/// <summary>
///
/// </summary>
/// <param name="referenceDate"></param>
/// <returns>e.g "Z8"</returns>
public override string GetNextAbsoluteMainCycleCode(DateTime referenceDate)
{
int referenceYear = referenceDate.Year;
int referenceMonth = referenceDate.Month;
string absoluteMonthCode = FuturesMainCycleCodes[referenceMonth - 1];
// check if adjustment required
if (referenceMonth % 3 == 0)//check if need to advance to next code
{
DateTime unadjustedExpirationDate = RuleHelper.LastDayInMonth(referenceMonth, referenceYear);
if (referenceDate >= unadjustedExpirationDate)//if option expires today - move to next code
{
if (referenceMonth == 12)
{
referenceMonth = 1;
++referenceYear;
}
else
{
++referenceMonth;
}
absoluteMonthCode = FuturesMainCycleCodes[referenceMonth - 1];
}
}
return($"{absoluteMonthCode}{referenceYear % 10}");
}
/// <summary>
/// Gets the last trading day.
/// </summary>
/// <param name="month">The month.</param>
/// <param name="year">The year.</param>
/// <returns></returns>
public override DateTime GetLastTradingDay(int month, int year)
{
//Rather than the last weekday, this use the last day for IB contracts
//since the RBA dates are very close to the beginning of the month.
DateTime significantDate = RuleHelper.LastDayInMonth(month, year);//LastWeekdayDayInMonth
return(significantDate);
}
/// <summary>
/// IRH7,IRZ9 (90 day futures)
///
/// IBH8,IBU9 (30 day futures)
/// </summary>
/// <returns></returns>
/// <param name="referenceDate">
/// if 2000, IRZ8 is futures that expires in December 2008.
/// if 2010, IRZ8 is futures that expires in December 2018.
/// </param>
public override DateTime GetLastTradingDay(DateTime referenceDate)
{
var month = (int)LastTradingDayHelper.ParseToCode(CodeAndExpiryMonth.ImmMonthCode);
DateTime unadjustedExpirationDate;
if (CodeAndExpiryMonth.Year < referenceDate.Year % 10)
{
int realYear = referenceDate.Year - referenceDate.Year % 10 + CodeAndExpiryMonth.Year + 10;
unadjustedExpirationDate = RuleHelper.LastDayInMonth(month, realYear);
}
else
{
int realYear = referenceDate.Year - referenceDate.Year % 10 + CodeAndExpiryMonth.Year;
unadjustedExpirationDate = RuleHelper.LastDayInMonth(month, realYear);
}
return(unadjustedExpirationDate);
}
/// <summary>
///
/// </summary>
/// <param name="referenceDate"></param>
/// <returns>e.g "Z8"</returns>
public override string GetNextCode(DateTime referenceDate)
{
int referenceYear = referenceDate.Year;
int referenceMonth = referenceDate.Month;
string absoluteMonthCode = FuturesExpiryCodes[referenceMonth - 1];
// check if adjustment required (if it is already e.g. 20th of the March - the March futures has already expired)
//
var unadjustedExpirationDate = RuleHelper.LastDayInMonth(referenceMonth, referenceYear);
if (referenceDate >= unadjustedExpirationDate)//if option expires today - move to next code
{
if (referenceMonth == 12)
{
referenceMonth = 1;
++referenceYear;
}
else
{
++referenceMonth;
}
absoluteMonthCode = FuturesExpiryCodes[referenceMonth];
}
return($"{absoluteMonthCode}{referenceYear % YearsInDecade}");
}