/// <summary>
/// Gets the number of months between the contract month and the expiry date.
/// </summary>
/// <param name="underlying">The future symbol ticker</param>
/// <param name="futureExpiryDate">Expiry date to use to look up contract month delta. Only used for dairy, since we need to lookup its contract month in a pre-defined table.</param>
/// <returns>The number of months between the contract month and the contract expiry</returns>
public static int GetDeltaBetweenContractMonthAndContractExpiry(string underlying, DateTime?futureExpiryDate = null)
{
int value;
if (futureExpiryDate != null && _dairyUnderlying.Contains(underlying))
{
// Dairy can expire in the month following the contract month.
var dairyReportDate = futureExpiryDate.Value.Date.AddDays(1);
if (_reverseDairyReportDates.ContainsKey(dairyReportDate))
{
var contractMonth = _reverseDairyReportDates[dairyReportDate];
// Gets the distance between two months in months
return(((contractMonth.Year - dairyReportDate.Year) * 12) + contractMonth.Month - dairyReportDate.Month);
}
return(0);
}
return(ExpiriesPriorMonth.TryGetValue(underlying, out value) ? value : 0);
}
/// <summary>
/// Returns the number of months prior to the contract month that the future expires
/// </summary>
/// <param name="underlying">The future symbol</param>
/// <returns>The number of months prior it expires</returns>
public static int ExpiresInPreviousMonth(string underlying)
{
int value;
return(ExpiriesPriorMonth.TryGetValue(underlying, out value) ? value : 0);
}
