quantsupport 0.1.7

// use std::sync::Arc;

// use crate::{
//     math::interpolation::interpolator::{Interpolate, Interpolator},
//     rates::{
//         enums::Compounding,
//         interestrate::{InterestRate, RateDefinition},
//         traits::{HasReferenceDate, YieldProvider},
//     },
//     time::{
//         date::Date,
//         enums::{Frequency, TimeUnit},
//         period::Period,
//     },
//     utils::errors::{AtlasError, Result},
// };

// use super::traits::{AdvanceTermStructureInTime, YieldTermStructureTrait};

// /// # `ZeroRateTermStructure`
// /// Struct that defines a zero rate term structure.
// ///
// /// # Example
// /// ```
// /// use quantsupport::prelude::*;
// /// let ref_date = Date::new(2021, 1, 1);
// /// let dates = vec![
// ///    Date::new(2021, 1, 1),
// ///    Date::new(2021, 4, 1),
// ///    Date::new(2021, 7, 1),
// ///    Date::new(2021, 10, 1),
// ///    Date::new(2022, 1, 1),
// /// ];
// ///
// /// let rates = vec![0.0, 0.01, 0.02, 0.03, 0.04];
// /// let rate_definition = RateDefinition::default();
// /// let interpolator = Interpolator::Linear;
// /// let enable_extrapolation = true;
// /// let zero_rate_curve = ZeroRateTermStructure::new(ref_date, dates, rates, rate_definition, interpolator, enable_extrapolation).unwrap();
// /// assert_eq!(zero_rate_curve.reference_date(), ref_date);
// /// assert_eq!(zero_rate_curve.rate_definition().day_counter(), DayCounter::Actual360);
// /// ```
// #[derive(Clone)]
// pub struct ZeroRateTermStructure {
//     reference_date: Date,
//     dates: Vec<Date>,
//     year_fractions: Vec<f64>,
//     rates: Vec<f64>,
//     rate_definition: RateDefinition,
//     interpolator: Interpolator,
//     enable_extrapolation: bool,
// }

// impl ZeroRateTermStructure {
//     /// Creates a new `ZeroRateTermStructure`.
//     ///
//     /// # Arguments
//     ///
//     /// * `reference_date` - The reference date for the term structure
//     /// * `dates` - Vector of dates for the rates
//     /// * `rates` - Vector of zero rates corresponding to each date
//     /// * `rate_definition` - The rate definition (day counter, compounding, frequency)
//     /// * `interpolator` - The interpolation method to use
//     /// * `enable_extrapolation` - Whether to allow extrapolation beyond the last date
//     ///
//     /// # Errors
//     ///
//     /// Returns an error if dates and rates have different lengths or if the first date is not the reference date.
//     pub fn new(
//         reference_date: Date,
//         dates: Vec<Date>,
//         rates: Vec<f64>,
//         rate_definition: RateDefinition,
//         interpolator: Interpolator,
//         enable_extrapolation: bool,
//     ) -> Result<Self> {
//         // check if dates and rates have the same size
//         if dates.len() != rates.len() {
//             return Err(AtlasError::InvalidValueErr(
//                 "Dates and rates need to have the same size".to_string(),
//             ));
//         }

//         // year_fractions[0] needs to be 0.0
//         if dates[0] != reference_date {
//             return Err(AtlasError::InvalidValueErr(
//                 "First date needs to be equal to reference date".to_string(),
//             ));
//         }

//         let year_fractions: Vec<f64> = dates
//             .iter()
//             .map(|x| {
//                 rate_definition
//                     .day_counter()
//                     .year_fraction(reference_date, *x)
//             })
//             .collect();

//         Ok(Self {
//             reference_date,
//             dates,
//             year_fractions,
//             rates,
//             rate_definition,
//             interpolator,
//             enable_extrapolation,
//         })
//     }

//     /// Returns a reference to the vector of dates.
//     #[must_use]
//     pub const fn dates(&self) -> &Vec<Date> {
//         &self.dates
//     }

//     /// Returns a reference to the vector of zero rates.
//     #[must_use]
//     pub const fn rates(&self) -> &Vec<f64> {
//         &self.rates
//     }

//     /// Returns the rate definition used by this term structure.
//     #[must_use]
//     pub const fn rate_definition(&self) -> RateDefinition {
//         self.rate_definition
//     }

//     /// Returns whether extrapolation is enabled for this term structure.
//     #[must_use]
//     pub const fn enable_extrapolation(&self) -> bool {
//         self.enable_extrapolation
//     }

//     /// Returns the interpolator used by this term structure.
//     #[must_use]
//     pub const fn interpolator(&self) -> Interpolator {
//         self.interpolator
//     }
// }

// impl HasReferenceDate for ZeroRateTermStructure {
//     fn reference_date(&self) -> Date {
//         self.reference_date
//     }
// }

// impl YieldProvider for ZeroRateTermStructure {
//     fn discount_factor(&self, date: Date) -> Result<f64> {
//         let year_fraction = self
//             .rate_definition()
//             .day_counter()
//             .year_fraction(self.reference_date(), date);

//         let rate = self.interpolator.interpolate(
//             year_fraction,
//             &self.year_fractions,
//             &self.rates,
//             self.enable_extrapolation,
//         )?;
//         let rt = InterestRate::from_rate_definition(rate, self.rate_definition());
//         let compound = rt.compound_factor_from_yf(year_fraction);
//         Ok(1.0 / compound)
//     }

