merge coupdaybs, coupdays, coupdaysnc, coupncd, coupnum, couppcd #59
This commit is contained in:
Brian Hung
committed by
Nicolás Hatcher
Nicolás Hatcher
parent
15b67323ed
commit
895fb649da
@@ -42,36 +42,39 @@ fn is_less_than_one_year(start_date: i64, end_date: i64) -> Result<bool, String>
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}
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fn is_leap_year(year: i32) -> bool {
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(year % 4 == 0 && year % 100 != 0) || year % 400 == 0
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(year % 4 == 0) && (year % 100 != 0 || year % 400 == 0)
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}
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fn is_last_day_of_feb(date: chrono::NaiveDate) -> bool {
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date.month() == 2 && date.day() == if is_leap_year(date.year()) { 29 } else { 28 }
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}
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fn days360_us(start: chrono::NaiveDate, end: chrono::NaiveDate) -> i32 {
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let mut d1 = start.day() as i32;
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let m1 = start.month() as i32;
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let y1 = start.year();
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let mut d2 = end.day() as i32;
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let mut m2 = end.month() as i32;
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let mut y2 = end.year();
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let m1 = start.month() as i32;
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let m2 = end.month() as i32;
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let y1 = start.year();
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let y2 = end.year();
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if d1 == 31 || (m1 == 2 && (d1 == 29 || (d1 == 28 && !is_leap_year(y1)))) {
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// US (NASD) 30/360 method - implementing official specification
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// Rule 1: If both date A and B fall on the last day of February, then date B will be changed to the 30th
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if is_last_day_of_feb(start) && is_last_day_of_feb(end) {
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d2 = 30;
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}
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// Rule 2: If date A falls on the 31st of a month or last day of February, then date A will be changed to the 30th
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if d1 == 31 || is_last_day_of_feb(start) {
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d1 = 30;
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}
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if d2 == 31 {
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if d1 != 30 {
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d2 = 1;
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if m2 == 12 {
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y2 += 1;
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m2 = 1;
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} else {
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m2 += 1;
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}
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} else {
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d2 = 30;
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}
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// Rule 3: If date A falls on the 30th after applying rule 2 and date B falls on the 31st, then date B will be changed to the 30th
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if d1 == 30 && d2 == 31 {
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d2 = 30;
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}
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d2 + m2 * 30 + y2 * 360 - d1 - m1 * 30 - y1 * 360
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360 * (y2 - y1) + 30 * (m2 - m1) + (d2 - d1)
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}
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fn days360_eu(start: chrono::NaiveDate, end: chrono::NaiveDate) -> i32 {
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@@ -99,12 +102,24 @@ fn days_30us_360(start: chrono::NaiveDate, end: chrono::NaiveDate) -> i32 {
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let m2 = end.month() as i32;
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let y1 = start.year();
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let y2 = end.year();
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if d1 == 31 {
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d1 = 30;
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}
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if d2 == 31 && (d1 == 30 || d1 == 31) {
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// US (NASD) 30/360 method - same as days360_us, implementing official specification
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// Rule 1: If both date A and B fall on the last day of February, then date B will be changed to the 30th
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if is_last_day_of_feb(start) && is_last_day_of_feb(end) {
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d2 = 30;
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}
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// Rule 2: If date A falls on the 31st of a month or last day of February, then date A will be changed to the 30th
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if d1 == 31 || is_last_day_of_feb(start) {
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d1 = 30;
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}
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// Rule 3: If date A falls on the 30th after applying rule 2 and date B falls on the 31st, then date B will be changed to the 30th
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if d1 == 30 && d2 == 31 {
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d2 = 30;
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}
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(y2 - y1) * 360 + (m2 - m1) * 30 + (d2 - d1)
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}
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@@ -177,6 +192,34 @@ fn year_fraction(
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Ok(days)
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}
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fn days_between_dates(start: chrono::NaiveDate, end: chrono::NaiveDate, basis: i32) -> i32 {
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match basis {
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0 => days360_us(start, end),
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1 | 2 => (end - start).num_days() as i32,
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3 => (end - start).num_days() as i32,
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4 => days360_eu(start, end),
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_ => (end - start).num_days() as i32,
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}
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}
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fn coupon_dates(
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settlement: chrono::NaiveDate,
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maturity: chrono::NaiveDate,
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freq: i32,
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) -> (chrono::NaiveDate, chrono::NaiveDate) {
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let months = 12 / freq;
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let step = chrono::Months::new(months as u32);
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let mut ncd = maturity;
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while let Some(prev) = ncd.checked_sub_months(step) {
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if settlement >= prev {
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return (prev, ncd);
