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import datetime
import pandas as pd
import unittest
from dateutil.relativedelta import relativedelta
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 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
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()
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