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ecb.cpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2009, 2011 Ferdinando Ametrano
Copyright (C) 2015 Paolo Mazzocchi
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
<[email protected]>. 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.
*/
#include <ql/time/ecb.hpp>
#include <ql/settings.hpp>
#include <ql/utilities/dataparsers.hpp>
#if defined(__GNUC__) && (((__GNUC__ == 4) && (__GNUC_MINOR__ >= 8)) || (__GNUC__ > 4))
#pragma GCC diagnostic push
#pragma GCC diagnostic ignored "-Wunused-local-typedefs"
#endif
#include <boost/algorithm/string/case_conv.hpp>
#if defined(__GNUC__) && (((__GNUC__ == 4) && (__GNUC_MINOR__ >= 8)) || (__GNUC__ > 4))
#pragma GCC diagnostic pop
#endif
#include <algorithm>
using boost::algorithm::to_upper_copy;
using std::string;
namespace QuantLib {
static std::set<Date> knownDateSet;
const std::set<Date>& ECB::knownDates() {
// one-off inizialization
static const Date::serial_type knownDatesArray[] = {
38371, 38391, 38420, 38455, 38483, 38511, 38546, 38574, 38602, 38637, 38665, 38692 // 2005
, 38735, 38756, 38784, 38819, 38847, 38883, 38910, 38938, 38966, 39001, 39029, 39064 // 2006
, 39099, 39127, 39155, 39190, 39217, 39246, 39274, 39302, 39337, 39365, 39400, 39428 // 2007
, 39463, 39491, 39519, 39554, 39582, 39610, 39638, 39673, 39701, 39729, 39764, 39792 // 2008
, 39834, 39855, 39883, 39911, 39946, 39974, 40002, 40037, 40065, 40100, 40128, 40155 // 2009
, 40198, 40219, 40247, 40282, 40310, 40345, 40373, 40401, 40429, 40464, 40492, 40520 // 2010
, 40562, 40583, 40611, 40646, 40674, 40709, 40737, 40765, 40800, 40828, 40856, 40891 // 2011
// http://www.ecb.europa.eu/press/pr/date/2011/html/pr110520.en.html
, 40926, 40954, 40982, 41010, 41038, 41073, 41101, 41129, 41164, 41192, 41227, 41255 // 2012
, 41290, 41318, 41346, 41374, 41402, 41437, 41465, 41493, 41528, 41556, 41591, 41619 // 2013
// http://www.ecb.europa.eu/press/pr/date/2013/html/pr130610.en.html
, 41654, 41682, 41710, 41738, 41773, 41801, 41829, 41864, 41892, 41920, 41955, 41983 // 2014
// http://www.ecb.europa.eu/press/pr/date/2014/html/pr140717_1.en.html
, 42032, 42074, 42116, 42165, 42207, 42256, 42305, 42347// 2015
// https://www.ecb.europa.eu/press/pr/date/2015/html/pr150622.en.html
, 42396, 42445, 42487, 42529, 42578, 42627, 42669, 42718 // 2016
, 42760, /*source ICAP */ 42802, 42844, 42893, 42942 // 2017
};
if (knownDateSet.empty()) {
Size n = sizeof(knownDatesArray)/sizeof(Date::serial_type);
for (Size i=0; i<n; ++i)
knownDateSet.insert(Date(knownDatesArray[i]));
}
return knownDateSet;
}
void ECB::addDate(const Date& d) {
knownDates(); // just to ensure inizialization
knownDateSet.insert(d);
}
void ECB::removeDate(const Date& d) {
knownDates(); // just to ensure inizialization
knownDateSet.erase(d);
}
Date ECB::date(const string& ecbCode,
const Date& refDate) {
QL_REQUIRE(isECBcode(ecbCode),
ecbCode << " is not a valid ECB code");
string code = to_upper_copy(ecbCode);
string monthString = code.substr(0, 3);
Month m;
if (monthString=="JAN") m = January;
else if (monthString=="FEB") m = February;
else if (monthString=="MAR") m = March;
else if (monthString=="APR") m = April;
else if (monthString=="MAY") m = May;
else if (monthString=="JUN") m = June;
else if (monthString=="JUL") m = July;
else if (monthString=="AUG") m = August;
else if (monthString=="SEP") m = September;
else if (monthString=="OCT") m = October;
else if (monthString=="NOV") m = November;
else if (monthString=="DEC") m = December;
else QL_FAIL("not an ECB month (and it should have been)");
// lexical_cast causes compilation errors with x64
//Year y = boost::lexical_cast<Year>(code.substr(3, 2));
Year y = io::to_integer(code.substr(3, 2));
Date referenceDate = (refDate != Date() ?