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}
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ncd = prev;
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}
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// Fallback if we somehow exit the loop (shouldn't happen in practice)
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(settlement, maturity)
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}
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fn compute_payment(
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rate: f64,
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nper: f64,
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@@ -2477,6 +2520,316 @@ impl Model {
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CalcResult::Number(result)
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}
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// COUPDAYBS(settlement, maturity, frequency, [basis])
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pub(crate) fn fn_coupdaybs(&mut self, args: &[Node], cell: CellReferenceIndex) -> CalcResult {
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if args.len() < 3 || args.len() > 4 {
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return CalcResult::new_args_number_error(cell);
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}
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let settlement = match self.get_number_no_bools(&args[0], cell) {
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Ok(f) => f.trunc() as i64,
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Err(s) => return s,
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};
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let maturity = match self.get_number_no_bools(&args[1], cell) {
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Ok(f) => f.trunc() as i64,
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Err(s) => return s,
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};
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let frequency = match self.get_number_no_bools(&args[2], cell) {
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Ok(f) => f.trunc() as i32,
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Err(s) => return s,
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};
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let basis = if args.len() > 3 {
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match self.get_number_no_bools(&args[3], cell) {
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Ok(f) => f.trunc() as i32,
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Err(s) => return s,
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}
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} else {
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0
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};
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if ![1, 2, 4].contains(&frequency) || !(0..=4).contains(&basis) {
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return CalcResult::new_error(Error::NUM, cell, "invalid arguments".to_string());
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}
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if settlement >= maturity {
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return CalcResult::new_error(Error::NUM, cell, "settlement < maturity".to_string());
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}
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let settlement_date = match from_excel_date(settlement) {
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Ok(d) => d,
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Err(_) => return CalcResult::new_error(Error::NUM, cell, "Invalid date".to_string()),
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};
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let maturity_date = match from_excel_date(maturity) {
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Ok(d) => d,
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Err(_) => return CalcResult::new_error(Error::NUM, cell, "Invalid date".to_string()),
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};
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let (pcd, _) = coupon_dates(settlement_date, maturity_date, frequency);
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let days = days_between_dates(pcd, settlement_date, basis);
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CalcResult::Number(days as f64)
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}
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// COUPDAYS(settlement, maturity, frequency, [basis])
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pub(crate) fn fn_coupdays(&mut self, args: &[Node], cell: CellReferenceIndex) -> CalcResult {
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if args.len() < 3 || args.len() > 4 {
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return CalcResult::new_args_number_error(cell);
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}
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let settlement = match self.get_number_no_bools(&args[0], cell) {
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Ok(f) => f.trunc() as i64,
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Err(s) => return s,
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};
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let maturity = match self.get_number_no_bools(&args[1], cell) {
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Ok(f) => f.trunc() as i64,
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Err(s) => return s,
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};
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let frequency = match self.get_number_no_bools(&args[2], cell) {
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Ok(f) => f.trunc() as i32,
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Err(s) => return s,
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};
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let basis = if args.len() > 3 {
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match self.get_number_no_bools(&args[3], cell) {
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Ok(f) => f.trunc() as i32,
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Err(s) => return s,
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}
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} else {
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0
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};
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if ![1, 2, 4].contains(&frequency) || !(0..=4).contains(&basis) {
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return CalcResult::new_error(Error::NUM, cell, "invalid arguments".to_string());
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}
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if settlement >= maturity {
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return CalcResult::new_error(Error::NUM, cell, "settlement < maturity".to_string());
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}
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let settlement_date = match from_excel_date(settlement) {
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Ok(d) => d,
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Err(_) => return CalcResult::new_error(Error::NUM, cell, "Invalid date".to_string()),
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};
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let maturity_date = match from_excel_date(maturity) {
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Ok(d) => d,
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Err(_) => return CalcResult::new_error(Error::NUM, cell, "Invalid date".to_string()),
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};
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let (pcd, ncd) = coupon_dates(settlement_date, maturity_date, frequency);
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let days = match basis {
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0 | 4 => 360 / frequency, // 30/360 conventions
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_ => days_between_dates(pcd, ncd, basis), // Actual day counts
