void addEffectiveInterestRateAmortizing()
{
// Amortizing Schedule
Schedule schedule = new Schedule(_tradeDate, _maturityDate, new Period(_payFrequency),
_calendar, BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
double currentNominal = _marketValue;
Date prevDate = _tradeDate;
Date actualDate = _tradeDate;
for (int i = 1; i < schedule.Count; ++i)
{
actualDate = schedule[i];
InterestRate rate = new InterestRate(_yield, _dCounter, Compounding.Simple, Frequency.Annual);
InterestRate rate2 = new InterestRate(_couponRate, _dCounter, Compounding.Simple, Frequency.Annual);
FixedRateCoupon r, r2;
if (i > 1)
{
r = new FixedRateCoupon(actualDate, currentNominal, rate, prevDate, actualDate, prevDate, actualDate);
r2 = new FixedRateCoupon(actualDate, currentNominal, rate2, prevDate, actualDate, prevDate, actualDate, null, _originalPayment);
}
else
{
Calendar nullCalendar = new NullCalendar();
Period p1 = new Period(_payFrequency);
Date testDate = nullCalendar.advance(actualDate, -1 * p1);
r = new FixedRateCoupon(actualDate, currentNominal, rate, testDate, actualDate, prevDate, actualDate);
r2 = new FixedRateCoupon(actualDate, currentNominal, rate2, testDate, actualDate, prevDate, actualDate, null, _originalPayment);
}
double amort = Math.Round(Math.Abs(_originalPayment - r.amount()), 2);
AmortizingPayment p = new AmortizingPayment(amort, actualDate);
if (_isPremium)
{
currentNominal -= Math.Abs(amort);
}
else
{
currentNominal += Math.Abs(amort);
}
cashflows_.Add(r2);
cashflows_.Add(p);
prevDate = actualDate;
}
// Add single redemption for yield calculation
setSingleRedemption(_faceValue, 100, _maturityDate);
}
public Schedule value()
{
// check for mandatory arguments
Utils.QL_REQUIRE(effectiveDate_ != null, () => "effective date not provided");
Utils.QL_REQUIRE(terminationDate_ != null, () => "termination date not provided");
Utils.QL_REQUIRE((object)tenor_ != null, () => "tenor/frequency not provided");
// if no calendar was set...
if (calendar_ == null)
{
// ...we use a null one.
calendar_ = new NullCalendar();
}
// set dynamic defaults:
BusinessDayConvention convention;
// if a convention was set, we use it.
if (convention_ != null)
{
convention = convention_.Value;
}
else
{
if (!calendar_.empty())
{
// ...if we set a calendar, we probably want it to be used;
convention = BusinessDayConvention.Following;
}
else
{
// if not, we don't care.
convention = BusinessDayConvention.Unadjusted;
}
}
BusinessDayConvention terminationDateConvention;
// if set explicitly, we use it;
if (terminationDateConvention_ != null)
{
terminationDateConvention = terminationDateConvention_.Value;
}
else
{
// Unadjusted as per ISDA specification
terminationDateConvention = convention;
}
return(new Schedule(effectiveDate_, terminationDate_, tenor_, calendar_,
convention, terminationDateConvention,
rule_, endOfMonth_, firstDate_, nextToLastDate_));
}
public double fixing(Date fixingDate, bool forecastTodaysFixing)
{
Date today = Settings.evaluationDate();
Date todayMinusLag = today - availabilityLag_;
KeyValuePair <Date, Date> limm = Utils.inflationPeriod(todayMinusLag, frequency_);
Date lastFix = limm.Key - 1;
Date flatMustForecastOn = lastFix + 1;
Date interpMustForecastOn = lastFix + 1 - new Period(frequency_);
if (interpolated() && fixingDate >= interpMustForecastOn)
{
return(forecastFixing(fixingDate));
}
if (!interpolated() && fixingDate >= flatMustForecastOn)
{
return(forecastFixing(fixingDate));
}
// four cases with ratio() and interpolated()
if (ratio())
{
if (interpolated())
{
// IS ratio, IS interpolated
KeyValuePair <Date, Date> lim = Utils.inflationPeriod(fixingDate, frequency_);
