findates 0.1.0

Financial date arithmetic: business day calendars, day count conventions, and schedule generation.
Documentation 
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225

// Integration tests for day count fraction calculations.
// These tests validate day count conventions (Act/360, Act/365, Actual/Actual ISDA, 30/360, BD252)
// with and without calendar adjustments.

use chrono::NaiveDate;
use findates::algebra::day_count_fraction;
use findates::calendar;
use findates::conventions::{AdjustRule, DayCount};
use findates::DayCountError;
use std::collections::HashSet;

fn round_decimals(x: f64) -> f64 {
    let multiplier = 100000.0;
    (x * multiplier).round() / multiplier
}

struct DayCountSetup {
    cal: calendar::Calendar,
}

impl DayCountSetup {
    fn new() -> Self {
        let mut basic_cal = calendar::basic_calendar();
        let christmas_day = NaiveDate::from_ymd_opt(2023, 12, 25).unwrap();
        let boxing_day = NaiveDate::from_ymd_opt(2023, 12, 26).unwrap();
        let new_holidays: HashSet<NaiveDate> = [christmas_day, boxing_day].into_iter().collect();
        basic_cal.add_holidays(&new_holidays);
        Self { cal: basic_cal }
    }
}

#[test]
fn dcf_act360_test() {
    let setup = DayCountSetup::new();
    let cal = setup.cal;
    let start: NaiveDate = NaiveDate::from_ymd_opt(2023, 2, 15).unwrap();
    let end: NaiveDate = NaiveDate::from_ymd_opt(2023, 9, 30).unwrap();
    let expected: f64 = 0.6305556;
    let res: f64 = day_count_fraction(&start, &end, DayCount::Act360, None, None).unwrap();
    // No calendar
    assert_eq!(round_decimals(res), round_decimals(expected));
    // With Calendar
    let start: NaiveDate = NaiveDate::from_ymd_opt(2023, 9, 30).unwrap(); // Adjusted to 02 Oct
    let end: NaiveDate = NaiveDate::from_ymd_opt(2023, 12, 24).unwrap(); // Adjusted to 27 Dec
    let expected: f64 = 0.2388889;
    let res: f64 = day_count_fraction(
        &start,
        &end,
        DayCount::Act360,
        Some(&cal),
        Some(AdjustRule::Following),
    ).unwrap();
    assert_eq!(round_decimals(res), round_decimals(expected));
}

#[test]
fn dcf_act365_test() {
    let setup = DayCountSetup::new();
    let cal = setup.cal;
    let start: NaiveDate = NaiveDate::from_ymd_opt(2023, 2, 15).unwrap();
    let end: NaiveDate = NaiveDate::from_ymd_opt(2023, 9, 30).unwrap();
    let expected: f64 = 0.62191781;
    let res: f64 = day_count_fraction(&start, &end, DayCount::Act365, None, None).unwrap();
    // No calendar
    assert_eq!(round_decimals(res), round_decimals(expected));
    // With Calendar
    let start: NaiveDate = NaiveDate::from_ymd_opt(2023, 9, 30).unwrap(); // Adjusted to 02 Oct
    let end: NaiveDate = NaiveDate::from_ymd_opt(2023, 12, 24).unwrap(); // Adjusted to 27 Dec
    let expected: f64 = 0.23561644;
    let res: f64 = day_count_fraction(
        &start,
        &end,
        DayCount::Act365,
        Some(&cal),
        Some(AdjustRule::Following),
    ).unwrap();
    assert_eq!(round_decimals(res), round_decimals(expected));
}

#[test]
fn dcf_actactisda_test() {
    // The relevant test cases for this convention are when either or
    // both start date and end dates fall within a leap year.

    // Both dates within a leap year
    let setup = DayCountSetup::new();
    let cal = setup.cal;
    let start: NaiveDate = NaiveDate::from_ymd_opt(2024, 2, 15).unwrap();
    let end: NaiveDate = NaiveDate::from_ymd_opt(2024, 5, 27).unwrap(); // This is a Monday within a Leap year
    let expected: f64 = 0.27868852;
    let res: f64 = day_count_fraction(&start, &end, DayCount::ActActISDA, Some(&cal), None).unwrap();
    assert_eq!(round_decimals(res), round_decimals(expected));

    // Both dates within a non-leap year
    let start: NaiveDate = NaiveDate::from_ymd_opt(2023, 2, 15).unwrap();
    let end: NaiveDate = NaiveDate::from_ymd_opt(2023, 5, 27).unwrap(); // This will get adjusted to 29May2023
    let expected: f64 = 0.28219178;
    let res: f64 = day_count_fraction(&start, &end, DayCount::ActActISDA, Some(&cal), None).unwrap();
    assert_eq!(round_decimals(res), round_decimals(expected));

    // End date only within a leap year
    let start: NaiveDate = NaiveDate::from_ymd_opt(2023, 2, 15).unwrap();
    let end: NaiveDate = NaiveDate::from_ymd_opt(2024, 5, 27).unwrap(); // This is a Monday in a Leap Year
    let expected: f64 = 1.27835167;
    let res: f64 = day_count_fraction(&start, &end, DayCount::ActActISDA, Some(&cal), None).unwrap();
    assert_eq!(round_decimals(res), round_decimals(expected));

    // Start date and end dates within a leap year
    let start: NaiveDate = NaiveDate::from_ymd_opt(2020, 2, 29).unwrap(); // This is a Saturday, will get adjusted to 2nd of March
    let end: NaiveDate = NaiveDate::from_ymd_opt(2024, 5, 27).unwrap(); // This is a Monday in a Leap Year
    let expected: f64 = 4.23497268;
    let res: f64 = day_count_fraction(&start, &end, DayCount::ActActISDA, Some(&cal), None).unwrap();
    assert_eq!(round_decimals(res), round_decimals(expected));
}