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};
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CalcResult::Number(days as f64)
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}
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// COUPDAYSNC(settlement, maturity, frequency, [basis])
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pub(crate) fn fn_coupdaysnc(&mut self, args: &[Node], cell: CellReferenceIndex) -> CalcResult {
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if args.len() < 3 || args.len() > 4 {
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return CalcResult::new_args_number_error(cell);
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}
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let settlement = match self.get_number_no_bools(&args[0], cell) {
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Ok(f) => f.trunc() as i64,
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Err(s) => return s,
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};
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let maturity = match self.get_number_no_bools(&args[1], cell) {
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Ok(f) => f.trunc() as i64,
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Err(s) => return s,
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};
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let frequency = match self.get_number_no_bools(&args[2], cell) {
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Ok(f) => f.trunc() as i32,
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Err(s) => return s,
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};
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let basis = if args.len() > 3 {
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match self.get_number_no_bools(&args[3], cell) {
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Ok(f) => f.trunc() as i32,
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Err(s) => return s,
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}
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} else {
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0
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};
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if ![1, 2, 4].contains(&frequency) || !(0..=4).contains(&basis) {
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return CalcResult::new_error(Error::NUM, cell, "invalid arguments".to_string());
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}
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if settlement >= maturity {
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return CalcResult::new_error(Error::NUM, cell, "settlement < maturity".to_string());
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}
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let settlement_date = match from_excel_date(settlement) {
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Ok(d) => d,
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Err(_) => return CalcResult::new_error(Error::NUM, cell, "Invalid date".to_string()),
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};
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let maturity_date = match from_excel_date(maturity) {
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Ok(d) => d,
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Err(_) => return CalcResult::new_error(Error::NUM, cell, "Invalid date".to_string()),
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};
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let (_, ncd) = coupon_dates(settlement_date, maturity_date, frequency);
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let days = days_between_dates(settlement_date, ncd, basis);
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CalcResult::Number(days as f64)
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}
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// COUPNCD(settlement, maturity, frequency, [basis])
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pub(crate) fn fn_coupncd(&mut self, args: &[Node], cell: CellReferenceIndex) -> CalcResult {
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if args.len() < 3 || args.len() > 4 {
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return CalcResult::new_args_number_error(cell);
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}
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let settlement = match self.get_number_no_bools(&args[0], cell) {
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Ok(f) => f.trunc() as i64,
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Err(s) => return s,
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};
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let maturity = match self.get_number_no_bools(&args[1], cell) {
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Ok(f) => f.trunc() as i64,
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Err(s) => return s,
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};
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let frequency = match self.get_number_no_bools(&args[2], cell) {
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Ok(f) => f.trunc() as i32,
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Err(s) => return s,
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};
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let basis = if args.len() > 3 {
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match self.get_number_no_bools(&args[3], cell) {
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Ok(f) => f.trunc() as i32,
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Err(s) => return s,
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}
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} else {
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0
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};
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if ![1, 2, 4].contains(&frequency) || !(0..=4).contains(&basis) {
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return CalcResult::new_error(Error::NUM, cell, "invalid arguments".to_string());
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}
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if settlement >= maturity {
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return CalcResult::new_error(Error::NUM, cell, "settlement < maturity".to_string());
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}
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let settlement_date = match from_excel_date(settlement) {
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Ok(d) => d,
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Err(_) => return CalcResult::new_error(Error::NUM, cell, "Invalid date".to_string()),
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};
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let maturity_date = match from_excel_date(maturity) {
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Ok(d) => d,
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Err(_) => return CalcResult::new_error(Error::NUM, cell, "Invalid date".to_string()),
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};
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let (_, ncd) = coupon_dates(settlement_date, maturity_date, frequency);
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match crate::formatter::dates::date_to_serial_number(ncd.day(), ncd.month(), ncd.year()) {
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Ok(n) => {
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if !(MINIMUM_DATE_SERIAL_NUMBER..=MAXIMUM_DATE_SERIAL_NUMBER).contains(&n) {
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CalcResult::new_error(Error::NUM, cell, "date out of range".to_string())
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} else {
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CalcResult::Number(n as f64)
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}
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}
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Err(msg) => CalcResult::new_error(Error::NUM, cell, msg),
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}
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}
