interest_days 0.3.0 → 0.4.0

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data/CHANGELOG.md

@@ -1,4 +1,11 @@
 
+## [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
 ==================
 

data/Gemfile.lock

@@ -1,7 +1,7 @@
 PATH
   remote: .
   specs:
-    interest_days (0.3.0)
+    interest_days (0.4.0)
 
 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

@@ -34,6 +34,7 @@ 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

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_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

@@ -24,6 +24,7 @@ module InterestDays
         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 = "0.3.0"
+  VERSION = "0.4.0"
 end

data/lib/interest_days.rb

@@ -8,6 +8,7 @@ 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: 0.3.0
+  version: 0.4.0
 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: 2022-03-29 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: rspec
@@ -80,6 +80,7 @@ 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