/*
Copyright (C) 2008 Richard Gomes
This source code is release under the BSD License.
This file is part of JQuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://jquantlib.org/
JQuantLib is free software: you can redistribute it and/or modify it
under the terms of the JQuantLib license. You should have received a
copy of the license along with this program; if not, please email
<jquant-devel@lists.sourceforge.net>. The license is also available online at
<http://www.jquantlib.org/index.php/LICENSE.TXT>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
JQuantLib is based on QuantLib. http://quantlib.org/
When applicable, the original copyright notice follows this notice.
*/
/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2003, 2004, 2005, 2006, 2007 StatPro Italia srl
Copyright (C) 2004, 2005, 2006 Ferdinando Ametrano
Copyright (C) 2006 Katiuscia Manzoni
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
package org.jquantlib.time;
import org.jquantlib.QL;
import org.jquantlib.Settings;
/**
* Main cycle of the International %Money Market (a.k.a. %IMM) months
*
* @see <a href="http://en.wikipedia.org/wiki/International_Monetary_Market">International Monetary Market</a>
*
* @author Richard Gomes
* @author Srinivas Hasti
*/
//TODO: Improve comments
public class IMM {
/**
* Checks if Date is an IMM date or not
*
* @param date
* @return
*/
public static boolean isIMMdate(final Date date) {
return isIMMdate(date, true);
}
/**
* Returns whether or not the given date is an IMM date. For non main cycle,
* third Wednesday in a month is returned true,
*
* @param date
* @param mainCycle
* @return
*/
public static boolean isIMMdate(final Date date, final boolean mainCycle) {
if (date.weekday()!=Weekday.Wednesday) {
return false;
}
final int d = date.dayOfMonth();
if (d<15 || d>21) {
return false;
}
if (!mainCycle) {
return true;
}
final Month m = date.month();
return (m==Month.March || m==Month.June || m==Month.September || m==Month.December);
}
/**
* Checks if Strings specifies a IMM code or not
*
* @param in
* @return
*/
public static boolean isIMMcode(final String in) {
return isIMMcode(in, true);
}
/**
* Returns whether or not the given string is an IMM code
*
* @param in
* @param mainCycle
* @return
*/
public static boolean isIMMcode(final String in, final boolean mainCycle) {
if (in.length() != 2) {
return false;
}
if ("0123456789".indexOf(in.charAt(1))==-1) {
return false;
}
String str1;
if (mainCycle) {
str1 = "hmzuHMZU";
} else {
str1 = "fghjkmnquvxzFGHJKMNQUVXZ";
}
if (str1.indexOf(in.charAt(0))==-1) {
return false;
}
return true;
}
/**
* Returns Date from IMM code
*
* @param immCode
* @return
*/
public static Date date(final String immCode) {
return date(immCode, new Date());
}
/**
* Returns the IMM date for the given IMM code (e.g. March 20th, 2013 for H3).
* When <code>Date.NULL_DATE</code> is passed, <code>Settings.getEvaluationDate</code> is used as
* a reference date.
*
* @param immCode
* @param refDate
* @return
*/
// FIXME: this method is potentially harmful in heavily multi-threaded environments
public static Date date(final String immCode, final Date refDate) {
QL.require(isIMMcode(immCode, false) , "not a valid IMM code"); // QA:[RG]::verified // TODO: message
Date referenceDate;
if (refDate.isNull()) {
referenceDate = new Settings().evaluationDate();
} else {
referenceDate = refDate;
}
final char code = immCode.charAt(0);
final Month m = Month.valueOf(code);
int y = immCode.charAt(1) - '0';
/* year<1900 are not valid QuantLib years: to avoid a run-time
exception few lines below we need to add 10 years right away */
if (y==0 && referenceDate.year()<=1909) {
y+=10;
}
final int yMod = (referenceDate.year() % 10);
y += referenceDate.year() - yMod;
final Date result = nextDate(new Date(1, m, y), false);
if (result.lt(referenceDate)) {
return nextDate(new Date(1, m, y+10), false);
}
return result;
}
/**
* Returns next main cycle IMM Date using Settings.getEvaluationDate as reference date.
*
* @return
*/
public static Date nextDate() {
return nextDate(new Date(), true);
}
/**
* Returns next main cycle IMM Date from the specified date.
