finquant 0.0.57

Experimental Rust Quant Library
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

use chrono::{Datelike, NaiveDate};
use serde::{Deserialize, Serialize};

use crate::error::Result;
use crate::time::daycounters::DayCounters;

#[derive(Deserialize, Serialize, Default, Debug)]
pub struct Thirty365;

#[typetag::serde]
impl DayCounters for Thirty365 {
    fn day_count(&self, d1: NaiveDate, d2: NaiveDate) -> Result<i64> {
        let dd1 = d1.day() as i64;
        let dd2 = d2.day() as i64;
        let mm1 = d1.month() as i64;
        let mm2 = d2.month() as i64;
        let yy1 = d1.year() as i64;
        let yy2 = d2.year() as i64;

        Ok(360 * (yy2 - yy1) + 30 * (mm2 - mm1) + (dd2 - dd1))
    }

    fn year_fraction(&self, d1: NaiveDate, d2: NaiveDate) -> Result<f64> {
        Ok(self.day_count(d1, d2)? as f64 / 365.0)
    }
}

#[cfg(test)]
mod tests {
    use super::Thirty365;
    use crate::error::Result;
    use crate::time::daycounters::DayCounters;
    use chrono::NaiveDate;

    #[test]
    fn test_day_count() -> Result<()> {
        let d1 = NaiveDate::from_ymd_opt(2023, 1, 31).unwrap();
        let d2 = NaiveDate::from_ymd_opt(2023, 3, 2).unwrap();
        assert_eq!(Thirty365.day_count(d1, d2)?, 31);

        Ok(())
    }
}