fix cursor
This commit is contained in:
Brian Hung
committed by
Nicolás Hatcher
Nicolás Hatcher
parent
895fb649da
commit
f64a83e0a8
@@ -10,13 +10,20 @@ use crate::{
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use super::financial_util::{compute_irr, compute_npv, compute_rate, compute_xirr, compute_xnpv};
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// Financial calculation constants
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const DAYS_30_360: i32 = 360;
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const DAYS_ACTUAL: i32 = 365;
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const DAYS_LEAP_YEAR: i32 = 366;
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const DAYS_PER_MONTH_360: i32 = 30;
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const TBILL_THRESHOLD_DAYS: f64 = 183.0;
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// See:
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// https://github.com/apache/openoffice/blob/c014b5f2b55cff8d4b0c952d5c16d62ecde09ca1/main/scaddins/source/analysis/financial.cxx
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fn is_less_than_one_year(start_date: i64, end_date: i64) -> Result<bool, String> {
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let end = from_excel_date(end_date)?;
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let start = from_excel_date(start_date)?;
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if end_date - start_date < 365 {
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if end_date - start_date < DAYS_ACTUAL as i64 {
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return Ok(true);
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}
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let end_year = end.year();
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@@ -61,20 +68,20 @@ fn days360_us(start: chrono::NaiveDate, end: chrono::NaiveDate) -> i32 {
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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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d2 = DAYS_PER_MONTH_360;
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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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d1 = DAYS_PER_MONTH_360;
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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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if d1 == DAYS_PER_MONTH_360 && d2 == 31 {
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d2 = DAYS_PER_MONTH_360;
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}
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360 * (y2 - y1) + 30 * (m2 - m1) + (d2 - d1)
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DAYS_30_360 * (y2 - y1) + DAYS_PER_MONTH_360 * (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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@@ -86,13 +93,16 @@ fn days360_eu(start: chrono::NaiveDate, end: chrono::NaiveDate) -> i32 {
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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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d1 = DAYS_PER_MONTH_360;
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}
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if d2 == 31 {
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d2 = 30;
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d2 = DAYS_PER_MONTH_360;
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}
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d2 + m2 * 30 + y2 * 360 - d1 - m1 * 30 - y1 * 360
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d2 + m2 * DAYS_PER_MONTH_360 + y2 * DAYS_30_360
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- d1
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- m1 * DAYS_PER_MONTH_360
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- y1 * DAYS_30_360
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}
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fn days_30us_360(start: chrono::NaiveDate, end: chrono::NaiveDate) -> i32 {
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@@ -107,20 +117,20 @@ fn days_30us_360(start: chrono::NaiveDate, end: chrono::NaiveDate) -> i32 {
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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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d2 = DAYS_PER_MONTH_360;
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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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d1 = DAYS_PER_MONTH_360;
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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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if d1 == DAYS_PER_MONTH_360 && d2 == 31 {
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d2 = DAYS_PER_MONTH_360;
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}
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(y2 - y1) * 360 + (m2 - m1) * 30 + (d2 - d1)
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(y2 - y1) * DAYS_30_360 + (m2 - m1) * DAYS_PER_MONTH_360 + (d2 - d1)
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}
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fn days_30e_360(start: chrono::NaiveDate, end: chrono::NaiveDate) -> i32 {
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@@ -131,12 +141,12 @@ fn days_30e_360(start: chrono::NaiveDate, end: chrono::NaiveDate) -> 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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d1 = DAYS_PER_MONTH_360;
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}
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if d2 == 31 {
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d2 = 30;
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d2 = DAYS_PER_MONTH_360;
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}
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(y2 - y1) * 360 + (m2 - m1) * 30 + (d2 - d1)
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(y2 - y1) * DAYS_30_360 + (m2 - m1) * DAYS_PER_MONTH_360 + (d2 - d1)
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}
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fn days_between(start: i64, end: i64, basis: i32) -> Result<i32, String> {
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@@ -152,15 +162,15 @@ fn days_between(start: i64, end: i64, basis: i32) -> Result<i32, String> {
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fn days_in_year(date: chrono::NaiveDate, basis: i32) -> Result<i32, String> {
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Ok(match basis {
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0 | 2 | 4 => 360,
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0 | 2 | 4 => DAYS_30_360,
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1 => {
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if is_leap_year(date.year()) {
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366
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DAYS_LEAP_YEAR
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} else {
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365
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DAYS_ACTUAL
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}
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}
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3 => 365,
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3 => DAYS_ACTUAL,
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_ => return Err("invalid basis".to_string()),
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})
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}
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@@ -182,11 +192,11 @@ fn year_fraction(
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basis: i32,
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) -> Result<f64, String> {
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let days = match basis {
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0 => days_30us_360(start, end) as f64 / 360.0,
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1 => (end - start).num_days() as f64 / 365.0,
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2 => (end - start).num_days() as f64 / 360.0,
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3 => (end - start).num_days() as f64 / 365.0,
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4 => days_30e_360(start, end) as f64 / 360.0,
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0 => days_30us_360(start, end) as f64 / DAYS_30_360 as f64,
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1 => (end - start).num_days() as f64 / DAYS_ACTUAL as f64,
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2 => (end - start).num_days() as f64 / DAYS_30_360 as f64,
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3 => (end - start).num_days() as f64 / DAYS_ACTUAL as f64,
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4 => days_30e_360(start, end) as f64 / DAYS_30_360 as f64,
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_ => return Err("Invalid basis".to_string()),
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};
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Ok(days)
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@@ -1777,9 +1787,9 @@ impl Model {
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}
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let days_in_year = match basis {
