rustyqlib/rates/
utils.rs

1use chrono::{Local, NaiveDate, Weekday};
2use chrono::Datelike;
3use crate::rates::deposits::Deposit;
4use crate::core::traits::Rates;
5use serde::{Serialize,Deserialize};
6fn is_weekend(date: NaiveDate) -> bool {
7    // Check if the day of the week is Saturday (6) or Sunday (7)
8    let day_of_week = date.weekday();
9    day_of_week == Weekday::Sat || day_of_week == Weekday::Sun
10}
11
12fn is_holiday(date: NaiveDate) -> bool {
13    // Check if the date is Christmas
14    if date.month() == 12 && date.day() == 25{
15        return true;
16    }
17    else if date.month() == 1 && date.day() == 1{ // Check if the date is New Year's Day
18        return true;
19    }
20    else if date.month() == 1 && date.weekday() == Weekday::Mon
21        && date.day() > 14 && date.day() <= 21 {
22        // Check if the date is Martin Luther King Jr. Day
23        return true;
24    }
25    else if date.month() == 11 &&
26        date.weekday() == Weekday::Thu && date.day() > 21 && date.day() <= 28{
27        // Check if the date is in November and falls on the fourth Thursday Thanksgiving Day
28        return true;
29    }
30    else if date.month() == 9 && date.weekday() == Weekday::Mon && date.day() <= 7{
31        // Check if the date is in September and falls on the first Monday Labor Day
32        return true;
33    }
34    return false;
35}
36
37fn adjust_for_weekend(mut date: NaiveDate) -> NaiveDate {
38    // Increment the date until it's not a weekend or holiday
39    while is_weekend(date) || is_holiday(date) {
40        date += chrono::Duration::days(1);
41    }
42    date
43}
44#[derive(Clone,Debug,Serialize,Deserialize)]
45pub enum DayCountConvention{
46    Act365,
47    Act360,
48    Thirty360,
49}
50impl DayCountConvention{
51    pub fn num_of_days(&self) -> usize
52    {
53        match self {
54            DayCountConvention::Act365 => 365,
55            DayCountConvention::Act360 => 360,
56            DayCountConvention::Thirty360 => 360,
57        }
58    }
59    pub fn get_year_fraction(&self,start_date:NaiveDate,maturity_date:NaiveDate) -> f64 {
60        let duration = maturity_date.signed_duration_since(start_date);
61        let year_fraction = duration.num_days() as f64 / self.num_of_days() as f64;
62        year_fraction
63    }
64}
65
66#[derive(Clone,Debug)]
67pub struct TermStructure {
68    pub date: Vec<NaiveDate>,
69    pub discount_factor: Vec<f64>,
70    pub rate: Vec<f64>,
71    pub day_count: DayCountConvention,
72}
73
74impl TermStructure {
75    pub fn new(date: Vec<NaiveDate>, discount_factor: Vec<f64>,rate:Vec<f64>,day_count:DayCountConvention) -> TermStructure {
76        TermStructure {
77            date,
78            discount_factor,
79            rate,
80            day_count
81        }
82    }
83
84    pub fn interpolate_log_linear(&self,val_date:NaiveDate,maturity_date:NaiveDate)-> f64{
85        let year_fraction = self.get_year_fraction(val_date);
86        let target_yf = maturity_date.signed_duration_since(val_date).num_days() as f64
87            / self.day_count.num_of_days() as f64;
88        let mut df1 = 1.0;
89        let mut df2 = 1.0;
90        let mut t1 = 0.0;
91        let mut t2 = 0.0;
92        for (i, time) in year_fraction.iter().enumerate() {
93            if time==&target_yf{
94                 return self.discount_factor[i];
95            }
96            else if time< &target_yf {
97                t1 = *time;
98                df1 = self.discount_factor[i];
99            }
100            else if time> &target_yf {
101                t2 = *time;
102                df2 = self.discount_factor[i];
103                break;
104            }
105
106        }
107        let log_df1 = f64::ln(df1);
108        let log_df2 = f64::ln(df2);
109        let w = (target_yf - t1) / (t2 - t1);
110        let log_df = log_df1 + w * (log_df2 - log_df1);
111        let df = f64::exp(log_df);
112        return df;
113        //let dfs  = self.discount_factor;
114
115    }
116    pub fn get_year_fraction(&self,val_date:NaiveDate) -> Vec<f64> {
117        let mut year_fraction_vec:Vec<f64> = Vec::new();
118        for time in self.date.iter() {
119            let duration = time.signed_duration_since(val_date);
120            let year_fraction = duration.num_days() as f64 / self.day_count.num_of_days() as f64;
121            year_fraction_vec.push(year_fraction);
122        }
123        year_fraction_vec
124    }
125    pub fn rates(&self,val_date:NaiveDate) -> Vec<f64> {
126        let mut rates:Vec<f64> = Vec::new();
127        for i in 0..self.discount_factor.len() {
128            let rate = (1.0 / self.discount_factor[i] - 1.0) / self.day_count.get_year_fraction(val_date,self.date[i]);
129            rates.push(rate);
130        }
131        return rates;
132    }
133    pub fn build_term_structure(&self,_valuation_date:NaiveDate,deposits:Vec<Deposit>) -> TermStructure {
134        let mut discount_factor:Vec<f64> = Vec::new();
135        let mut rate:Vec<f64> = Vec::new();
136        let mut dates:Vec<NaiveDate> = Vec::new();
137        for deposit in deposits.iter() {
138            discount_factor.push(deposit.get_discount_factor());
139            dates.push(deposit.get_maturity_date());
140            rate.push(deposit.get_rate());
141        }
142        let day_count = deposits[0].day_count.clone();
143        let term_structure = TermStructure::new(dates,discount_factor,rate,day_count);
144        return term_structure;
145    }
146}
147
148pub fn convert_mm_to_date(mut date: String) -> NaiveDate {
149    let current_date = Local::now().date_naive();
150    date.pop();
151    let month = date.parse::<u32>().unwrap();
152
153    let (new_year, new_month) = if current_date.month() + month > 12 {
154        let year = ((current_date.month() + month) / 12) as i32;
155        let m:u32 = (year * 12) as u32;
156        let new_month = current_date.month() + month;
157        (current_date.year() + year, new_month-m)
158    } else {
159        (current_date.year(), current_date.month() + month)
160    };
161    let date_in_months = current_date.with_year(new_year).unwrap_or(current_date)
162        .with_month(new_month).unwrap_or(current_date);
163    let mut maturity_date = date_in_months;
164    maturity_date = adjust_for_weekend(maturity_date);
165    return maturity_date;
166}
167
rustyqlib/rates/utils.rs

rustyqlib/rates/
utils.rs
