public Coupbase(FinancialDay settlement, FinancialDay maturity, int frequency, DayCountBasis basis)
{
Settlement = settlement;
Maturity = maturity;
Frequency = frequency;
Basis = basis;
}
public void Should_OrderBy_YearFirst()
{
FinancialDay day2 = Calendar.GetDayForDate(new DateTime(2000, 1, 1));
FinancialDay day1 = Calendar.GetDayForDate(new DateTime(1999, 12, 1));
Assert.AreEqual(day1, Calendar.Days.ElementAt(0));
Assert.AreEqual(day2, Calendar.Days.ElementAt(1));
}
public void Should_EndWithStatementBalance_When_StartOfDay()
{
FinancialDay day = Tester.GetToday();
decimal balance = 1000;
day.AddStatement(new Statement(balance, AddWhen.StartOfDay));
Assert.AreEqual(balance, day.EndingBalance);
}
public void Should_AddPreviousDay()
{
FinancialDay day1 = Calendar.GetDayForDate(new DateTime(2000, 1, 1));
FinancialDay day2 = Calendar.GetDayForDate(new DateTime(1999, 12, 1));
Assert.AreSame(day2, day1.PreviousDay);
}
public void Should_Ignore_Time_Of_Day()
{
FinancialDay day1 = Calendar.GetDayForDate(new DateTime(2000, 1, 1, 12, 0, 0));
FinancialDay day2 = Calendar.GetDayForDate(new DateTime(2000, 1, 1, 12, 30, 0));
Assert.AreSame(day1, day2);
Assert.AreEqual(1, Calendar.Days.Count());
}
public void Should_Not_Add_Day_If_It_Exists_Already()
{
FinancialDay day1 = Calendar.GetDayForDate(new DateTime(2000, 1, 1));
FinancialDay day2 = Calendar.GetDayForDate(new DateTime(2000, 1, 1));
Assert.AreSame(day1, day2);
Assert.AreEqual(1, Calendar.Days.Count());
}
public static FinanceCalcResult <double> GetPrice(FinancialDay settlement, FinancialDay maturity, double rate, double yield, double redemption, int frequency, DayCountBasis basis = DayCountBasis.US_30_360)
{
var coupDaysResult = new CoupdaysImpl(settlement, maturity, frequency, basis).GetCoupdays();
if (coupDaysResult.HasError)
{
return(coupDaysResult);
}
var coupdaysNcResult = new CoupdaysncImpl(settlement, maturity, frequency, basis).Coupdaysnc();
if (coupdaysNcResult.HasError)
{
return(coupdaysNcResult);
}
var coupnumResult = new CoupnumImpl(settlement, maturity, frequency, basis).GetCoupnum();
if (coupnumResult.HasError)
{
return(new FinanceCalcResult <double>(coupnumResult.ExcelErrorType));
}
var coupdaysbsResult = new CoupdaybsImpl(settlement, maturity, frequency, basis).Coupdaybs();
if (coupdaysbsResult.HasError)
{
return(new FinanceCalcResult <double>(coupdaysbsResult.ExcelErrorType));
}
var E = coupDaysResult.Result;
var DSC = coupdaysNcResult.Result;
var N = coupnumResult.Result;
var A = coupdaysbsResult.Result;
var retVal = -1d;
if (N > 1)
{
var part1 = redemption / System.Math.Pow(1d + (yield / frequency), N - 1d + (DSC / E));
var sum = 0d;
for (var k = 1; k <= N; k++)
{
sum += (100 * (rate / frequency)) / System.Math.Pow(1 + yield / frequency, k - 1 + DSC / E);
}
retVal = part1 + sum - (100 * (rate / frequency) * (A / E));
}
else
{
var DSR = E - A;
var T1 = 100 * (rate / frequency) + redemption;
var T2 = (yield / frequency) * (DSR / E) + 1;
var T3 = 100 * (rate / frequency) * (A / E);
retVal = T1 / T2 - T3;
}
return(new FinanceCalcResult <double>(retVal));
}
public void Should_AddNextDay()
{
FinancialDay day1 = Calendar.GetDayForDate(new DateTime(2000, 1, 1));
Assert.IsNull(day1.NextDay);
FinancialDay day2 = Calendar.GetDayForDate(new DateTime(2000, 1, 2));
Assert.AreSame(day2, day1.NextDay);
}
public void Should_StartWith_PreviousDays_EndingBalance_If_NoStatementsPresent()
{
FinancialDay day = Tester.GetToday();
decimal balance = 2000;
day.PreviousDay = new MockBalance(null, balance).Object;
Assert.AreEqual(balance, day.StartingBalance);
}
public void Should_Statement_If_Statement_Is_EndOfDay()
{
FinancialDay day = Tester.GetToday();
decimal balance = 1000;
day.AddStatement(new Statement(balance, AddWhen.EndOfDay));
Assert.AreEqual(balance, day.StartingBalance);
}
public void Should_OrderBy_While_Inserting()
{
FinancialDay day1 = Calendar.GetDayForDate(new DateTime(2000, 1, 1));
