Add Excel module

src/DayCounts.jl

@@ -4,7 +4,7 @@ module DayCounts
 # https://www.isda.org/2008/12/22/30-360-day-count-conventions/
 
 using Dates
-export yearfrac
+export yearfrac, Excel
 
 """
     yearfrac(startdate::Date, enddate::Date, dc::DayCount)
@@ -22,7 +22,7 @@ end
 abstract type DayCount end
 
 """
-    Actual365Fixed()
+    Actual365Fixed() or Excel.Actual365
 
 **Actual/365 (Fixed)** day count convention.
 
@@ -194,6 +194,47 @@ function yearfrac(startdate::Date, enddate::Date, dc::Thirty360)
     return thirty360(dy,dm,d2-d1)
 end
 
+"""
+    ThirtyU360() or Excel.Thirty360
+
+**US (NASD) 30/360** day count convention, as computed via Microsoft Excel `YEARFRAC` with the basis option of `0`.
+
+This differs from [`Thirty360`](@ref) when:
+*  if the start date is the last day of February, then
+  -  ``d_1`` is 30, and
+  - if the end date is also the last day of February ``d_2`` is also 30.
+
+# Reference
+- [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 ThirtyU360 <: DayCount end
+function yearfrac(startdate::Date, enddate::Date, dc::ThirtyU360)
+    if startdate > enddate
+        return -yearfrac(enddate, startdate, dc)
+    end
+
+    y1 = year(startdate)
+    y2 = year(enddate)
+    m1 = month(startdate)
+    m2 = month(enddate)
+    d1 = day(startdate)
+    d2 = day(enddate)
+    if d1 >= 30
+        d1 = 30
+        if d2 >= 30
+            d2 = 30
+        end
+    elseif m1 == 2 && startdate == lastdayofmonth(startdate)
+        d1 = 30
+        if m2 == 2 && enddate == lastdayofmonth(enddate)
+            d2 = 30
+        end
+    end
+    return DayCounts.thirty360(y2-y1,m2-m1,d2-d1)
+end
+yearfrac(startdate::Date, enddate::Date) = DayCounts.yearfrac(startdate::Date, enddate::Date, ThirtyU360()) # Defaul DayCount
+
 """
     ThirtyE360()
 

src/excel.jl

@@ -1,46 +1,14 @@
-"""
-    Thirty360Excel()
+module Excel
 
-**US (NASD) 30/360** day count convention, as computed via Microsoft Excel `YEARFRAC` with the basis option of `0`.
+using ..DayCounts, ..Dates
 
-This differs from [`Thirty360`](@ref) when:
-*  if the start date is the last day of February, then
-  -  ``d_1`` is 30, and
-  - if the end date is also the last day of February ``d_2`` is also 30.
+@doc (@doc DayCounts.ThirtyU360)
+const Thirty360 = DayCounts.ThirtyU360
 
-# Reference
-- [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)
-    if startdate > enddate
-        return -yearfrac(enddate, startdate, dc)
-    end
-
-    y1 = year(startdate)
-    y2 = year(enddate)
-    m1 = month(startdate)
-    m2 = month(enddate)
-    d1 = day(startdate)
-    d2 = day(enddate)
-    if d1 >= 30
-        d1 = 30
-        if d2 >= 30
-            d2 = 30
-        end
-    elseif m1 == 2 && startdate == lastdayofmonth(startdate)
-        d1 = 30
-        if m2 == 2 && enddate == lastdayofmonth(enddate)
-            d2 = 30
-        end
-    end
-    return thirty360(y2-y1,m2-m1,d2-d1)
-end
+    Excel.ActualActual()
 
-"""
-    ActualActualExcel()
+Excel Basis = 1
 
 **Actual/Actual** day count convention, as computed via Microsoft Excel `YEARFRAC` with the basis option of `1`.
 
@@ -59,9 +27,8 @@ 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 +48,14 @@ function yearfrac(startdate::Date, enddate::Date, dc::ActualActualExcel)
         return Dates.value(enddate-startdate) / (sum(daysinyear, yrange) / length(yrange))
     end
 end
+
+@doc (@doc DayCounts.Actual360)
+const Actual360 = DayCounts.Actual360
+
+@doc (@doc DayCounts.Actual365Fixed)
+const Actual365 = DayCounts.Actual365Fixed
+
+@doc (@doc DayCounts.ThirtyE360)
+const ThirtyE360 = DayCounts.ThirtyE360
+
+end

test/excel.jl

@@ -2,39 +2,39 @@ 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
 end
 
 @testset "Excel basis 4" begin
     table = load("yearfrac.xlsx","basis4")
-    dc = DayCounts.ThirtyE360()
+    dc = DayCounts.Excel.ThirtyE360()
     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 "ThirtyU360" begin
+    dc = DayCounts.ThirtyU360()
     # 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