal: true
2
-
3
- module InterestDays
4
- module Calculation
5
- # ISDA 30 E 365 Convention calculation
6
- class IsdaAct364 < Base
7
- RELEVANT_DAYS_IN_YEAR = 364
8
-
9
- def day_count_factor
10
- days.fdiv(RELEVANT_DAYS_IN_YEAR)
11
- end
12
- end
13
- end
14
- end
@@ -1,14 +0,0 @@
1
- # frozen_string_literal: true
2
-
3
- module InterestDays
4
- module Calculation
5
- # ISDA 30 E 365 Convention calculation
6
- class IsdaAct365 < Base
7
- RELEVANT_DAYS_IN_YEAR = 365
8
-
9
- def day_count_factor
10
- days.fdiv(RELEVANT_DAYS_IN_YEAR)
11
- end
12
- end
13
- end
14
- end
@@ -1,45 +0,0 @@
1
- # frozen_string_literal: true
2
-
3
- module InterestDays
4
- module Calculation
5
- # ISDA Act Act Convention calculation
6
- class IsdaActAct < Base
7
- RELEVANT_DAYS_IN_YEAR = 365
8
- RELEVANT_DAYS_IN_LEAP_YEAR = 366
9
-
10
- def day_count_factor
11
- return days.fdiv(stard_date_days_in_year) if start_date_and_end_date_in_same_year?
12
-
13
- end_date_days.fdiv(end_date_days_in_year) +
14
- start_date_days.fdiv(stard_date_days_in_year) +
15
- full_years_between_start_and_end_date
16
- end
17
-
18
- private
19
-
20
- def full_years_between_start_and_end_date
21
- (end_date.year - start_date.year) - 1
22
- end
23
-
24
- def start_date_and_end_date_in_same_year?
25
- start_date.year.eql?(end_date.year)
26
- end
27
-
28
- def stard_date_days_in_year
29
- start_date.leap? ? RELEVANT_DAYS_IN_LEAP_YEAR : RELEVANT_DAYS_IN_YEAR
30
- end
31
-
32
- def end_date_days_in_year
33
- end_date.leap? ? RELEVANT_DAYS_IN_LEAP_YEAR : RELEVANT_DAYS_IN_YEAR
34
- end
35
-
36
- def start_date_days
37
- stard_date_days_in_year - start_date.yday
38
- end
39
-
40
- def end_date_days
41
- end_date.yday
42
- end
43
- end
44
- end
45
- end
@@ -1,42 +0,0 @@
1
- # frozen_string_literal: true
2
-
3
- module InterestDays
4
- module Calculation
5
- # ISDA 30 E 360 Convention calculation
6
- class ThirtyThreesixtyBase < Base
7
- RELEVANT_DAYS_IN_YEAR = 360
8
- RELEVANT_DAY_IN_MONTH = 30
9
-
10
- def day_count_factor
11
- (year_interval_in_days + month_interval_in_days + day_interval).fdiv(RELEVANT_DAYS_IN_YEAR)
12
- end
13
-
14
- private
15
-
16
- def year_interval_in_days
17
- RELEVANT_DAYS_IN_YEAR * (@end_date.year - @start_date.year)
18
- end
19
-
20
- def month_interval_in_days
21
- RELEVANT_DAY_IN_MONTH * (@end_date.month - @start_date.month)
22
- end
23
-
24
- def day_interval
25
- end_date_days - start_date_days
26
- # [@end_date.day, 30].min - [@start_date.day, 30].min
27
- end
28
-
29
- def end_date_days
30
- raise NotImplementedError, "#{self.class} has not implemented method '#{__method__}"
31
- end
32
-
33
- def start_date_days
34
- raise NotImplementedError, "#{self.class} has not implemented method '#{__method__}"
35
- end
36
-
37
- def days_in_month_for(date)
38
- Date.new(date.year, date.month, -1).day
39
- end
40
- end
41
- end
42
- end
@@ -1,30 +0,0 @@
1
- # frozen_string_literal: true
2
-
3
- module InterestDays
4
- module Calculation
5
- # ISDA 30 E 360 Convention calculation
6
- class UsEom30360 < ThirtyThreesixtyBase
7
- private
8
-
9
- # D2 day
10
- def end_date_days
11
- if ((@start_date.month == 2 && @start_date.day == days_in_month_for(@start_date)) &&
12
- (@end_date.month == 2 && @end_date.day == days_in_month_for(@end_date))) ||
13
- (@end_date.day == 31 && @start_date.day >= 30)
14
- RELEVANT_DAY_IN_MONTH
15
- else
16
- @end_date.day
17
- end
18
- end
19
-
20
- # D1 day
21
- def start_date_days
22
- if (@start_date.month == 2 && @start_date.day == days_in_month_for(@start_date)) || @start_date.day == 31
23
- RELEVANT_DAY_IN_MONTH
24
- else
25
- @start_date.day
26
- end
27
- end
28
- end
29
- end
30
- end
@@ -1,35 +0,0 @@
1
- # frozen_string_literal: true
2
-
3
- module InterestDays
4
- # Main calculator class
5
- class Calculator
6
- attr_accessor :strategy, :start_date, :end_date
7
-
8
- def initialize(start_date:, end_date:, strategy:)
9
- @start_date = start_date
10
- @end_date = end_date
11
- @strategy = strategies[strategy.to_sym]
12
- end
13
-
14
- def interest_day_count_factor
15
- raise StandardError, "Strategy is not set" if @strategy.nil?
16
-
17
- @strategy.new(start_date: @start_date, end_date: @end_date).day_count_factor
18
- end
19
-
20
- private
21
-
22
- def strategies
23
- @strategies ||= {
24
- isda_act_360: InterestDays::Calculation::IsdaAct360,
25
- isda_act_364: InterestDays::Calculation::IsdaAct364,
26
- isda_act_365: InterestDays::Calculation::IsdaAct365,
27
- isda_act_act: InterestDays::Calculation::IsdaActAct,
28
- isda_30_e_360: InterestDays::Calculation::Isda30e360,
29
- bond_basis_30_360: InterestDays::Calculation::Isda30e360,
30
- us_eom_30_360: InterestDays::Calculation::UsEom30360,
31
- icma_act_act: InterestDays::Calculation::IcmaActAct
32
- }
33
- end
34
- end
35
- end
@@ -1,5 +0,0 @@
1
- # frozen_string_literal: true
2
-
3
- module InterestDays
4
- VERSION = "0.5.0"
5
- end
data/lib/interest_days.rb DELETED
@@ -1,18 +0,0 @@
1
- # frozen_string_literal: true
2
-
3
- require_relative "interest_days/version"
4
- require "interest_days/calculator"
5
- require "interest_days/calculation/base"
6
- require "interest_days/calculation/thirty_threesixty_base"
7
- require "interest_days/calculation/us_eom_30_360"
8
- require "interest_days/calculation/isda_act_360"
9
- require "interest_days/calculation/isda_act_364"
10
- require "interest_days/calculation/isda_act_365"
11
- require "interest_days/calculation/isda_act_act"
12
- require "interest_days/calculation/icma_act_act"
13
- require "interest_days/calculation/isda_30_e_360"
14
-
15
- module InterestDays
16
- class Error < StandardError; end
17
- # Your code goes here...
18
- end