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0 | 2 | 4 => 360.0,
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1 | 3 => 365.0,
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_ => 360.0,
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0 | 2 | 4 => DAYS_30_360 as f64,
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1 | 3 => DAYS_ACTUAL as f64,
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_ => DAYS_30_360 as f64,
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};
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let diff_days = maturity - settlement;
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if diff_days <= 0.0 {
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@@ -1902,14 +1912,18 @@ impl Model {
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}
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// days to maturity
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let d_m = maturity - settlement;
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let result = if d_m < 183.0 {
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365.0 * discount / (360.0 - discount * d_m)
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let result = if d_m < TBILL_THRESHOLD_DAYS {
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DAYS_ACTUAL as f64 * discount / (DAYS_30_360 as f64 - discount * d_m)
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} else {
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// Equation here is:
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// (1-days*rate/360)*(1+y/2)*(1+d_extra*y/year)=1
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let year = if d_m == 366.0 { 366.0 } else { 365.0 };
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let year = if d_m == DAYS_LEAP_YEAR as f64 {
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DAYS_LEAP_YEAR as f64
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} else {
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DAYS_ACTUAL as f64
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};
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let d_extra = d_m - year / 2.0;
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let alpha = 1.0 - d_m * discount / 360.0;
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let alpha = 1.0 - d_m * discount / DAYS_30_360 as f64;
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let beta = 0.5 + d_extra / year;
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// ay^2+by+c=0
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let a = d_extra * alpha / (year * 2.0);
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@@ -1967,7 +1981,7 @@ impl Model {
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}
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// days to maturity
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let d_m = maturity - settlement;
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let result = 100.0 * (1.0 - discount * d_m / 360.0);
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let result = 100.0 * (1.0 - discount * d_m / DAYS_30_360 as f64);
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if result.is_infinite() {
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return CalcResult::new_error(Error::DIV, cell, "Division by 0".to_string());
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}
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@@ -2017,7 +2031,7 @@ impl Model {
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return CalcResult::new_error(Error::NUM, cell, "discount should be >0".to_string());
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}
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let days = maturity - settlement;
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let result = (100.0 - pr) * 360.0 / (pr * days);
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let result = (100.0 - pr) * DAYS_30_360 as f64 / (pr * days);
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CalcResult::Number(result)
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}
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@@ -2047,7 +2061,7 @@ impl Model {
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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[5], cell) {
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Ok(f) => f.round() as i32,
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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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if frequency != 1 && frequency != 2 && frequency != 4 {
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@@ -2064,15 +2078,21 @@ impl Model {
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"settlement should be < maturity".to_string(),
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);
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}
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if args.len() == 7 {
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let _basis = match self.get_number_no_bools(&args[6], cell) {
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Ok(f) => f,
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let basis = if args.len() == 7 {
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match self.get_number_no_bools(&args[6], 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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// basis is currently ignored
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}
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} else {
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0
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};
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let days_in_year = match basis {
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0 | 2 | 4 => DAYS_30_360 as f64,
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1 | 3 => DAYS_ACTUAL as f64,
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_ => DAYS_30_360 as f64,
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};
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let days = maturity - settlement;
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let periods = ((days * frequency as f64) / 365.0).round();
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let periods = ((days * frequency as f64) / days_in_year).round();
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if periods <= 0.0 {
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return CalcResult::new_error(Error::NUM, cell, "invalid dates".to_string());
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}
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@@ -2225,7 +2245,7 @@ impl Model {
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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[5], cell) {
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Ok(f) => f.round() as i32,
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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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if frequency != 1 && frequency != 2 && frequency != 4 {
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@@ -2242,15 +2262,21 @@ impl Model {
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"settlement should be < maturity".to_string(),
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);
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}
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if args.len() == 7 {
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let _basis = match self.get_number_no_bools(&args[6], cell) {
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Ok(f) => f,
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let basis = if args.len() == 7 {
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match self.get_number_no_bools(&args[6], 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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// basis ignored
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}
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} else {
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0
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};
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let days_in_year = match basis {
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0 | 2 | 4 => DAYS_30_360 as f64,
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1 | 3 => DAYS_ACTUAL as f64,
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_ => DAYS_30_360 as f64,
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};
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let days = maturity - settlement;
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let periods = ((days * frequency as f64) / 365.0).round();
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let periods = ((days * frequency as f64) / days_in_year).round();
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if periods <= 0.0 {
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return CalcResult::new_error(Error::NUM, cell, "invalid dates".to_string());
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}
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@@ -2611,7 +2637,7 @@ impl Model {
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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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0 | 4 => DAYS_30_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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