Date fixMinus1Y = new NullCalendar().advance(fixingDate, new Period(-1, TimeUnit.Years), BusinessDayConvention.ModifiedFollowing);
KeyValuePair <Date, Date> limBef = Utils.inflationPeriod(fixMinus1Y, frequency_);
double dp = lim.Value + 1 - lim.Key;
double dpBef = limBef.Value + 1 - limBef.Key;
double dl = fixingDate - lim.Key;
// potentially does not work on 29th Feb
double dlBef = fixMinus1Y - limBef.Key;
// get the four relevant fixings
// recall that they are stored flat for every day
double limFirstFix =
IndexManager.instance().getHistory(name()).value()[lim.Key];
if (limFirstFix == null)
{
throw new ApplicationException("Missing " + name() + " fixing for "
+ lim.Key);
}
double limSecondFix =
IndexManager.instance().getHistory(name()).value()[lim.Value + 1];
if (limSecondFix == null)
{
throw new ApplicationException("Missing " + name() + " fixing for "
+ lim.Value + 1);
}
double limBefFirstFix =
IndexManager.instance().getHistory(name()).value()[limBef.Key];
if (limBefFirstFix == null)
{
throw new ApplicationException("Missing " + name() + " fixing for "
+ limBef.Key);
}
double limBefSecondFix =
IndexManager.instance().getHistory(name()).value()[limBef.Value + 1];
if (limBefSecondFix == null)
{
throw new ApplicationException("Missing " + name() + " fixing for "
+ limBef.Value + 1);
}
double linearNow = limFirstFix + (limSecondFix - limFirstFix) * dl / dp;
double linearBef = limBefFirstFix + (limBefSecondFix - limBefFirstFix) * dlBef / dpBef;
double wasYES = linearNow / linearBef - 1.0;
return(wasYES);
}
else
{
// IS ratio, NOT interpolated
double pastFixing =
IndexManager.instance().getHistory(name()).value()[fixingDate];
if (pastFixing == null)
{
throw new ApplicationException("Missing " + name() + " fixing for "
+ fixingDate);
}
Date previousDate = fixingDate - new Period(1, TimeUnit.Years);
double previousFixing =
IndexManager.instance().getHistory(name()).value()[previousDate];
if (previousFixing == null)
{
throw new ApplicationException("Missing " + name() + " fixing for "
+ previousDate);
}
return(pastFixing / previousFixing - 1.0);
}
}
else
{
// NOT ratio
if (interpolated())
{
// NOT ratio, IS interpolated
KeyValuePair <Date, Date> lim = Utils.inflationPeriod(fixingDate, frequency_);
double dp = lim.Value + 1 - lim.Key;
double dl = fixingDate - lim.Key;
double limFirstFix =
IndexManager.instance().getHistory(name()).value()[lim.Key];
if (limFirstFix == null)
{
throw new ApplicationException("Missing " + name() + " fixing for "
+ lim.Key);
}
double limSecondFix =
IndexManager.instance().getHistory(name()).value()[lim.Value + 1];
if (limSecondFix == null)
{
throw new ApplicationException("Missing " + name() + " fixing for "
+ lim.Value + 1);
}
double linearNow = limFirstFix + (limSecondFix - limFirstFix) * dl / dp;
return(linearNow);
}
else
{
// NOT ratio, NOT interpolated
// so just flat
double pastFixing =
IndexManager.instance().getHistory(name()).value()[fixingDate];
if (pastFixing == null)
{
throw new ApplicationException("Missing " + name() + " fixing for "
+ fixingDate);
}
return(pastFixing);
}
}
// QL_FAIL("YoYInflationIndex::fixing, should never get here");
}
public void testCached()
{
// ("Testing bond price/yield calculation against cached values...");
CommonVars vars = new CommonVars();
// with implicit settlement calculation:
Date today = new Date(22, Month.November, 2004);
Settings.setEvaluationDate(today);
Calendar bondCalendar = new NullCalendar();
DayCounter bondDayCount = new ActualActual(ActualActual.Convention.ISMA);
int settlementDays = 1;
var discountCurve = new Handle<YieldTermStructure>(Utilities.flatRate(today, new SimpleQuote(0.03), new Actual360()));
// actual market values from the evaluation date
Frequency freq = Frequency.Semiannual;
