CBOTAGexpiration.cpp

#include <stdexcept>
#include <iostream>
#include "NewDateTime.h"

using namespace std;

NEWDATETIMEPTR const long mydate_csum[12]={0,31,59,90,120,151,181,212,243,273,304,334};
NEWDATETIMEPTR const long mydate_mlength[12]={31,28,31,30,31,30,31,31,30,31,30,31};

NEWDATETIMEPTR const double days_per_year = (400.0*365+100-3)/400.0;
NEWDATETIMEPTR const double inv_days_per_year = 400.0/(400.0*365+100-3);

NEWDATETIMEPTR char *month_list[12] = {
   "JAN",
   "FEB",
   "MAR",
   "APR",
   "MAY",
   "JUN",
   "JUL",
   "AUG",
   "SEP",
   "OCT",
   "NOV",
   "DEC"
};

NEWDATETIMEPTR char *commodity_month_list[12] = {
   "F",
   "G",
   "H",
   "J",
   "K",
   "M",
   "N",
   "Q",
   "U",
   "V",
   "X",
   "Z"
};

NEWDATETIMEFNC int STDCALL check_date_format( long date) {
   long cc, mm, dd;
//   long yy;
   
   if (date < 0) {
     return 5;
   }

   cc =  date / 1000000;
//   yy = (date / 10000) % 100;
   mm = (date / 100  ) % 100;
   dd =  date % 100;

   if (cc!=0 && (cc < 12 || cc > 22)) {
     return 1;
   }
   if (mm < 1  || mm > 12) {
     return 2;
   }
   if (dd < 1  || dd > 31) {
     return 3;
   }

   return 0;
}

NEWDATETIMEFNC int STDCALL check_month_format( long date)
{
   long cc, mm;

   if (date < 0) return 5;

   cc =  date / 10000;
   mm =  date % 100;

   if (cc!=0 && (cc < 12 || cc > 22)) return 1;
   if (mm < 1  || mm > 12) return 2;

   return 0;
}

NEWDATETIMEFNC long STDCALL serial_month( long month)  // 199112
{
   long cc, yy, mm, serial;

   if ((cc=check_month_format( month))!=0) {
     throw domain_error( "month has bad format");
   }

   cc = month / 10000;
   if (cc==0) {
      cc = 19;
   }

   yy = (month / 100) % 100;

   mm = month % 100;

   serial = (cc - 19) * 1200 + yy * 12 + mm-1;

   return serial;
}

NEWDATETIMEFNC long STDCALL inv_serial_month( long serial)
{
   long month, cc, yy, mm;
   
   if (serial >= 0) 
   {
      cc = serial / 1200 + 19;
   }
   else
   {
      cc = serial / 1200 + 18;
   }
   serial -= (cc - 19) * 1200;

   yy = serial / 12;
   serial -= yy * 12;

   mm = serial+1;

   month = cc * 10000 + yy * 100 + mm;

   return month;
}


NEWDATETIMEFNC bool STDCALL is_leap( int CCYY) {
  return (CCYY%4 == 0 && (CCYY%400 == 0 || CCYY%100 != 0));
}

NEWDATETIMEFNC int STDCALL cbot_ag_option_expiration_algorithm( int ccyymm) {
  ccyymm = inv_serial_month( serial_month( ccyymm)-1);
  int mm = ccyymm % 100;
  int ccyy = ccyymm / 100;
  int month_length;

  if (mm > 12 || mm < 1) throw domain_error( "invalid month passed to cbot_ag_option_expiration_algorithm");
  month_length = mydate_mlength[mm-1];
  if (is_leap(ccyy)) month_length++;
  
  int dy = month_length;
  int ccyymmdd = ccyymm * 100 + dy;
  int wkdy;

  int num_business_days=0;
  for (;;) {
    wkdy = week_day( ccyymmdd);
    if (wkdy >=1 && wkdy <=5) num_business_days++;
    if (num_business_days == 2) break;
    ccyymmdd--;
  }

  int shift = wkdy-5;
  if (shift <= 0) shift += 7;
  ccyymmdd -= shift;

  return ccyymmdd;
}    

NEWDATETIMEFNC int STDCALL cbot_ag_option_expiration2( int ccyy, char month_code) {
  int i;
  for (i=0; i<12; i++) {
    if (commodity_month_list[i][0] == month_code) {
      break;
    }
  }
  if (i==12) {
    throw domain_error( "month_code not recognized");
  }
  i++;
  int ccyymm = ccyy * 100 + i;
  return cbot_ag_option_expiration( ccyymm);
}


NEWDATETIMEFNC int STDCALL cbot_ag_option_expiration( int ccyymm) {
  int i, diff;

  for (i = 0; all_expirations[i].ccyymm != 0; i++) {
    if (all_expirations[i].ccyymm == ccyymm) {
      diff = day_diff( ccyymm*100 + 1, all_expirations[i].ccyymmdd);
      if (diff < 0 || diff > 30) {
        cerr << "warning bad data in lookup table for ccyymm = " 
             << ccyymm 
             << " and ccyymmdd = "
             << all_expirations[i].ccyymmdd
             << "diff = " 
             << diff 
             << endl;
        return cbot_ag_option_expiration_algorithm( ccyymm);
      }

      return all_expirations[i].ccyymmdd;
    }
  }

  return cbot_ag_option_expiration_algorithm( ccyymm);
}

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