DateMeasure

DateMeasureKit.py

'''
:Name:      DateMeasureKit

:Descr:     The way we make calculations based on the number of days between two dates

:Synopsis:  Contains a set of conventions for determining the day-count between two dates. Finds both the number of days between two dates and the corresponding day count factor.  

:Author:    dpollini
            tmaloney

:Platform:  Linux
'''

import QuantLib

class DateMeasure(object):
    """An abstract base class for date measures"""

    name = None
    
    def measure_time(self, date, schedule):
        '''Returns a measure of time between date and
        schedule.prev_date(date)
        
        Keyword arguments:
        date -- SerialDate instance
        schedule -- Schedule instance
        '''
        pass
    
    def dcf(self, date, schedule):
        '''Returns the Day Count Factor -- a ratio of the measure between date
        and schedule.prev_date(date) and some other measure
        
        Keyword arguments:
        date -- SerialDate instance
        schedule -- Schedule instance
        '''
        pass

class Measure30360(DateMeasure):
    
    name = '30360'

    def measure_time(self, date, schedule):
        '''Returns a measure of time between date and
        schedule.prev_date(date) using the 30/360 day count convention
        
        Keyword arguments:
        date -- SerialDate instance
        schedule -- Schedule instance
        '''
        # Implements 30/360 calculation
        d1 = QuantLib.Date(schedule.prev_date(date).serial_date)
        d2 = QuantLib.Date(date.serial_date)
        day_counter = QuantLib.Thirty360()
        return day_counter.dayCount(d1, d2)
    
    def dcf(self, date, schedule):
        '''Returns the Day Count Factor -- ratio of
        self.measure_time(date, schedule) and 360.
        
        Keyword arguments:
        date -- SerialDate instance
        schedule -- Schedule instance
        '''
        return self.measure_time(date, schedule)/360.


class MeasureACT360(DateMeasure):
    
    name = 'ACT360'

    def measure_time(self, date, schedule):
        '''Returns a measure of time between date and
        schedule.prev_date(date) using the Actual/360 day count convention
        
        Keyword arguments:
        date -- SerialDate instance
        schedule -- Schedule instance
        '''
        # Implements ACT/360 calculation
        d1 = QuantLib.Date(schedule.prev_date(date).serial_date)
        d2 = QuantLib.Date(date.serial_date)
        day_counter = QuantLib.Actual360()
        return day_counter.dayCount(d1, d2)
    
    def dcf(self, date, schedule):
        '''Returns the Day Count Factor -- ratio of 
        self.measure_time(date, schedule) and 360.
        
        Keyword arguments:
        date -- SerialDate instance
        schedule -- Schedule instance
        '''
        return self.measure_time(date, schedule)/360.


class MeasureACT365(DateMeasure):
    
    name = 'ACT365'

    def measure_time(self, date, schedule):
        '''Returns a measure of time between date and
        schedule.prev_date(date) using the Actual 365 day count convention
        
        Keyword arguments:
        date -- SerialDate instance
        schedule -- Schedule instance
        '''
        # Implements ACT/365 calculation
        d1 = QuantLib.Date(schedule.prev_date(date).serial_date)
        d2 = QuantLib.Date(date.serial_date)
        day_counter = QuantLib.Actual365Fixed()
        return day_counter.dayCount(d1, d2)
    
    def dcf(self, date, schedule):
        '''Returns the Day Count Factor -- ratio of
        self.measure_time(date, schedule) and 365.
        
        Keyword arguments:
        date -- SerialDate instance
        schedule -- Schedule instance
        '''
        return self.measure_time(date, schedule)/365.


class MeasureACTACT(DateMeasure):
    
    name = 'ACTACT'

    def measure_time(self, date, schedule):
        '''Returns a measure of time between date and
        schedule.prev_date(date) using the Actual/Actual day count convention
        
        Keyword arguments:
        date -- SerialDate instance
        schedule -- Schedule instance
        '''
        # Implements ACT/365 calculation
        d1 = QuantLib.Date(schedule.prev_date(date).serial_date)
        d2 = QuantLib.Date(date.serial_date)
        day_counter = QuantLib.ActualActual()
        return day_counter.dayCount(d1, d2)
    
    def dcf(self, date, schedule):
        '''Returns the Day Count Factor -- ratio of
        self.measure_time(date, schedule) and
        self.measure_time(schedule.next_date(date), schedule)
        
        Keyword arguments:
        date -- SerialDate instance
        schedule -- Schedule instance
        '''
        payment_date = schedule.next_date(date)
        return float(self.measure_time(date, schedule)) / \
               self.measure_time(payment_date, schedule) 


_MEASURES = {}
_MEASURES[Measure30360.name] = Measure30360()
_MEASURES[MeasureACT360.name] = MeasureACT360()
_MEASURES[MeasureACT365.name] = MeasureACT365()
_MEASURES[MeasureACTACT.name] = MeasureACTACT()


def get_day_counter(name):
    """Returns the Measure object corresponding to name

    Keyword arguments:
    name -- String (e.g. 'ACT365')
    """
    return _MEASURES[name]

def get_names():
    """Returns the names of all available measures
    """
    return _MEASURES.keys()