interest_days 0.1.1 → 0.2.0

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data/.rubocop.yml

@@ -14,4 +14,7 @@ Layout/LineLength:
   Max: 120
 
 Naming/VariableNumber:
-  EnforcedStyle: snake_case
+  EnforcedStyle: snake_case
+
+Metrics/BlockLength:
+  Max: 50

data/Gemfile.lock

@@ -1,7 +1,7 @@
 PATH
   remote: .
   specs:
-    interest_days (0.1.1)
+    interest_days (0.2.0)
 
 GEM
   remote: https://rubygems.org/

data/README.md

@@ -1,6 +1,7 @@
 # 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. 
 
 ## Installation
 
@@ -22,14 +23,18 @@ Or install it yourself as:
 
 You can simple use the InterestDays::Calculator like:
 
-’’’
-InterestDays::Calculator.new(start_date: start, end_date: end, strategy: :isda_act_360)
-’’’
+    ```ruby
+    calculator = InterestDays::Calculator.new(start_date: start, end_date: end, strategy: :isda_act_360)
+    
+    calculator.interest_day_count_factor
+    ```
 
-current there a three supported conventions:
+currently there a three supported conventions:
 - :isda_act_360
 - :isda_act_365
 - :isda_30_e_360
+- :us_eom_30_360
+- :bond_basis_30_360
 
 
 ## Development

data/lib/interest_days/calculation/base.rb

@@ -12,7 +12,7 @@ module InterestDays
       end
 
       def day_count_factor
-        raise NotImplementedError, "#{self.class} has nit implemented method '#{__method__}"
+        raise NotImplementedError, "#{self.class} has not implemented method '#{__method__}"
       end
 
       private

data/lib/interest_days/calculation/isda_30_e_360.rb

@@ -3,25 +3,15 @@
 module InterestDays
   module Calculation
     # ISDA 30 E 360 Convention calculation
-    class Isda30e360 < Base
-      RELEVANT_DAYS_IN_YEAR = 360
-
-      def day_count_factor
-        (year_interval_in_days + month_interval_in_days + day_interval).fdiv(RELEVANT_DAYS_IN_YEAR)
-      end
-
+    class Isda30e360 < ThirtyThreesixtyBase
       private
 
-      def year_interval_in_days
-        360 * (@end_date.year - @start_date.year)
-      end
-
-      def month_interval_in_days
-        30 * (@end_date.month - @start_date.month)
+      def end_date_days
+        [@end_date.day, RELEVANT_DAY_IN_MONTH].min
       end
 
-      def day_interval
-        [@end_date.day, 30].min - [@start_date.day, 30].min
+      def start_date_days
+        [@start_date.day, RELEVANT_DAY_IN_MONTH].min
       end
     end
   end

data/lib/interest_days/calculation/thirty_threesixty_base.rb

@@ -0,0 +1,42 @@
+# frozen_string_literal: true
+
+module InterestDays
+  module Calculation
+    # ISDA 30 E 360 Convention calculation
+    class ThirtyThreesixtyBase < Base
+      RELEVANT_DAYS_IN_YEAR = 360
+      RELEVANT_DAY_IN_MONTH = 30
+
+      def day_count_factor
+        (year_interval_in_days + month_interval_in_days + day_interval).fdiv(RELEVANT_DAYS_IN_YEAR)
+      end
+
+      private
+
+      def year_interval_in_days
+        RELEVANT_DAYS_IN_YEAR * (@end_date.year - @start_date.year)
+      end
+
+      def month_interval_in_days
+        RELEVANT_DAY_IN_MONTH * (@end_date.month - @start_date.month)
+      end
+
+      def day_interval
+        end_date_days - start_date_days
+        # [@end_date.day, 30].min - [@start_date.day, 30].min
+      end
+
+      def end_date_days
+        raise NotImplementedError, "#{self.class} has not implemented method '#{__method__}"
+      end
+
+      def start_date_days
+        raise NotImplementedError, "#{self.class} has not implemented method '#{__method__}"
+      end
+
+      def days_in_month_for(date)
+        Date.new(date.year, date.month, -1).day
+      end
+    end
+  end
+end

data/lib/interest_days/calculation/us_eom_30_360.rb

@@ -0,0 +1,30 @@
+# frozen_string_literal: true
+
+module InterestDays
+  module Calculation
+    # ISDA 30 E 360 Convention calculation
+    class UsEom30360 < ThirtyThreesixtyBase
+      private
+
+      # D2 day
+      def end_date_days
+        if ((@start_date.month == 2 && @start_date.date == days_in_month_for(@start_date)) &&
+           (@end_date.month == 2 && @end_date.date == days_in_month_for(@end_date))) ||
+           (@end_date.day == 31 && @start_date.day >= 30)
+          RELEVANT_DAY_IN_MONTH
+        else
+          @end_date.day
+        end
+      end
+
+      # D1 day
+      def start_date_days
+        if (@start_date.month == 2 && @start_date.date == days_in_month_for(@start_date)) || @start_date.day == 31
+          RELEVANT_DAY_IN_MONTH
+        else
+          @start_date.day
+        end
+      end
+    end
+  end
+end

data/lib/interest_days/calculator.rb

@@ -23,7 +23,9 @@ module InterestDays
       @strategies ||= {
         isda_act_360: InterestDays::Calculation::IsdaAct360,
         isda_act_365: InterestDays::Calculation::IsdaAct365,
-        isda_30_e_360: InterestDays::Calculation::Isda30e360
+        isda_30_e_360: InterestDays::Calculation::Isda30e360,
+        bond_basis_30_360: InterestDays::Calculation::Isda30e360,
+        us_eom_30_360: InterestDays::Calculation::UsEom30360
       }
     end
   end

data/lib/interest_days/version.rb

@@ -1,5 +1,5 @@
 # frozen_string_literal: true
 
 module InterestDays
-  VERSION = "0.1.1"
+  VERSION = "0.2.0"
 end

data/lib/interest_days.rb

@@ -3,6 +3,8 @@
 require_relative "interest_days/version"
 require "interest_days/calculator"
 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_365"
 require "interest_days/calculation/isda_30_e_360"

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: interest_days
 version: !ruby/object:Gem::Version
-  version: 0.1.1
+  version: 0.2.0
 platform: ruby
 authors:
 - Eugen Mueller
 autorequire: 
 bindir: exe
 cert_chain: []
-date: 2021-10-04 00:00:00.000000000 Z
+date: 2021-10-08 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: rspec
@@ -77,6 +77,8 @@ files:
 - lib/interest_days/calculation/isda_30_e_360.rb
 - lib/interest_days/calculation/isda_act_360.rb
 - lib/interest_days/calculation/isda_act_365.rb
+- lib/interest_days/calculation/thirty_threesixty_base.rb
+- lib/interest_days/calculation/us_eom_30_360.rb
 - lib/interest_days/calculator.rb
 - lib/interest_days/version.rb
 homepage: https://github.com/eugenmueller/interest_days