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import datetime
import pandas as pd
from dateutil.relativedelta import relativedelta, WE
try:
from dateutil.parser import isoparse
except ImportError:
from dateutil.parser import parse as isoparse
from pandas.tseries.offsets import CustomBusinessDay, Day, QuarterBegin
from pandas.tseries.holiday import get_calendar, HolidayCalendarFactory, GoodFriday
fed_cal = get_calendar("USFederalHolidayCalendar")
bond_cal = HolidayCalendarFactory("BondCalendar", fed_cal, GoodFriday)
bus_day = CustomBusinessDay(calendar=bond_cal())
def imm_dates(start_date, end_date):
start_date = bus_day.rollback(start_date) - 19 * Day()
start_date = QuarterBegin(startingMonth=3).rollback(start_date)
# should be close=left I think
return (
pd.date_range(start_date, end_date, freq="QS-MAR", closed=None)
.shift(19, freq="D")
.shift(0, bus_day)
)
def previous_twentieth(d):
r = datetime.date(d.year, d.month, 20)
if r > d:
r -= relativedelta(months=1)
mod = r.month % 3
if mod != 0:
r -= relativedelta(months=mod)
return r
def imm_date(d):
if isinstance(d, str):
d = isoparse(d)
r = d + relativedelta(day=1, weekday=WE(3))
if r <= d:
return imm_date(r + relativedelta(months=1, day=1))
return r
def days_accrued(tradedate):
tradedate = pd.Timestamp(tradedate)
start_protection = tradedate + Day()
# we want the the largest twentieth imm date rolled forward such that
# it's less than start_protection
effective_date = pd.Timestamp(
previous_twentieth(bus_day.rollback(start_protection).date())
)
effective_date = bus_day.rollforward(effective_date)
delta = start_protection - effective_date
return delta.days
def isleapyear(date):
return (date.year % 4) == 0 & (~(date.year % 100 == 0) | date.year % 400 == 0)
def yearfrac(date1, date2, daycount):
if daycount == "30/360":
d1 = date1.dt.day.copy()
d2 = date2.dt.day.copy()
d2[(d2 == 31) & (d1.isin([30, 31]))] = 30
d1.replace({31: 30})
y1 = date1.dt.year
y2 = date2.dt.year
m1 = date1.dt.month
m2 = date2.dt.month
return (360 * (y2 - y1) + 30 * (m2 - m1) + d2 - d1) / 360
days_accrued = date2 - date1
if daycount == "ACT/365":
return days_accrued.dt.days / 365
if daycount == "ACT/360":
return days_accrued.dt.days / 360
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