#[test]
fn dcf_d30360euro_test() {
    // Start date on the 31st
    let setup = DayCountSetup::new();
    let cal = setup.cal;
    let start: NaiveDate = NaiveDate::from_ymd_opt(2023, 1, 31).unwrap();
    let end: NaiveDate = NaiveDate::from_ymd_opt(2024, 2, 15).unwrap(); // This is a Monday within a Leap year
    let expected: f64 = 1.04166667;
    let res: f64 = day_count_fraction(&start, &end, DayCount::D30360Euro, Some(&cal), None).unwrap();
    assert_eq!(round_decimals(res), round_decimals(expected));
    // End date on the 31st
    let start: NaiveDate = NaiveDate::from_ymd_opt(2024, 3, 31).unwrap(); // Although this is a 31st, it is a Sunday so will get adjusted to Following first,
                                                                          // since we are passing a calendar.
    let end: NaiveDate = NaiveDate::from_ymd_opt(2024, 10, 31).unwrap();
    let expected: f64 = 0.5805556;
    let res: f64 = day_count_fraction(&start, &end, DayCount::D30360Euro, Some(&cal), None).unwrap();
    assert_eq!(round_decimals(res), round_decimals(expected));
    // Same dates but passing no calendar, i.e. no adjustment:
    let expected: f64 = 0.583333;
    let res: f64 = day_count_fraction(&start, &end, DayCount::D30360Euro, None, None).unwrap();
    assert_eq!(round_decimals(res), round_decimals(expected));
}

#[test]
fn dcf_d30365_test() {
    let setup = DayCountSetup::new();
    let cal = setup.cal;
    let start: NaiveDate = NaiveDate::from_ymd_opt(2023, 1, 24).unwrap();
    let end: NaiveDate = NaiveDate::from_ymd_opt(2024, 2, 15).unwrap(); // This is a Monday within a Leap year
    let expected: f64 = 1.04383562;
    let res: f64 = day_count_fraction(&start, &end, DayCount::D30365, Some(&cal), None).unwrap();
    assert_eq!(round_decimals(res), round_decimals(expected));
}

#[test]
fn dcf_bd252_test() {
    // For a Business Day Calendar, the relevant test cases should
    // of course take into account Holidays and check if the business
    // days are being properly counted.
    let setup = DayCountSetup::new();
    let cal = setup.cal;
    let start: NaiveDate = NaiveDate::from_ymd_opt(2023, 1, 24).unwrap();
    let end: NaiveDate = NaiveDate::from_ymd_opt(2024, 2, 15).unwrap();
    let expected: f64 = 1.09126984;
    let res: f64 = day_count_fraction(&start, &end, DayCount::Bd252, Some(&cal), None).unwrap();
    assert_eq!(round_decimals(res), round_decimals(expected));
    // Test case with an adjustment on the end date
    let start: NaiveDate = NaiveDate::from_ymd_opt(2023, 1, 24).unwrap();
    let end: NaiveDate = NaiveDate::from_ymd_opt(2023, 12, 23).unwrap(); // This will get adjusted to the 27th of Dec
    let end2: NaiveDate = NaiveDate::from_ymd_opt(2023, 12, 27).unwrap(); // This is a business day so won't be adjusted
    let res: f64 = day_count_fraction(&start, &end, DayCount::Bd252, Some(&cal), None).unwrap();
    let res2: f64 = day_count_fraction(&start, &end2, DayCount::Bd252, Some(&cal), None).unwrap();
    // Business day count for both end dates above should be the same
    assert_eq!(round_decimals(res), round_decimals(res2));
    // But if we pass a Preceding adjustment they should differ
    let res: f64 = day_count_fraction(
        &start,
        &end,
        DayCount::Bd252,
        Some(&cal),
        Some(AdjustRule::Preceding),
    ).unwrap();
    let res2: f64 = day_count_fraction(
        &start,
        &end2,
        DayCount::Bd252,
        Some(&cal),
        Some(AdjustRule::Preceding),
    ).unwrap();
    assert_ne!(round_decimals(res), round_decimals(res2));
    let expected: f64 = 0.94444444;
    assert_eq!(round_decimals(res), round_decimals(expected));
}

#[test]
fn dcf_bd252_no_calendar_returns_err_test() {
    let start: NaiveDate = NaiveDate::from_ymd_opt(2023, 1, 24).unwrap();
    let end: NaiveDate = NaiveDate::from_ymd_opt(2024, 2, 15).unwrap();
    assert_eq!(
        day_count_fraction(&start, &end, DayCount::Bd252, None, None),
        Err(DayCountError::MissingCalendar),
    );
}

#[test]
fn dcf_bd252_with_calendar_returns_ok_test() {
    let cal = calendar::basic_calendar();
    let start = NaiveDate::from_ymd_opt(2024, 3, 18).unwrap();
    let end = NaiveDate::from_ymd_opt(2024, 3, 22).unwrap();
    assert!(day_count_fraction(&start, &end, DayCount::Bd252, Some(&cal), None).is_ok());
}

#[test]
fn dcf_non_bd252_conventions_return_ok_without_calendar_test() {
    let start = NaiveDate::from_ymd_opt(2023, 1, 1).unwrap();
    let end = NaiveDate::from_ymd_opt(2024, 1, 1).unwrap();

    for dc in [
        DayCount::Act360,
        DayCount::Act365,
        DayCount::ActActISDA,
        DayCount::D30360Euro,
        DayCount::D30365,
    ] {
        assert!(
            day_count_fraction(&start, &end, dc, None, None).is_ok(),
            "{dc} should return Ok without a calendar",
        );
    }
}