- dima ql 1

dima/02-ql/03-dates.cpp

@@ -43,9 +43,33 @@ void DateTesting2() {
     cout << "Serial number: " << serialNum << endl;
 }
 
+void DateTesting3() { // static functions
+    cout << "Today: " << Date::todaysDate() << endl;
+    cout << "Min Date: " << Date::minDate() << endl;
+    cout << "Max Date: " << Date::maxDate() << endl;
+    cout << "Is leap year?: " << Date::isLeap(2011) << endl;
+    cout << "End of month: " << Date::endOfMonth(Date(4,Aug,2009)) << endl;
+    cout << "Is month end?: " << Date::isEndOfMonth(Date(29,Sep,2009)) << endl;
+    cout << "Is month end?: " << Date::isEndOfMonth(Date(30,Sep,2009)) << endl;
+    cout << "Next week day: " << Date::nextWeekday(Date(1,Sep,2009), Friday) << endl;
+    cout << "nth week day: " << Date::nthWeekday(3, Wed, Sep, 2009) << endl;
+}
+
+void DateTesting4() {
+    Date d = Settings::instance().evaluationDate();
+
+    cout << "Eval date (default): " << d << endl;
+
+    Settings::instance().evaluationDate() = Date(5, Jan, 1995);
+    d = Settings::instance().evaluationDate();
+    cout << "Eval date (after): " << d << endl;
+}
+
 int main(int argc, char *argv[]) {
     //DateTesting1();
-    DateTesting2();
+    //DateTesting2();
+    //DateTesting3();
+    DateTesting4();
 
     return 0;
 }

dima/02-ql/04-calendars.cpp

@@ -0,0 +1,81 @@
+#include <iostream>
+#include <ql/quantlib.hpp>
+#include <boost/foreach.hpp>
+
+using namespace std;
+using namespace QuantLib;
+
+// calendar functions:
+// isBusinessDay(const Date& d)
+// isHoliday(const Date& d)
+// isWeekend(Weekday w)
+// isEndOfMonth(const Date& d)
+// Date endOfMonth(const Date& d)
+
+void CalendarTesting1() {
+    Calendar frankfCal = Germany(Germany::FrankfurtStockExchange);
+    Calendar saudiCal = SaudiArabia();
+    Date nyEve(31, Dec, 2009);
+
+    cout << "Is business day? (Frankfurt): " << frankfCal.isBusinessDay(nyEve) << endl;
+    cout << "Is holiday? (Frankfurt): " << frankfCal.isHoliday(nyEve) << endl;
+    cout << "Is weekend? (Saudi Arabia): " << saudiCal.isWeekend(Saturday) << endl;
+    cout << "Is last business day? (Frankfurt): " << frankfCal.isEndOfMonth(Date(30,Dec,2009)) << endl;
+    cout << "Last business day? (Frankfurt): " << frankfCal.endOfMonth(nyEve) << endl;
+}
+
+// customizing calendars
+// addHoiday(const Date& d)
+// removeHoliday(const Date &d)
+// std::vector<Date> holidayList(const Calendar& calendar, const Date& from, const Date& to, bool includeWeekends)
+
+void CalendarTesting2() {
+    Calendar frankfCal = Germany(Germany::FrankfurtStockExchange);
+    Date d1(24, Dec, 2009), d2(30, Dec, 2009), d3(31, Dec, 2009);
+
+    frankfCal.addHoliday(d2);
+    frankfCal.removeHoliday(d3);
+
+    cout << "Is business day?: " << frankfCal.isBusinessDay(d2) << endl;
+    cout << "Is business day?: " << frankfCal.isBusinessDay(d3) << endl;
+
+    std::vector<Date> holidays = frankfCal.holidayList(frankfCal, d1, d2, false);
+    cout << "------------------------------" << endl;
+    BOOST_FOREACH(Date d, holidays) cout << d << endl;
+}
+
+// BusinessDayConvention enum(?)
+// * Following
+// * ModifiedFollowing
+// * Preceding
+// * ModifiedPreceding
+// * Unadjusted
+//
+// Calendar functions
+// Date adjust(const Date&, BusinessDayConvention convention)
+// Date advance(const Date&, const Periond&, DayConvention, bool endOfMonth)
+// BigInteger businessDaysBetween(const Date& from, const Date& to, 
+//     bool includeFirst, bool includeLast) - # of business days
+
+void CalendarTesting3() {
+    Calendar frankfCal = Germany(Germany::FrankfurtStockExchange);
+
+    Date d1(31,Oct,2009), d2(1,Jan,2010);
+
+    cout << "Date 2 adjust (Preceding): " << frankfCal.adjust(d2, BusinessDayConvention(Preceding)) << endl;
+    cout << "Date 2 adjust (ModifiedPreceding): " << frankfCal.adjust(d2, BusinessDayConvention(ModifiedPreceding)) << endl;
+
+    Period mat(2, Months);
+    cout << "Date 1 month adv: " << frankfCal.advance(d1, mat, BusinessDayConvention(Following), false) << endl;
+    cout << "Date 1 month adv: " << frankfCal.advance(d1, mat, BusinessDayConvention(ModifiedFollowing), false) << endl;
+
+    cout << "Business days b/w: " << frankfCal.businessDaysBetween(d1, d2, false, false) << endl;
+}
+
+int main(int argc, char *argv[]) {
+    //CalendarTesting1();
+    //CalendarTesting2();
+    CalendarTesting3();
+
+    return 0;
+}

