Add Excel module

Add a default yearfrac (Excel.Thirty360)

Author: Eric Forgy

src/excel.jl

@@ -1,5 +1,11 @@
+module Excel
+
+using ..DayCounts, ..Dates
+
 """
-    Thirty360Excel()
+    Excel.Thirty360()
+
+Excel Basis = 0 or omitted
 
 **US (NASD) 30/360** day count convention, as computed via Microsoft Excel `YEARFRAC` with the basis option of `0`.
 
@@ -12,9 +18,8 @@ This differs from [`Thirty360`](@ref) when:
 - [Microsoft Excel `YEARFRAC` function](https://support.office.com/en-us/article/yearfrac-function-3844141e-c76d-4143-82b6-208454ddc6a8)
 - [David A. Wheeler (2008) "YEARFRAC Incompatibilities between Excel 2007 and OOXML (OXML), and the Definitions Actually Used by Excel 2007"](https://dwheeler.com/yearfrac/excel-ooxml-yearfrac.pdf)
 """
-struct Thirty360Excel <: DayCount
-end
-function yearfrac(startdate::Date, enddate::Date, dc::Thirty360Excel)
+struct Thirty360 <: DayCounts.DayCount end
+function DayCounts.yearfrac(startdate::Date, enddate::Date, dc::Thirty360)
     if startdate > enddate
         return -yearfrac(enddate, startdate, dc)
     end
@@ -36,11 +41,14 @@ function yearfrac(startdate::Date, enddate::Date, dc::Thirty360Excel)
             d2 = 30
         end
     end
-    return thirty360(y2-y1,m2-m1,d2-d1)
+    return DayCounts.thirty360(y2-y1,m2-m1,d2-d1)
 end
+DayCounts.yearfrac(startdate::Date, enddate::Date) = DayCounts.yearfrac(startdate::Date, enddate::Date, Thirty360())
 
 """
-    ActualActualExcel()
+    Excel.ActualActual()
+
+Excel Basis = 1
 
 **Actual/Actual** day count convention, as computed via Microsoft Excel `YEARFRAC` with the basis option of `1`.
 
@@ -59,9 +67,8 @@ where:
 - [Microsoft Excel `YEARFRAC` function](https://support.office.com/en-us/article/yearfrac-function-3844141e-c76d-4143-82b6-208454ddc6a8)
 - [David A. Wheeler (2008) "YEARFRAC Incompatibilities between Excel 2007 and OOXML (OXML), and the Definitions Actually Used by Excel 2007"](https://dwheeler.com/yearfrac/excel-ooxml-yearfrac.pdf)
 """
-struct ActualActualExcel <: DayCount
-end
-function yearfrac(startdate::Date, enddate::Date, dc::ActualActualExcel)
+struct ActualActual <: DayCounts.DayCount end
+function DayCounts.yearfrac(startdate::Date, enddate::Date, dc::ActualActual)
     if startdate > enddate
         return -yearfrac(enddate, startdate, dc)
     end
@@ -81,3 +88,70 @@ function yearfrac(startdate::Date, enddate::Date, dc::ActualActualExcel)
         return Dates.value(enddate-startdate) / (sum(daysinyear, yrange) / length(yrange))
     end
 end
+
+"""
+    Excel.Actual360()
+
+Excel Basis = 2
+
+Same as DayCounts.Actual360.
+
+**Actual/360** day count convention.
+
+The year fraction is computed as:
+```math
+\\frac{\\text{# of days}}{360}
+```
+
+# Reference
+ - 2006 ISDA definitions, §4.16 (e)
+
+"""
+const Actual360 = DayCounts.Actual360
+
+"""
+    Excel.Actual365()
+
+Excel Basis = 3
+
+Same as DayCounts.Actual365Fixed.
+
+**Actual/365 (Fixed)** day count convention.
+
+The year fraction is computed as:
+```math
+\\frac{\\text{# of days}}{365}
+```
+
+# Reference
+ - 2006 ISDA definitions, §4.16 (d)
+"""
+const Actual365 = DayCounts.Actual365Fixed
+
+"""
+    Excel.ThirtyE360()
+
+Excel Basis = 4
+
+Same as DayCounts.ThirtyE360.
+
+**30E/360** or **Eurobond Basis** day count convention.
+
+The year fraction is computed as:
+```math
+\\frac{360 \\times (y_2 - y_1) + 30 \\times (m_2 - m_1) + (d_2 - d_1)}{360}
+```
+where
+- ``y_1`` and ``y_2`` are the years of the start and end date, respectively.
+- ``m_1`` and ``m_2`` are the months of the start and end date, respectively.
+- ``d_1`` is the day of the month at the start date, unless it is 31st day of the month,
+  in which case it is 30.
+- ``d_2`` is the day of the month at the end date,  unless it is 31st day of the month,
+  in which case it is 30.
+
+# Reference
+ - 2006 ISDA definitions, §4.16 (g)
+"""
+const ThirtyE360 = DayCounts.ThirtyE360
+
+end

