X-Git-Url: https://git.creatis.insa-lyon.fr/pubgit/?p=CreaPhase.git;a=blobdiff_plain;f=octave_packages%2Ffinancial-0.4.0%2Fthirdwednesday.m;fp=octave_packages%2Ffinancial-0.4.0%2Fthirdwednesday.m;h=18ce73dd24012436e2cf204ac55be40b7b8a3285;hp=0000000000000000000000000000000000000000;hb=c880e8788dfc484bf23ce13fa2787f2c6bca4863;hpb=1705066eceaaea976f010f669ce8e972f3734b05

diff --git a/octave_packages/financial-0.4.0/thirdwednesday.m b/octave_packages/financial-0.4.0/thirdwednesday.m
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+## Copyright (C) 2008 Bill Denney <bill@denney.ws>
+##
+## This program is free software; you can redistribute it and/or modify it under
+## the terms of the GNU General Public License as published by the Free Software
+## Foundation; either version 3 of the License, or (at your option) any later
+## version.
+##
+## This program is distributed in the hope that it will be useful, but WITHOUT
+## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
+## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more
+## details.
+##
+## You should have received a copy of the GNU General Public License along with
+## this program; if not, see <http://www.gnu.org/licenses/>.
+
+## -*- texinfo -*-
+## @deftypefn {Function File} {[begindate, enddate]} = thirdwednesday (month, year)
+##
+## Find the third Wednesday of the month specified by the @var{month}
+## and @var{year}.  The @var{begindate} is the third Wednesday of the
+## month, and the @var{enddate} is three months after that.  Outputs are
+## in the form of datenums.
+##
+## The third Wednesday is used for Eurodollar futures.
+##
+## @seealso{nweekdate, datenum}
+## @end deftypefn
+
+function [wednesdays, enddate] = thirdwednesday (month, year)
+
+  if nargin ~= 2
+	print_usage ();
+  elseif ~ ((numel(year) == 1) ||
+            (numel(month) == 1) ||
+            ~isequal (size (month), size (year)))
+    error("month and year must have the same size or one of them must be a scalar")
+  endif
+
+  if numel (year) == 1
+    sz = size (month);
+  else
+    sz = size (year);
+  endif
+
+  wednesdays = nweekdate (3, 4, year, month);
+  dates = datevec (wednesdays);
+  ## adjust the year when the date will wrap
+  dates(:,1) += dates (:,2) > 9;
+  ## adjust the month by three
+  dates(:,2) = mod (dates(:,2) + 2, 12) + 1;
+  enddate = reshape (datenum (dates), sz);
+
+endfunction
+
+## Tests
+%!shared m, y, bt, et
+%! m = (1:12)';
+%! y = 2008;
+%! bt = datenum(2008, m, [16;20;19;16;21;18;16;20;17;15;19;17]);
+%! et = datenum([2008*ones(9,1);2009*ones(3,1)], [4:12 1:3]', [16;20;19;16;21;18;16;20;17;15;19;17]);
+%!test
+%! [b e] = thirdwednesday (m, y);
+%! assert(b, bt)
+%! assert(e, et)
+%!test
+%! [b e] = thirdwednesday (m', y);
+%! assert(b, bt')
+%! assert(e, et')