*
*
* @param date
* @return
*/
public static Date nextDate(final Date date) {
return nextDate(date, true);
}
/**
* next IMM date following the given date.
* <p>
*
* When <code>Date.NULL_DATE</code> is passed, <code>Settings.getEvaluationDate</code> is used as a reference date.
*
* @param date
* @param mainCycle
* @return the 1st delivery date for next contract listed in the
* International Money Market section of the Chicago Mercantile
* Exchange.
*/
public static Date nextDate(final Date date, final boolean mainCycle) {
Date refDate;
if (date.isNull()) {
refDate = new Settings().evaluationDate();
} else {
refDate = date;
}
int y = refDate.year();
int m = refDate.month().value();
final int offset = mainCycle ? 3 : 1;
int skipMonths = offset-(m%offset);
if (skipMonths != offset || refDate.dayOfMonth() > 21) {
skipMonths += m;
if (skipMonths<=12) {
m = skipMonths;
} else {
m = skipMonths-12;
y += 1;
}
}
Date result = Date.nthWeekday(3, Weekday.Wednesday, Month.valueOf(m), y);
if (result.le(refDate)) {
result = nextDate(new Date(22, Month.valueOf(m), y), mainCycle);
}
return result;
}
/**
* Returns next main cycle IMM date from the given IMM code
*
* @param immCode
* @return
*/
public static Date nextDate(final String immCode) {
return nextDate(immCode, true, new Date());
}
/**
* Returns next IMM date from the given IMM code
*
* @param immCode
* @param mainCycle
* @return
*/
public static Date nextDate(final String immCode, final boolean mainCycle) {
return nextDate(immCode, mainCycle, new Date());
}
/**
* Next IMM date following the given IMM code
*
* @param IMMcode
* @param mainCycle
* @param referenceDate
* @return the 1st delivery date for next contract listed in the
* International Money Market section of the Chicago Mercantile
* Exchange.
*/
public static Date nextDate(final String IMMcode, final boolean mainCycle, final Date referenceDate) {
final Date immDate = date(IMMcode, referenceDate);
return nextDate(immDate.inc(), mainCycle);
}
/**
* Returns next main cycle IMM code from the reference date
*
* @return
*/
public static String nextCode() {
return nextCode(new Date());
}
/**
* Returns next cycle IMM code from the specified date
* @param d
* @return
*/
public static String nextCode(final Date d) {
return nextCode(d, true);
}
/**
* Returns next cycle IMM code
*
* @param d
* @param mainCycle
* @return the IMM code for next contract listed in the
* International Money Market section of the Chicago Mercantile
* Exchange.
*/
public static String nextCode(final Date d,
final boolean mainCycle) {
final Date date = nextDate(d, mainCycle);
return code(date);
}
/**
* Returns next main cycle IMM code from the given IMM Code.
*
* @param immCode
* @return
*/
public static String nextCode(final String immCode) {
return nextCode(immCode, true);
}
/**
* Returns next IMM code from the given IMM code
*
* @param immCode
* @param mainCycle
* @return
*/
public static String nextCode(final String immCode, final boolean mainCycle) {
return nextCode(immCode, mainCycle, new Date());
}
/**
* Return next IMM code from the given IMM code and reference date
*
* @param immCode
* @param mainCycle
* @param referenceDate
* @return the IMM code for next contract listed in the
* International Money Market section of the Chicago Mercantile
* Exchange.
*/
public static String nextCode(final String immCode, final boolean mainCycle, final Date referenceDate) {
final Date date = nextDate(immCode, mainCycle, referenceDate);
return code(date);
}
/**
* Returns the IMM code for the given date (e.g. H3 for March 20th, 2013).
*
* @param date
* @return
*/
// FIXME: this method is potentially harmful in heavily multi-threaded environments
public static String code(final Date date) {
QL.require(isIMMdate(date, false) , "not an IMM date"); // QA:[RG]::verified // TODO: message
final int y = date.year() % 10;
final char code = date.month().getImmChar();
final StringBuilder sb = new StringBuilder();
sb.append(code).append(y);
final String imm = sb.toString();
QL.ensure(isIMMcode(imm, false) , "the result is an invalid IMM code"); // QA:[RG]::verified // TODO: message
return imm;
}
}