FinancialDay day3 = Calendar.GetDayForDate(new DateTime(2000, 1, 3));
FinancialDay day2 = Calendar.GetDayForDate(new DateTime(2000, 1, 2));
Assert.AreEqual(day1, Calendar.Days.ElementAt(0));
Assert.AreEqual(day2, Calendar.Days.ElementAt(1));
Assert.AreEqual(day3, Calendar.Days.ElementAt(2));
}
public void Should_SubtractNegativeTransactionValue()
{
FinancialDay day = Tester.GetToday();
decimal expense = -500;
day.AddTransaction(new MockTransaction()
{
Value = expense
}.Object);
Assert.AreEqual(expense, day.EndingBalance);
}
public void Should_AddTransactionValue()
{
FinancialDay day = Tester.GetToday();
decimal income = 500;
day.AddTransaction(new MockTransaction()
{
Value = income
}.Object);
Assert.AreEqual(income, day.EndingBalance);
}
public DayWrapper(FinancialDay day)
{
Day = day;
Statements = Day.Statement;
Transactions = new ObservableCollection <ITransaction>(Day.TransactionCollection);
Day.TransactionsChanged += Day_TransactionsChanged;
RemoveStatementCommand = new RelayCommand <Statement>(RemoveStatement);
RemoveTransactionCommand = new RelayCommand <ITransaction>(RemoveTransaction);
}
public void Should_Replace_Previous_And_NextDays()
{
FinancialDay day1 = Calendar.GetDayForDate(new DateTime(2000, 1, 1));
FinancialDay day3 = Calendar.GetDayForDate(new DateTime(2000, 1, 3));
Assert.AreSame(day3, day1.NextDay);
Assert.AreSame(day1, day3.PreviousDay);
FinancialDay day2 = Calendar.GetDayForDate(new DateTime(2000, 1, 2));
Assert.AreSame(day2, day1.NextDay);
Assert.AreSame(day2, day3.PreviousDay);
}
public void Should_StartWith_StatementBalance_If_PreviousDay_HasNoStatement()
{
FinancialDay day = Tester.GetToday();
day.PreviousDay = new MockBalance(0, 500)
{
HasStatementOnLeft = false
}.Object;
decimal balance = 1000;
day.AddStatement(new Statement(balance, AddWhen.EndOfDay));
Assert.AreEqual(1000, day.StartingBalance);
}
public void Should_AddBalance_To_StartOfDayStatement()
{
FinancialDay day = Tester.GetToday();
decimal balance = 1000;
day.AddStatement(new Statement(balance, AddWhen.StartOfDay));
decimal income = 500;
day.AddTransaction(new MockTransaction()
{
Value = income
}.Object);
Assert.AreEqual(balance + income, day.EndingBalance);
}
public void Should_EndWithStatementBalance_Over_Transactions_When_EndOfDay()
{
FinancialDay day = Tester.GetToday();
decimal balance = 1000;
day.AddStatement(new Statement(balance, AddWhen.EndOfDay));
decimal income = 500;
day.AddTransaction(new MockTransaction()
{
Value = income
}.Object);
Assert.AreEqual(balance, day.EndingBalance);
}
public void Should_AddTransactions_To_PreviousDays_EndingBalance()
{
FinancialDay day = Tester.GetToday();
decimal balance = 2000;
day.PreviousDay = new MockBalance(null, balance)
{
HasStatementOnLeft = true
}.Object;
Assert.AreEqual(balance, day.StartingBalance);
decimal income = 500;
day.AddTransaction(new MockTransaction()
{
Value = income
}.Object);
Assert.AreEqual(balance + income, day.EndingBalance);
}
public void Should_EndWithZero()
{
FinancialDay day = Tester.GetToday();
Assert.AreEqual(0, day.EndingBalance);
}
public CoupncdImpl(FinancialDay settlement, FinancialDay maturity, int frequency, DayCountBasis basis) : base(settlement, maturity, frequency, basis)
{
}
protected override FinanceCalcResult <double> ExecuteFunction(FinancialDay settlementDate, FinancialDay maturityDate, int frequency, DayCountBasis basis = DayCountBasis.US_30_360)
{
var impl = new CoupdaysImpl(settlementDate, maturityDate, frequency, basis);
return(impl.GetCoupdays());
}
public void Should_StartAtZero()
{
FinancialDay day = Tester.GetToday();
Assert.AreEqual(0, day.StartingBalance);
}
protected abstract FinanceCalcResult <T> ExecuteFunction(FinancialDay settlementDate, FinancialDay maturityDate, int frequency, DayCountBasis basis = DayCountBasis.US_30_360);
public CouponPeriod(FinancialDay start, FinancialDay end)
{
Start = start;
End = end;
}
