public void testThirty360_EurobondBasis()
{
// Testing thirty/360 day counter (Eurobond Basis)
// Source: ISDA 2006 Definitions 4.16 (g)
// 30E/360 (or Eurobond Basis)
// Based on ICMA (Rule 251) and FBF; this is the version of 30E/360 used by Excel
DayCounter dayCounter = new Thirty360(Thirty360.Thirty360Convention.EurobondBasis);
List <Date> testStartDates = new List <Date>();
List <Date> testEndDates = new List <Date>();
int calculated;
// ISDA - Example 1: End dates do not involve the last day of February
testStartDates.Add(new Date(20, Month.August, 2006)); testEndDates.Add(new Date(20, Month.February, 2007));
testStartDates.Add(new Date(20, Month.February, 2007)); testEndDates.Add(new Date(20, Month.August, 2007));
testStartDates.Add(new Date(20, Month.August, 2007)); testEndDates.Add(new Date(20, Month.February, 2008));
testStartDates.Add(new Date(20, Month.February, 2008)); testEndDates.Add(new Date(20, Month.August, 2008));
testStartDates.Add(new Date(20, Month.August, 2008)); testEndDates.Add(new Date(20, Month.February, 2009));
testStartDates.Add(new Date(20, Month.February, 2009)); testEndDates.Add(new Date(20, Month.August, 2009));
//// ISDA - Example 2: End dates include some end-February dates
testStartDates.Add(new Date(28, Month.February, 2006)); testEndDates.Add(new Date(31, Month.August, 2006));
testStartDates.Add(new Date(31, Month.August, 2006)); testEndDates.Add(new Date(28, Month.February, 2007));
testStartDates.Add(new Date(28, Month.February, 2007)); testEndDates.Add(new Date(31, Month.August, 2007));
testStartDates.Add(new Date(31, Month.August, 2007)); testEndDates.Add(new Date(29, Month.February, 2008));
testStartDates.Add(new Date(29, Month.February, 2008)); testEndDates.Add(new Date(31, Month.August, 2008));
testStartDates.Add(new Date(31, Month.August, 2008)); testEndDates.Add(new Date(28, Month.Feb, 2009));
testStartDates.Add(new Date(28, Month.February, 2009)); testEndDates.Add(new Date(31, Month.August, 2009));
testStartDates.Add(new Date(31, Month.August, 2009)); testEndDates.Add(new Date(28, Month.Feb, 2010));
testStartDates.Add(new Date(28, Month.February, 2010)); testEndDates.Add(new Date(31, Month.August, 2010));
testStartDates.Add(new Date(31, Month.August, 2010)); testEndDates.Add(new Date(28, Month.Feb, 2011));
testStartDates.Add(new Date(28, Month.February, 2011)); testEndDates.Add(new Date(31, Month.August, 2011));
testStartDates.Add(new Date(31, Month.August, 2011)); testEndDates.Add(new Date(29, Month.Feb, 2012));
//// ISDA - Example 3: Miscellaneous calculations
testStartDates.Add(new Date(31, Month.January, 2006)); testEndDates.Add(new Date(28, Month.February, 2006));
testStartDates.Add(new Date(30, Month.January, 2006)); testEndDates.Add(new Date(28, Month.February, 2006));
testStartDates.Add(new Date(28, Month.February, 2006)); testEndDates.Add(new Date(3, Month.March, 2006));
testStartDates.Add(new Date(14, Month.February, 2006)); testEndDates.Add(new Date(28, Month.February, 2006));
testStartDates.Add(new Date(30, Month.September, 2006)); testEndDates.Add(new Date(31, Month.October, 2006));
testStartDates.Add(new Date(31, Month.October, 2006)); testEndDates.Add(new Date(28, Month.November, 2006));
testStartDates.Add(new Date(31, Month.August, 2007)); testEndDates.Add(new Date(28, Month.February, 2008));
testStartDates.Add(new Date(28, Month.February, 2008)); testEndDates.Add(new Date(28, Month.August, 2008));
testStartDates.Add(new Date(28, Month.February, 2008)); testEndDates.Add(new Date(30, Month.August, 2008));
testStartDates.Add(new Date(28, Month.February, 2008)); testEndDates.Add(new Date(31, Month.August, 2008));
testStartDates.Add(new Date(26, Month.February, 2007)); testEndDates.Add(new Date(28, Month.February, 2008));
testStartDates.Add(new Date(26, Month.February, 2007)); testEndDates.Add(new Date(29, Month.February, 2008));
testStartDates.Add(new Date(29, Month.February, 2008)); testEndDates.Add(new Date(28, Month.February, 2009));
testStartDates.Add(new Date(28, Month.February, 2008)); testEndDates.Add(new Date(30, Month.March, 2008));
testStartDates.Add(new Date(28, Month.February, 2008)); testEndDates.Add(new Date(31, Month.March, 2008));
int[] expected = { 180, 180, 180, 180, 180, 180,
182, 178, 182, 179, 181, 178,
182, 178, 182, 178, 182, 179,
28, 28, 5, 14, 30, 28,
