R/set_year_fraction.R

In gfunk0704/RcppQuantitativeFinance: What the Package Does in One 'Title Case' Line

SetYearFraction <- function(dayCount) {
    dayCount <- toupper(dayCount)
    
    if (dayCount %in% c("ACT360", "ACT365F")) {
        dominator <- switch(dayCount,
                            "ACT360"  = 360,
                            "ACT365F" = 365)
        
        function(startDate, endDate) as.numeric(endDate - startDate) / dominator
    } else if (dayCount %in% c("ACTACT", "ACTACTISDA", "ACT365")) {
        RemainderOfYear <- function(date) `if`(lubridate::leap_year(date), 366, 365) - DaysOfYear(date) + 1
        Vectorize(
            function(startDate, endDate) {
                startYyyy   <- lubridate::year(startDate)
                endYyyy     <- lubridate::year(endDate)
                startLength <- `if`(lubridate::leap_year(startDate), 366, 365)
                endLength   <- `if`(lubridate::leap_year(endDate), 366, 365)
                if (startYyyy == endYyyy) {
                    as.numeric(endDate - startDate) / startLength
                } else {
                    endYyyy - startYyyy - 1 + 
                        (startLength - RemainderOfYear(startDate)) / startLength + 
                        (endLength - RemainderOfYear(endDate)) / endLength
                }
            }
        )
    } else if (dayCount %in% c("30360BOND", "30E360")) {
        BaseYearFraction <- function(startDate, endDate) {
            lubridate::year(endDate) - lubridate::year(startDate) + 
                (lubridate::month(endDate) - lubridate::month(startDate)) / 12 + 
                (lubridate::day(endDate) - lubridate::day(startDate)) / 360
        }
        
        switch(dayCount,
               "30360BOND" = function(startDate, endDate) {
                   lubridate::day(startDate) <- pmin(lubridate::day(startDate), 30)
                   lubridate::day(endDate)   <- ifelse(test = lubridate::day(startDate) == 30,
                                                       yes  = pmin(lubridate::day(endDate), 30),
                                                       no   = lubridate::day(endDate))
                   
                   BaseYearFraction(startDate, endDate)
               }, 
               "30E360" = function(startDate, endDate) {
                   lubridate::day(startDate) <- pmin(lubridate::day(startDate), 30)
                   lubridate::day(endDate)   <- pmin(lubridate::day(endDate), 30)
                   BaseYearFraction(startDate, endDate)
               })
    } else {
        stop("unknown type of day count convention")
    }
}