Schedule sch1 = new Schedule(new Date(31, Month.October, 2004), new Date(31, Month.October, 2006), new Period(freq),
bondCalendar, BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
FixedRateBond bond1 = new FixedRateBond(settlementDays, vars.faceAmount, sch1, new List<double>() { 0.025 },
bondDayCount, BusinessDayConvention.ModifiedFollowing, 100.0, new Date(1, Month.November, 2004));
IPricingEngine bondEngine = new DiscountingBondEngine(discountCurve);
bond1.setPricingEngine(bondEngine);
double marketPrice1 = 99.203125;
double marketYield1 = 0.02925;
Schedule sch2 = new Schedule(new Date(15, Month.November, 2004), new Date(15, Month.November, 2009), new Period(freq),
bondCalendar, BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
FixedRateBond bond2 = new FixedRateBond(settlementDays, vars.faceAmount, sch2, new List<double>() { 0.035 },
bondDayCount, BusinessDayConvention.ModifiedFollowing,
100.0, new Date(15, Month.November, 2004));
bond2.setPricingEngine(bondEngine);
double marketPrice2 = 99.6875;
double marketYield2 = 0.03569;
// calculated values
double cachedPrice1a = 99.204505, cachedPrice2a = 99.687192;
double cachedPrice1b = 98.943393, cachedPrice2b = 101.986794;
double cachedYield1a = 0.029257, cachedYield2a = 0.035689;
double cachedYield1b = 0.029045, cachedYield2b = 0.035375;
double cachedYield1c = 0.030423, cachedYield2c = 0.030432;
// check
double tolerance = 1.0e-6;
double price, yield;
price = bond1.cleanPrice(marketYield1, bondDayCount, Compounding.Compounded, freq);
if (Math.Abs(price - cachedPrice1a) > tolerance)
{
Assert.Fail("failed to reproduce cached price:"
+ "\n calculated: " + price
+ "\n expected: " + cachedPrice1a
+ "\n tolerance: " + tolerance
+ "\n error: " + (price - cachedPrice1a));
}
price = bond1.cleanPrice();
if (Math.Abs(price - cachedPrice1b) > tolerance)
{
Assert.Fail("failed to reproduce cached price:"
+ "\n calculated: " + price
+ "\n expected: " + cachedPrice1b
+ "\n tolerance: " + tolerance
+ "\n error: " + (price - cachedPrice1b));
}
yield = bond1.yield(marketPrice1, bondDayCount, Compounding.Compounded, freq);
if (Math.Abs(yield - cachedYield1a) > tolerance)
{
Assert.Fail("failed to reproduce cached compounded yield:"
+ "\n calculated: " + yield
+ "\n expected: " + cachedYield1a
+ "\n tolerance: " + tolerance
+ "\n error: " + (yield - cachedYield1a));
}
yield = bond1.yield(marketPrice1, bondDayCount, Compounding.Continuous, freq);
if (Math.Abs(yield - cachedYield1b) > tolerance)
{
Assert.Fail("failed to reproduce cached continuous yield:"
+ "\n calculated: " + yield
+ "\n expected: " + cachedYield1b
+ "\n tolerance: " + tolerance
+ "\n error: " + (yield - cachedYield1b));
}
yield = bond1.yield(bondDayCount, Compounding.Continuous, freq);
if (Math.Abs(yield - cachedYield1c) > tolerance)
{
Assert.Fail("failed to reproduce cached continuous yield:"
+ "\n calculated: " + yield
+ "\n expected: " + cachedYield1c
+ "\n tolerance: " + tolerance
+ "\n error: " + (yield - cachedYield1c));
}
price = bond2.cleanPrice(marketYield2, bondDayCount, Compounding.Compounded, freq);
if (Math.Abs(price - cachedPrice2a) > tolerance)
{
Assert.Fail("failed to reproduce cached price:"
+ "\n calculated: " + price
+ "\n expected: " + cachedPrice2a
+ "\n tolerance: " + tolerance
+ "\n error: " + (price - cachedPrice2a));
}
price = bond2.cleanPrice();
if (Math.Abs(price - cachedPrice2b) > tolerance)
{
Assert.Fail("failed to reproduce cached price:"
+ "\n calculated: " + price
+ "\n expected: " + cachedPrice2b
+ "\n tolerance: " + tolerance
+ "\n error: " + (price - cachedPrice2b));
}
yield = bond2.yield(marketPrice2, bondDayCount, Compounding.Compounded, freq);