dima/02-ql/05-daycounts.cpp

@@ -0,0 +1,20 @@
+#include <iostream>
+#include <ql/quantlib.hpp>
+
+using namespace std;
+using namespace QuantLib;
+
+void dayCounterTesting1() {
+    DayCounter dc = Thirty360();
+    Date d1(1, Oct, 2009);
+    Date d2 = d1 + 2*Months;
+
+    cout << "Days between d1/d2: " << dc.dayCount(d1, d2) << std::endl;
+    cout << "Year fraction d1/d2: " << dc.yearFraction(d1, d2) << std::endl;
+}
+
+int main(int argc, char *argv[]) {
+    dayCounterTesting1();
+
+    return 0;
+}

dima/02-ql/06-schedules.cpp

@@ -0,0 +1,84 @@
+#include <iostream>
+#include <ql/quantlib.hpp>
+#include <vector>
+#include <boost/foreach.hpp>
+
+using namespace std;
+using namespace QuantLib;
+
+// DateGeneration::Rule
+// Backward - backward from termination date to effective date
+// Forward - forward from effective date to termination date
+// Zero - no intermediate dates b/w effective & termination dates
+// ThirdWednesday - all dates in b/w eff & term dates are on 3rd Wed of
+//    the month (forward calc)
+// Twentieth - used for CDS schedules in emerging markets, all dates b/w eff
+//    & term dates are 20th of the month
+// TwentiethIMM - used for CDS schedules, all dates b/w eff & term dates are
+//    20th of an IMM month
+
+// Schedule(...) constructor arguments:
+// const Date& effectiveDate -
+// const Date& terminationDate -
+// const Period& tenor - freq of the schedule (e.g. 3*Months)
+// const Calendar& calendar -
+// BusinessDayConvention convention - for in b/w dates
+// BusinessDayConvention terminationDateConversion - for term date only
+// DateGeneration::Rule rule - 
+// bool endOfMonth - if eff date is end of month, enforce sched dates
+//    to be end of month too (e.g. April 30th, May 31st, ...)
+// const Date& firstDate = Date() - odd first
+// const Date& nextToLastDate = Date() - odd last
+
+// Schedule functions
+// Size size() - # of dates
+// const Date& operator[](Size i) - indexer
+// Date previousDate(const Date& refDate) - 
+// Date nextDate(const Date& refDate) - 
+// const std::vector<Date>& dates() - 
+
+void scheduleTesting1(DateGeneration::Rule rule) {
+    Date begin(30, Sep, 2009), end(15, Jun, 2012);
+    Calendar cal = Japan();
+
+    BusinessDayConvention bdc = BusinessDayConvention(Following);
+
+    Period tenor(6, Months);
+
+    Schedule sched(begin, end, tenor, cal, bdc, bdc, rule, true);
+
+    std::vector<Date> dates = sched.dates();
+
+    BOOST_FOREACH(Date d, dates) cout << d << endl;
+}
+
+void scheduleTesting3() {
+    Date begin(30, Sep, 2009), end(15, Jun, 2012);
+    Calendar cal = Japan();
+
+    BusinessDayConvention bdc = BusinessDayConvention(Following);
+
+    Period tenor(6, Months);
+
+    DateGeneration::Rule rule = DateGeneration::Forward;
+
+    Schedule sched(begin, end, tenor, cal, bdc, bdc, rule, true);
+
+    Date refDate(3, Aug, 2010);
+    cout << "Date: " << refDate << endl;
+    cout << "Next date: " << sched.nextDate(refDate) << endl;
+    cout << "Prev date: " << sched.previousDate(refDate) << endl;
+}
+
+int main(int argc, char *argv[]) {
+
+    // last date should be 2012-06-15, but I'm producing 2012-06-29!! wtf!
+    //cout << "Forward: \n";
+    //scheduleTesting1(DateGeneration::Forward);
+
+    //cout << "\n\nBackward: \n";
+    //scheduleTesting1(DateGeneration::Backward);
+
+    scheduleTesting3();
+    return 0;
+}

dima/02-ql/Makefile

@@ -14,5 +14,17 @@ dates.exe: 03-dates.cpp
 	g++ -c -Wall -I${BOOST} -I${QUANTLIB_H} $< -o $(patsubst %.exe,%.o,$@)
 	g++ -L${QUANTLIB_LIB} $(patsubst %.exe,%.o,$@) -o $@ -lQuantLib 
 
+calendars.exe: 04-calendars.cpp
+	g++ -c -Wall -I${BOOST} -I${QUANTLIB_H} $< -o $(patsubst %.exe,%.o,$@)
+	g++ -L${QUANTLIB_LIB} $(patsubst %.exe,%.o,$@) -o $@ -lQuantLib 
+
+daycounts.exe: 05-daycounts.cpp
+	g++ -c -Wall -I${BOOST} -I${QUANTLIB_H} $< -o $(patsubst %.exe,%.o,$@)
+	g++ -L${QUANTLIB_LIB} $(patsubst %.exe,%.o,$@) -o $@ -lQuantLib 
+
+schedules.exe: 06-schedules.cpp
+	g++ -c -Wall -I${BOOST} -I${QUANTLIB_H} $< -o $(patsubst %.exe,%.o,$@)
+	g++ -L${QUANTLIB_LIB} $(patsubst %.exe,%.o,$@) -o $@ -lQuantLib 
+
 clean:
 	rm -f *.exe