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// COUPNUM(settlement, maturity, frequency, [basis])
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pub(crate) fn fn_coupnum(&mut self, args: &[Node], cell: CellReferenceIndex) -> CalcResult {
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if args.len() < 3 || args.len() > 4 {
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return CalcResult::new_args_number_error(cell);
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}
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let settlement = match self.get_number_no_bools(&args[0], cell) {
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Ok(f) => f.trunc() as i64,
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Err(s) => return s,
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};
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let maturity = match self.get_number_no_bools(&args[1], cell) {
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Ok(f) => f.trunc() as i64,
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Err(s) => return s,
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};
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let frequency = match self.get_number_no_bools(&args[2], cell) {
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Ok(f) => f.trunc() as i32,
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Err(s) => return s,
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};
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let basis = if args.len() > 3 {
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match self.get_number_no_bools(&args[3], cell) {
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Ok(f) => f.trunc() as i32,
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Err(s) => return s,
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}
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} else {
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0
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};
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if ![1, 2, 4].contains(&frequency) || !(0..=4).contains(&basis) {
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return CalcResult::new_error(Error::NUM, cell, "invalid arguments".to_string());
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}
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if settlement >= maturity {
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return CalcResult::new_error(Error::NUM, cell, "settlement < maturity".to_string());
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}
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let settlement_date = match from_excel_date(settlement) {
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Ok(d) => d,
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Err(_) => return CalcResult::new_error(Error::NUM, cell, "Invalid date".to_string()),
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};
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let maturity_date = match from_excel_date(maturity) {
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Ok(d) => d,
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Err(_) => return CalcResult::new_error(Error::NUM, cell, "Invalid date".to_string()),
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};
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let months = 12 / frequency;
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let step = chrono::Months::new(months as u32);
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let mut date = maturity_date;
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let mut count = 0;
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while settlement_date < date {
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count += 1;
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date = match date.checked_sub_months(step) {
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Some(new_date) => new_date,
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None => break, // Safety check to avoid infinite loop
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};
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}
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CalcResult::Number(count as f64)
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}
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// COUPPCD(settlement, maturity, frequency, [basis])
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pub(crate) fn fn_couppcd(&mut self, args: &[Node], cell: CellReferenceIndex) -> CalcResult {
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if args.len() < 3 || args.len() > 4 {
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return CalcResult::new_args_number_error(cell);
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}
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let settlement = match self.get_number_no_bools(&args[0], cell) {
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Ok(f) => f.trunc() as i64,
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Err(s) => return s,
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};
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let maturity = match self.get_number_no_bools(&args[1], cell) {
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Ok(f) => f.trunc() as i64,
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Err(s) => return s,
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};
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let frequency = match self.get_number_no_bools(&args[2], cell) {
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Ok(f) => f.trunc() as i32,
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Err(s) => return s,
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};
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let basis = if args.len() > 3 {
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match self.get_number_no_bools(&args[3], cell) {
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Ok(f) => f.trunc() as i32,
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Err(s) => return s,
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}
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} else {
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0
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};
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if ![1, 2, 4].contains(&frequency) || !(0..=4).contains(&basis) {
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return CalcResult::new_error(Error::NUM, cell, "invalid arguments".to_string());
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}
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if settlement >= maturity {
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return CalcResult::new_error(Error::NUM, cell, "settlement < maturity".to_string());
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}
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let settlement_date = match from_excel_date(settlement) {
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Ok(d) => d,
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Err(_) => return CalcResult::new_error(Error::NUM, cell, "Invalid date".to_string()),
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};
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let maturity_date = match from_excel_date(maturity) {
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Ok(d) => d,
|
||||
Err(_) => return CalcResult::new_error(Error::NUM, cell, "Invalid date".to_string()),
|
||||
};
|
||||
|
||||
let (pcd, _) = coupon_dates(settlement_date, maturity_date, frequency);
|
||||
match crate::formatter::dates::date_to_serial_number(pcd.day(), pcd.month(), pcd.year()) {
|
||||
Ok(n) => {
|
||||
if !(MINIMUM_DATE_SERIAL_NUMBER..=MAXIMUM_DATE_SERIAL_NUMBER).contains(&n) {
|
||||
CalcResult::new_error(Error::NUM, cell, "date out of range".to_string())
|
||||
} else {
|
||||
CalcResult::Number(n as f64)
|
||||
}
|
||||
}
|
||||
Err(msg) => CalcResult::new_error(Error::NUM, cell, msg),
|
||||
}
|
||||
}
|
||||
|
||||
// DOLLARDE(fractional_dollar, fraction)
|
||||
pub(crate) fn fn_dollarde(&mut self, args: &[Node], cell: CellReferenceIndex) -> CalcResult {
|
||||
if args.len() != 2 {
|
||||
|
||||
Reference in New Issue
Block a user