if (Math.Abs(yield - cachedYield2a) > tolerance)
{
Assert.Fail("failed to reproduce cached compounded yield:"
+ "\n calculated: " + yield
+ "\n expected: " + cachedYield2a
+ "\n tolerance: " + tolerance
+ "\n error: " + (yield - cachedYield2a));
}
yield = bond2.yield(marketPrice2, bondDayCount, Compounding.Continuous, freq);
if (Math.Abs(yield - cachedYield2b) > tolerance)
{
Assert.Fail("failed to reproduce cached continuous yield:"
+ "\n calculated: " + yield
+ "\n expected: " + cachedYield2b
+ "\n tolerance: " + tolerance
+ "\n error: " + (yield - cachedYield2b));
}
yield = bond2.yield(bondDayCount, Compounding.Continuous, freq);
if (Math.Abs(yield - cachedYield2c) > tolerance)
{
Assert.Fail("failed to reproduce cached continuous yield:"
+ "\n calculated: " + yield
+ "\n expected: " + cachedYield2c
+ "\n tolerance: " + tolerance
+ "\n error: " + (yield - cachedYield2c));
}
// with explicit settlement date:
Schedule sch3 = new Schedule(new Date(30, Month.November, 2004), new Date(30, Month.November, 2006), new Period(freq),
new UnitedStates(UnitedStates.Market.GovernmentBond), BusinessDayConvention.Unadjusted,
BusinessDayConvention.Unadjusted, DateGeneration.Rule.Backward, false);
FixedRateBond bond3 = new FixedRateBond(settlementDays, vars.faceAmount, sch3, new List<double>() { 0.02875 },
new ActualActual(ActualActual.Convention.ISMA),
BusinessDayConvention.ModifiedFollowing, 100.0, new Date(30, Month.November, 2004));
bond3.setPricingEngine(bondEngine);
double marketYield3 = 0.02997;
Date settlementDate = new Date(30, Month.November, 2004);
double cachedPrice3 = 99.764759;
price = bond3.cleanPrice(marketYield3, bondDayCount, Compounding.Compounded, freq, settlementDate);
if (Math.Abs(price - cachedPrice3) > tolerance)
{
Assert.Fail("failed to reproduce cached price:"
+ "\n calculated: " + price + ""
+ "\n expected: " + cachedPrice3 + ""
+ "\n error: " + (price - cachedPrice3));
}
// this should give the same result since the issue date is the
// earliest possible settlement date
Settings.setEvaluationDate(new Date(22, Month.November, 2004));
price = bond3.cleanPrice(marketYield3, bondDayCount, Compounding.Compounded, freq);
if (Math.Abs(price - cachedPrice3) > tolerance)
{
Assert.Fail("failed to reproduce cached price:"
+ "\n calculated: " + price + ""
+ "\n expected: " + cachedPrice3 + ""
+ "\n error: " + (price - cachedPrice3));
}
}
public void testBondFromScheduleWithDateVector()
{
// Testing South African R2048 bond price using Schedule constructor with Date vector
SavedSettings backup = new SavedSettings();
//When pricing bond from Yield To Maturity, use NullCalendar()
Calendar calendar = new NullCalendar();
int settlementDays = 3;
Date issueDate = new Date(29, Month.June, 2012);
Date today = new Date(7, Month.September, 2015);
Date evaluationDate = calendar.adjust(today);
Date settlementDate = calendar.advance(evaluationDate, new Period(settlementDays, TimeUnit.Days));
Settings.setEvaluationDate(evaluationDate);
// For the schedule to generate correctly for Feb-28's, make maturity date on Feb 29
Date maturityDate = new Date(29, Month.February, 2048);
double coupon = 0.0875;
Compounding comp = Compounding.Compounded;
Frequency freq = Frequency.Semiannual;
DayCounter dc = new ActualActual(ActualActual.Convention.Bond);
// Yield as quoted in market
InterestRate yield = new InterestRate(0.09185, dc, comp, freq);
Period tenor = new Period(6, TimeUnit.Months);
Period exCouponPeriod = new Period(10, TimeUnit.Days);
// Generate coupon dates for 31 Aug and end of Feb each year
// For leap years, this will generate 29 Feb, but the bond
// actually pays coupons on 28 Feb, regardsless of whether
// it is a leap year or not.