refDate :
Date(Settings::instance().evaluationDate()));
Year referenceYear = (referenceDate.year() % 100);
y += referenceDate.year() - referenceYear;
if (y<Date::minDate().year())
return ECB::nextDate(Date::minDate());
return ECB::nextDate(Date(1, m, y));
}
string ECB::code(const Date& ecbDate) {
QL_REQUIRE(isECBdate(ecbDate),
ecbDate << " is not a valid ECB date");
std::ostringstream ECBcode;
unsigned int y = ecbDate.year() % 100;
string padding;
if (y < 10)
padding = "0";
switch(ecbDate.month()) {
case January:
ECBcode << "JAN" << padding << y;
break;
case February:
ECBcode << "FEB" << padding << y;
break;
case March:
ECBcode << "MAR" << padding << y;
break;
case April:
ECBcode << "APR" << padding << y;
break;
case May:
ECBcode << "MAY" << padding << y;
break;
case June:
ECBcode << "JUN" << padding << y;
break;
case July:
ECBcode << "JUL" << padding << y;
break;
case August:
ECBcode << "AUG" << padding << y;
break;
case September:
ECBcode << "SEP" << padding << y;
break;
case October:
ECBcode << "OCT" << padding << y;
break;
case November:
ECBcode << "NOV" << padding << y;
break;
case December:
ECBcode << "DEC" << padding << y;
break;
default:
QL_FAIL("not an ECB month (and it should have been)");
}
#if defined(QL_EXTRA_SAFETY_CHECKS)
QL_ENSURE(isECBcode(ECBcode.str()),
"the result " << ECBcode.str() <<
" is an invalid ECB code");
#endif
return ECBcode.str();
}
Date ECB::nextDate(const Date& date) {
Date d = (date == Date() ?
Settings::instance().evaluationDate() :
date);
std::set<Date>::const_iterator i =
std::upper_bound(knownDates().begin(), knownDates().end(), d);
QL_REQUIRE(i!=knownDates().end(),
"ECB dates after " << *(--knownDates().end()) << " are unknown");
return Date(*i);
}
std::vector<Date> ECB::nextDates(const Date& date) {
Date d = (date == Date() ?
Settings::instance().evaluationDate() :
date);
std::set<Date>::const_iterator i =
std::upper_bound(knownDates().begin(), knownDates().end(), d);
QL_REQUIRE(i!=knownDates().end(),
"ECB dates after " << *knownDates().end() << " are unknown");
return std::vector<Date>(i, knownDates().end());
}
bool ECB::isECBcode(const std::string& ecbCode) {
if (ecbCode.length() != 5)
return false;
string code = to_upper_copy(ecbCode);
string str1("0123456789");
string::size_type loc = str1.find(code.substr(3, 1), 0);
if (loc == string::npos)
return false;
loc = str1.find(code.substr(4, 1), 0);
if (loc == string::npos)
return false;
string monthString = code.substr(0, 3);
if (monthString=="JAN") return true;
else if (monthString=="FEB") return true;
else if (monthString=="MAR") return true;
else if (monthString=="APR") return true;
else if (monthString=="MAY") return true;
else if (monthString=="JUN") return true;
else if (monthString=="JUL") return true;
else if (monthString=="AUG") return true;
else if (monthString=="SEP") return true;
else if (monthString=="OCT") return true;
else if (monthString=="NOV") return true;
else if (monthString=="DEC") return true;
else return false;
}
string ECB::nextCode(const std::string& ecbCode) {
QL_REQUIRE(isECBcode(ecbCode),
ecbCode << " is not a valid ECB code");
string code = to_upper_copy(ecbCode);
std::ostringstream result;
string monthString = code.substr(0, 3);
if (monthString=="JAN") result << "FEB" << code.substr(3, 2);
else if (monthString=="FEB") result << "MAR" << code.substr(3, 2);
else if (monthString=="MAR") result << "APR" << code.substr(3, 2);
else if (monthString=="APR") result << "MAY" << code.substr(3, 2);
else if (monthString=="MAY") result << "JUN" << code.substr(3, 2);
else if (monthString=="JUN") result << "JUL" << code.substr(3, 2);
else if (monthString=="JUL") result << "AUG" << code.substr(3, 2);
else if (monthString=="AUG") result << "SEP" << code.substr(3, 2);
else if (monthString=="SEP") result << "OCT" << code.substr(3, 2);
else if (monthString=="OCT") result << "NOV" << code.substr(3, 2);
else if (monthString=="NOV") result << "DEC" << code.substr(3, 2);
else if (monthString=="DEC") {
// lexical_cast causes compilation errors with x64
//Year y = boost::lexical_cast<Year>(code.substr(3, 2));
unsigned int y = (io::to_integer(code.substr(3, 2)) + 1) % 100;
string padding;
if (y < 10)
padding = "0";
result << "JAN" << padding << y;
} else QL_FAIL("not an ECB month (and it should have been)");
#if defined(QL_EXTRA_SAFETY_CHECKS)
QL_ENSURE(isECBcode(result.str()),
"the result " << result.str() <<
" is an invalid ECB code");
#endif
return result.str();
}
}