//     fn forward_rate(
//         &self,
//         start_date: Date,
//         end_date: Date,
//         comp: Compounding,
//         freq: Frequency,
//     ) -> Result<f64> {
//         let df_to_star = self.discount_factor(start_date)?;
//         let df_to_end = self.discount_factor(end_date)?;

//         let comp_factor = df_to_star / df_to_end;

//         let t = self
//             .rate_definition()
//             .day_counter()
//             .year_fraction(start_date, end_date);

//         let forward_rate = (InterestRate::<f64>::implied_rate(
//             comp_factor,
//             self.rate_definition().day_counter(),
//             comp,
//             freq,
//             t,
//         )?)
//         .rate();

//         Ok(forward_rate)
//     }
// }

// /// # `AdvanceTermStructureInTime` for `ZeroRateTermStructure`
// impl AdvanceTermStructureInTime for ZeroRateTermStructure {
//     fn advance_to_period(&self, period: Period) -> Result<Arc<dyn YieldTermStructureTrait>> {
//         let new_reference_date = self
//             .reference_date()
//             .advance(period.length(), period.units());

//         let new_dates: Vec<Date> = self
//             .dates()
//             .iter()
//             .map(|x| x.advance(period.length(), period.units()))
//             .collect();

//         let start_df = self.discount_factor(new_dates[0])?;
//         let shifted_dfs: Result<Vec<f64>> = new_dates
//             .iter()
//             .map(|x| {
//                 let df = self.discount_factor(*x)?;
//                 Ok(df / start_df)
//             })
//             .collect();

//         Ok(Arc::new(Self::new(
//             new_reference_date,
//             new_dates,
//             shifted_dfs?,
//             self.rate_definition(),
//             self.interpolator(),
//             self.enable_extrapolation(),
//         )?))
//     }

//     fn advance_to_date(&self, date: Date) -> Result<Arc<dyn YieldTermStructureTrait>> {
//         let days = i32::try_from(date - self.reference_date())
//             .map_err(|_| AtlasError::InvalidValueErr("Day count should fit in i32".to_string()))?;
//         if days < 0 {
//             return Err(AtlasError::InvalidValueErr(format!(
//                 "Date {date:?} is before reference date {reference_date:?}",
//                 reference_date = self.reference_date()
//             )));
//         }
//         let period = Period::new(days, TimeUnit::Days);
//         self.advance_to_period(period)
//     }
// }

// impl YieldTermStructureTrait for ZeroRateTermStructure {}

// #[cfg(test)]
// mod tests {
//     use super::*;
//     use crate::time::daycounter::DayCounter;

//     #[test]
//     fn test_zero_rate_curve() {
//         let reference_date = Date::new(2020, 1, 1);
//         let dates = vec![
//             Date::new(2020, 1, 1),
//             Date::new(2020, 4, 1),
//             Date::new(2020, 7, 1),
//             Date::new(2020, 10, 1),
//             Date::new(2021, 1, 1),
//         ];
//         let rates = vec![0.0, 0.01, 0.02, 0.03, 0.04];
//         let rate_definition = RateDefinition::default();

//         let zero_rate_curve = ZeroRateTermStructure::new(
//             reference_date,
//             dates,
//             rates,
//             rate_definition,
//             Interpolator::Linear,
//             true,
//         )
//         .unwrap_or_else(|e| {
//             panic!("ZeroRateTermStructure::new should succeed in test_reference_date: {e}")
//         });

//         assert_eq!(zero_rate_curve.reference_date(), reference_date);
//         assert_eq!(
//             zero_rate_curve.dates(),
//             &vec![
//                 Date::new(2020, 1, 1),
//                 Date::new(2020, 4, 1),
//                 Date::new(2020, 7, 1),
//                 Date::new(2020, 10, 1),
//                 Date::new(2021, 1, 1)
//             ]
//         );
//         assert_eq!(zero_rate_curve.rates(), &vec![0.0, 0.01, 0.02, 0.03, 0.04]);
//         assert_eq!(
//             zero_rate_curve.rate_definition().day_counter(),
//             DayCounter::Actual360
//         );
//     }

//     #[test]
//     fn test_forward_rate() {
//         let reference_date = Date::new(2020, 1, 1);
//         let dates = vec![
//             Date::new(2020, 1, 1),
//             Date::new(2021, 1, 1),
//             Date::new(2022, 1, 1),
//             Date::new(2023, 1, 1),
//             Date::new(2024, 1, 1),
//         ];
//         let rates = vec![0.0, 0.01, 0.02, 0.03, 0.04];
//         let rate_definition = RateDefinition::default();

//         let zero_rate_curve = ZeroRateTermStructure::new(
//             reference_date,
//             dates,
//             rates,
//             rate_definition,
//             Interpolator::Linear,
//             true,
//         )
//         .unwrap_or_else(|e| {
//             panic!("ZeroRateTermStructure::new should succeed in test_forward_rate: {e}")
//         });

//         let fr = zero_rate_curve.forward_rate(
//             Date::new(2021, 1, 1),
//             Date::new(2022, 1, 1),
//             rate_definition.compounding(),
//             rate_definition.frequency(),
//         );

//         let fr =
//             fr.unwrap_or_else(|e| panic!("forward_rate should succeed in test_forward_rate: {e}"));
//         println!("fr: {fr:?}");
//         assert!((fr - 0.02972519115024655).abs() < 0.000000001);
//     }
// }