interest_days 0.4.1 → 0.5.0

checksums.yaml

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

@@ -13,7 +13,9 @@ jobs:
         ruby-version: '2.7.3'
         bundler-cache: true
     - name: Run the default task
-      run: bundle exec rake
+      run: COVERAGE=true bundle exec rake
+      env:
+        token: ${{ secrets.CODECOV_TOKEN }}
     - name: Upload coverage to Codecov
       uses: codecov/codecov-action@v2
       with:

data/.gitignore

@@ -10,3 +10,4 @@
 # rspec failure tracking
 .rspec_status
 .history/*
+.DS_Store

data/CHANGELOG.md

@@ -1,4 +1,8 @@
 
+## [0.5.0] / 2022-11-07
+==================
+  * Add ICMA act/act strategy.
+
 ## [0.4.1] / 2022-04-12
 ==================
 
@@ -9,7 +13,7 @@
 
   * Update readme file.
   * Bump version to 0.4.0.
-  * Add Isda Act Act strategy. #11
+  * Add Isda act/act strategy. #11
 
 ## [0.3.0] / 2022-02-03
 ==================

data/Gemfile

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

data/Gemfile.lock

@@ -1,7 +1,7 @@
 PATH
   remote: .
   specs:
-    interest_days (0.4.1)
+    interest_days (0.5.0)
 
 GEM
   remote: https://rubygems.org/
@@ -9,11 +9,16 @@ GEM
     ast (2.4.2)
     codecov (0.6.0)
       simplecov (>= 0.15, < 0.22)
+    coderay (1.1.3)
     diff-lcs (1.4.4)
     docile (1.4.0)
+    method_source (1.0.0)
     parallel (1.20.1)
     parser (3.0.2.0)
       ast (~> 2.4.1)
+    pry (0.13.1)
+      coderay (~> 1.1)
+      method_source (~> 1.0)
     rainbow (3.0.0)
     rake (13.0.6)
     regexp_parser (2.1.1)
@@ -64,6 +69,7 @@ PLATFORMS
 DEPENDENCIES
   codecov (~> 0.6.0)
   interest_days!
+  pry (~> 0.13.1)
   rake (~> 13.0)
   rspec (~> 3.0)
   rubocop (~> 1.7)

data/README.md

@@ -1,7 +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.
+This gem provides interest day factor calculation based on ISDA conventions e.g. Isda Act 360.
+- Since version 0.2 interest_day gem supported 30/360 US EOM and 30/360 Bond Basis conventions.
 - Since version 0.3 the gem also supports Isda Act 364
 
 ## Installation
@@ -22,7 +22,7 @@ Or install it yourself as:
 
 ## Usage
 
-You can simple use the InterestDays::Calculator like:
+You can simply use the InterestDays::Calculator like:
 
 ```ruby
 calculator = InterestDays::Calculator.new(start_date: start, end_date: end, strategy: :isda_act_360)
@@ -30,7 +30,7 @@ calculator = InterestDays::Calculator.new(start_date: start, end_date: end, stra
 calculator.interest_day_count_factor
 ```
 
-currently there a five supported conventions:
+currently, there are five supported conventions:
 - :isda_act_360
 - :isda_act_364
 - :isda_act_365
@@ -38,6 +38,7 @@ currently there a five supported conventions:
 - :isda_30_e_360
 - :us_eom_30_360
 - :bond_basis_30_360
+- :icma_act_act
 
 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.
 

data/interest_days.gemspec

@@ -31,10 +31,12 @@ Gem::Specification.new do |spec|
 
   # Uncomment to register a new dependency of your gem
   # spec.add_dependency "example-gem", "~> 1.0"
+  spec.add_development_dependency "pry", "~> 0.13.1"
   spec.add_development_dependency "rspec", "~> 3.2"
   spec.add_development_dependency "rubocop-rake"
   spec.add_development_dependency "rubocop-rspec"
 