178, 180, 182, 182, 362, 363,
359, 32, 32 };
for (int i = 0; i < testStartDates.Count; i++)
{
calculated = dayCounter.dayCount(testStartDates[i], testEndDates[i]);
if (calculated != expected[i])
{
QAssert.Fail("from " + testStartDates[i]
+ " to " + testEndDates[i] + ":\n"
+ " calculated: " + calculated + "\n"
+ " expected: " + expected[i]);
}
}
}
public void testThirty360_BondBasis()
{
// Testing thirty/360 day counter (Bond Basis)
// http://www.isda.org/c_and_a/docs/30-360-2006ISDADefs.xls
// Source: 2006 ISDA Definitions, Sec. 4.16 (f)
// 30/360 (or Bond Basis)
DayCounter dayCounter = new Thirty360(Thirty360.Thirty360Convention.BondBasis);
List <Date> testStartDates = new List <Date>();
List <Date> testEndDates = new List <Date>();
int calculated;
// ISDA - Example 1: End dates do not involve the last day of February
testStartDates.Add(new Date(20, Month.August, 2006)); testEndDates.Add(new Date(20, Month.February, 2007));
testStartDates.Add(new Date(20, Month.February, 2007)); testEndDates.Add(new Date(20, Month.August, 2007));
testStartDates.Add(new Date(20, Month.August, 2007)); testEndDates.Add(new Date(20, Month.February, 2008));
testStartDates.Add(new Date(20, Month.February, 2008)); testEndDates.Add(new Date(20, Month.August, 2008));
testStartDates.Add(new Date(20, Month.August, 2008)); testEndDates.Add(new Date(20, Month.February, 2009));
testStartDates.Add(new Date(20, Month.February, 2009)); testEndDates.Add(new Date(20, Month.August, 2009));
// ISDA - Example 2: End dates include some end-February dates
testStartDates.Add(new Date(31, Month.August, 2006)); testEndDates.Add(new Date(28, Month.February, 2007));
testStartDates.Add(new Date(28, Month.February, 2007)); testEndDates.Add(new Date(31, Month.August, 2007));
testStartDates.Add(new Date(31, Month.August, 2007)); testEndDates.Add(new Date(29, Month.February, 2008));
testStartDates.Add(new Date(29, Month.February, 2008)); testEndDates.Add(new Date(31, Month.August, 2008));
testStartDates.Add(new Date(31, Month.August, 2008)); testEndDates.Add(new Date(28, Month.February, 2009));
testStartDates.Add(new Date(28, Month.February, 2009)); testEndDates.Add(new Date(31, Month.August, 2009));
//// ISDA - Example 3: Miscellaneous calculations
testStartDates.Add(new Date(31, Month.January, 2006)); testEndDates.Add(new Date(28, Month.February, 2006));
testStartDates.Add(new Date(30, Month.January, 2006)); testEndDates.Add(new Date(28, Month.February, 2006));
testStartDates.Add(new Date(28, Month.February, 2006)); testEndDates.Add(new Date(3, Month.March, 2006));
testStartDates.Add(new Date(14, Month.February, 2006)); testEndDates.Add(new Date(28, Month.February, 2006));
testStartDates.Add(new Date(30, Month.September, 2006)); testEndDates.Add(new Date(31, Month.October, 2006));
testStartDates.Add(new Date(31, Month.October, 2006)); testEndDates.Add(new Date(28, Month.November, 2006));
testStartDates.Add(new Date(31, Month.August, 2007)); testEndDates.Add(new Date(28, Month.February, 2008));
testStartDates.Add(new Date(28, Month.February, 2008)); testEndDates.Add(new Date(28, Month.August, 2008));
testStartDates.Add(new Date(28, Month.February, 2008)); testEndDates.Add(new Date(30, Month.August, 2008));
testStartDates.Add(new Date(28, Month.February, 2008)); testEndDates.Add(new Date(31, Month.August, 2008));
testStartDates.Add(new Date(26, Month.February, 2007)); testEndDates.Add(new Date(28, Month.February, 2008));
testStartDates.Add(new Date(26, Month.February, 2007)); testEndDates.Add(new Date(29, Month.February, 2008));
testStartDates.Add(new Date(29, Month.February, 2008)); testEndDates.Add(new Date(28, Month.February, 2009));
testStartDates.Add(new Date(28, Month.February, 2008)); testEndDates.Add(new Date(30, Month.March, 2008));
testStartDates.Add(new Date(28, Month.February, 2008)); testEndDates.Add(new Date(31, Month.March, 2008));
int[] expected = { 180, 180, 180, 180, 180, 180,
178, 183, 179, 182, 178, 183,
28, 28, 5, 14, 30, 28,
178, 180, 182, 183, 362, 363,
359, 32, 33 };
for (int i = 0; i < testStartDates.Count; i++)
{
calculated = dayCounter.dayCount(testStartDates[i], testEndDates[i]);
if (calculated != expected[i])
{
QAssert.Fail("from " + testStartDates[i]
+ " to " + testEndDates[i] + ":\n"
+ " calculated: " + calculated + "\n"
+ " expected: " + expected[i]);
}
}
}