test/excel.jl

@@ -2,31 +2,31 @@ using Test, DayCounts, Dates, ExcelFiles
 
 @testset "Excel basis 0" begin
     table = load("yearfrac.xlsx","basis0")
-    dc = DayCounts.Thirty360Excel()
+    dc = DayCounts.Excel.Thirty360()
     for r in ExcelFiles.getiterator(table)
         @test yearfrac(Date(r.startdate), Date(r.enddate), dc) == r.yearfrac
     end
 end
 
 @testset "Excel basis 1" begin
     table = load("yearfrac.xlsx","basis1")
-    dc = DayCounts.ActualActualExcel()
+    dc = DayCounts.Excel.ActualActual()
     for r in ExcelFiles.getiterator(table)
         @test yearfrac(Date(r.startdate), Date(r.enddate), dc) == r.yearfrac
     end
 end
 
 @testset "Excel basis 2" begin
     table = load("yearfrac.xlsx","basis2")
-    dc = DayCounts.Actual360()
+    dc = DayCounts.Excel.Actual360()
     for r in ExcelFiles.getiterator(table)
         @test yearfrac(Date(r.startdate), Date(r.enddate), dc) == r.yearfrac
     end
 end
 
 @testset "Excel basis 3" begin
     table = load("yearfrac.xlsx","basis3")
-    dc = DayCounts.Actual365Fixed()
+    dc = DayCounts.Excel.Actual365()
     for r in ExcelFiles.getiterator(table)
         @test yearfrac(Date(r.startdate), Date(r.enddate), dc) == r.yearfrac
     end

test/runtests.jl

@@ -289,8 +289,8 @@ end
 end
 
 
-@testset "Thirty360Excel" begin
-    dc = DayCounts.Thirty360Excel()
+@testset "Excel.Thirty360" begin
+    dc = DayCounts.Excel.Thirty360()
     # usual rule: ((d2-d1) + (m2-m1)*30 + (y2-y1)*360)/360
     @test yearfrac(Date(2011,12,28), Date(2012, 2,28), dc) == ((28-28) + (2-12)*30 + (2012-2011)*360)/360
     @test yearfrac(Date(2011,12,28), Date(2012, 2,29), dc) == ((29-28) + (2-12)*30 + (2012-2011)*360)/360
@@ -325,8 +325,8 @@ end
 
 
 
-@testset "ActualActualExcel" begin
-    dc = DayCounts.ActualActualExcel()
+@testset "Excel.ActualActual" begin
+    dc = DayCounts.Excel.ActualActual()
     # calculated from Excel sheet
     @test yearfrac(Date(2011,12,28), Date(2012, 2,28), dc) == 62/365
     @test yearfrac(Date(2011,12,28), Date(2012, 2,29), dc) == 63/366