   # For more information and examples about making a new gem, checkout our
   # guide at: https://bundler.io/guides/creating_gem.html
+  spec.metadata["rubygems_mfa_required"] = "true"
 end

data/lib/interest_days/calculation/icma_act_act.rb

@@ -0,0 +1,71 @@
+# frozen_string_literal: true
+
+module InterestDays
+  module Calculation
+    # ISDA Act Act Convention calculation
+    class IcmaActAct < Base
+      DAYS_IN_YEAR = 365
+      DAYS_IN_LEAP_YEAR = 366
+
+      def day_count_factor
+        return days.fdiv(start_date_days_in_year) if start_date_and_end_date_in_same_year?
+
+        if years_in_between_factor > 1
+          return start_date_period_factor + years_in_between_factor + end_date_period_factor
+        end
+
+        days.fdiv(year_days_in_period)
+      end
+
+      private
+
+      def year_days_in_period
+        period_contains_leap_day? ? DAYS_IN_LEAP_YEAR : DAYS_IN_YEAR
+      end
+
+      def period_contains_leap_day?
+        !leap_day.nil? && leap_day.between?(start_date, end_date)
+      end
+
+      def leap_day
+        @leap_day ||= if start_date.leap?
+                        Date.new(start_date.year, 2, 29)
+                      elsif end_date.leap?
+                        Date.new(end_date.year, 2, 29)
+                      end
+      end
+
+      def start_date_period_factor
+        (start_date_days_in_year - start_date.yday).fdiv(start_date_days_in_year)
+      end
+
+      def end_date_period_factor
+        end_date.yday.fdiv(end_date_days_in_year)
+      end
+
+      def years_in_between_factor
+        (end_date.year - start_date.year) - 1
+      end
+
+      def start_date_period_with_leap_date?
+        start_date.leap? && start_date.month < 3
+      end
+
+      def end_date_period_with_leap_date?
+        end_date.leap? && end_date >= Date.new(end_date.year, 2, 29)
+      end
+
+      def start_date_and_end_date_in_same_year?
+        start_date.year.eql?(end_date.year)
+      end
+
+      def start_date_days_in_year
+        start_date_period_with_leap_date? ? DAYS_IN_LEAP_YEAR : DAYS_IN_YEAR
+      end
+
+      def end_date_days_in_year
+        end_date_period_with_leap_date? ? DAYS_IN_LEAP_YEAR : DAYS_IN_YEAR
+      end
+    end
+  end
+end

data/lib/interest_days/calculation/us_eom_30_360.rb

@@ -8,8 +8,8 @@ module InterestDays
 
       # 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))) ||
+        if ((@start_date.month == 2 && @start_date.day == days_in_month_for(@start_date)) &&
+           (@end_date.month == 2 && @end_date.day == days_in_month_for(@end_date))) ||
            (@end_date.day == 31 && @start_date.day >= 30)
           RELEVANT_DAY_IN_MONTH
         else
@@ -19,7 +19,7 @@ module InterestDays
 
       # D1 day
       def start_date_days
-        if (@start_date.month == 2 && @start_date.date == days_in_month_for(@start_date)) || @start_date.day == 31
+        if (@start_date.month == 2 && @start_date.day == days_in_month_for(@start_date)) || @start_date.day == 31
           RELEVANT_DAY_IN_MONTH
         else
           @start_date.day

data/lib/interest_days/calculator.rb

@@ -27,7 +27,8 @@ module InterestDays
         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
+        us_eom_30_360: InterestDays::Calculation::UsEom30360,
+        icma_act_act: InterestDays::Calculation::IcmaActAct
       }
     end
   end

data/lib/interest_days/version.rb

@@ -1,5 +1,5 @@
 # frozen_string_literal: true
 
 module InterestDays
-  VERSION = "0.4.1"
+  VERSION = "0.5.0"
 end

data/lib/interest_days.rb

@@ -9,6 +9,7 @@ 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/icma_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: 0.4.1
+  version: 0.5.0
 platform: ruby
 authors:
 - Eugen Mueller
@@ -9,8 +9,22 @@ authors:
 autorequire: 
 bindir: exe
 cert_chain: []
-date: 2022-04-12 00:00:00.000000000 Z
+date: 2022-11-07 00:00:00.000000000 Z
 dependencies:
+- !ruby/object:Gem::Dependency
+  name: pry
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: 0.13.1
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: 0.13.1
 - !ruby/object:Gem::Dependency
   name: rspec
   requirement: !ruby/object:Gem::Requirement
@@ -75,6 +89,7 @@ files:
 - interest_days.gemspec
 - lib/interest_days.rb
 - lib/interest_days/calculation/base.rb
+- lib/interest_days/calculation/icma_act_act.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
@@ -91,6 +106,7 @@ 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/blob/v0.2.0/CHANGELOG.md
+  rubygems_mfa_required: 'true'
 post_install_message: 
 rdoc_options: []
 require_paths:
@@ -106,7 +122,7 @@ required_rubygems_version: !ruby/object:Gem::Requirement
     - !ruby/object:Gem::Version
       version: '0'
 requirements: []
-rubygems_version: 3.1.6
+rubygems_version: 3.3.17
 signing_key: 
 specification_version: 4
 summary: Interest day calculation