1 files changed, 39 insertions, 0 deletions
diff --git a/python/dates.py b/python/dates.py
new file mode 100644
index 00000000..2a946889
--- /dev/null
+++ b/python/dates.py
@@ -0,0 +1,39 @@
+import pandas as pd
+from pandas.tseries.offsets import CustomBusinessDay, Day
+from pandas.tseries.holiday import get_calendar, HolidayCalendarFactory, GoodFriday
+import unittest
+
+fed_cal = get_calendar('USFederalHolidayCalendar')
+bond_cal = HolidayCalendarFactory('BondCalendar', fed_cal, GoodFriday)
+bus_day = CustomBusinessDay(calendar=bond_cal())
+
+def prev_immdate(valdate):
+    dates = [pd.datetime(valdate.year-1, 12, 20)] + \
+            [pd.datetime(valdate.year, m, 20) for m in [3, 6, 9, 12]]
+    dates = [bus_day.rollforward(d) for d in dates]
+    for i, d in enumerate(dates[1:], 1):
+        if d >= valdate:
+            break
+    else:
+        return dates[-1]
+    return d if d==valdate else dates[i-1]
+
+def days_accrued(tradedate):
+    start_protection = pd.Timestamp(tradedate) + Day()
+    delta = start_protection-prev_immdate(start_protection)
+    return delta.days
+
+class TestDaysAccrued(unittest.TestCase):
+    def test(self):
+        dates = [('2015-01-07', 17),
+                 ('2015-06-19', 92),
+                 ('2015-03-19', 0),
+                 ('2015-06-20', 93),
+                 ('2015-06-21', 0),
+                 ('2015-12-21', 1),
+                 ('2015-12-28', 8)]
+        for date, days in dates:
+            self.assertEqual(days_accrued(date), days)
+
+if __name__=="__main__":
+    unittest.main()