Schedule schedule = new Schedule(issueDate, maturityDate, tenor,
new NullCalendar(), BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, true);
// Adjust the 29 Feb's to 28 Feb
List<Date> dates = new List<Date>();
for (int i = 0; i < schedule.Count; ++i)
{
Date d = schedule.date(i);
if (d.Month == 2 && d.Day == 29)
dates.Add(new Date(28, Month.February, d.Year));
else
dates.Add(d);
}
schedule = new Schedule(dates,
schedule.calendar(),
schedule.businessDayConvention(),
schedule.terminationDateBusinessDayConvention(),
schedule.tenor(),
schedule.rule(),
schedule.endOfMonth(),
schedule.isRegular());
FixedRateBond bond = new FixedRateBond(
0,
100.0,
schedule,
new List<double>() { coupon },
dc, BusinessDayConvention.Following, 100.0,
issueDate, calendar,
exCouponPeriod, calendar, BusinessDayConvention.Unadjusted, false);
double calculatedPrice = BondFunctions.dirtyPrice(bond, yield, settlementDate);
double expectedPrice = 95.75706;
double tolerance = 1e-5;
if (Math.Abs(calculatedPrice - expectedPrice) > tolerance)
{
Assert.Fail(string.Format("failed to reproduce R2048 dirty price\nexpected: {0}\ncalculated: {1}", expectedPrice, calculatedPrice));
}
}
public Schedule( Date effectiveDate, Date terminationDate, Period tenor, Calendar calendar,
BusinessDayConvention convention, BusinessDayConvention terminationDateConvention,
DateGeneration.Rule rule, bool endOfMonth, Date firstDate = null, Date nextToLastDate = null)
{
// first save the properties
fullInterface_ = true;
tenor_ = tenor;
if ( calendar == null )
calendar_ = new NullCalendar();
else
calendar_ = calendar;
convention_ = convention;
terminationDateConvention_ = terminationDateConvention;
rule_ = rule;
endOfMonth_ = endOfMonth;
if ( firstDate == effectiveDate )
firstDate_ = null;
else
firstDate_ = firstDate;
if ( nextToLastDate == terminationDate )
nextToLastDate_ = null;
else
nextToLastDate_ = nextToLastDate;
// sanity checks
Utils.QL_REQUIRE( terminationDate != null, () => "null termination date" );
// in many cases (e.g. non-expired bonds) the effective date is not
// really necessary. In these cases a decent placeholder is enough
if ( effectiveDate == null && firstDate == null && rule== DateGeneration.Rule.Backward)
{
Date evalDate = Settings.evaluationDate();
Utils.QL_REQUIRE( evalDate < terminationDate, () => "null effective date" );
int y;
if (nextToLastDate != null)
{
y = (nextToLastDate - evalDate)/366 + 1;
effectiveDate = nextToLastDate - new Period(y,TimeUnit.Years);
}
else
{
y = (terminationDate - evalDate)/366 + 1;
effectiveDate = terminationDate - new Period(y,TimeUnit.Years);
}
}
else
Utils.QL_REQUIRE( effectiveDate != null, () => "null effective date" );
if (tenor_.length() == 0)
rule_ = DateGeneration.Rule.Zero;
else
Utils.QL_REQUIRE( tenor.length() > 0, () => "non positive tenor (" + tenor + ") not allowed" );
if (firstDate_ != null)
{
switch (rule_)
{
case DateGeneration.Rule.Backward:
case DateGeneration.Rule.Forward:
Utils.QL_REQUIRE(firstDate_ > effectiveDate &&
firstDate_ < terminationDate, () =>
"first date (" + firstDate_ + ") out of effective-termination date range [" +
effectiveDate + ", " + terminationDate + ")");
// we should ensure that the above condition is still verified after adjustment
break;
case DateGeneration.Rule.ThirdWednesday:
Utils.QL_REQUIRE( IMM.isIMMdate( firstDate_, false ), () => "first date (" + firstDate_ + ") is not an IMM date" );
break;
case DateGeneration.Rule.Zero:
case DateGeneration.Rule.Twentieth:
case DateGeneration.Rule.TwentiethIMM:
case DateGeneration.Rule.OldCDS:
case DateGeneration.Rule.CDS:
Utils.QL_FAIL("first date incompatible with " + rule_ + " date generation rule");
break;
default:
Utils.QL_FAIL("unknown rule (" + rule_ + ")");
break;
}
}
if (nextToLastDate_ != null)
{
switch (rule_)
{
case DateGeneration.Rule.Backward:
case DateGeneration.Rule.Forward:
Utils.QL_REQUIRE( nextToLastDate_ > effectiveDate && nextToLastDate_ < terminationDate, () =>
"next to last date (" + nextToLastDate_ + ") out of effective-termination date range (" +
effectiveDate + ", " + terminationDate + "]");
// we should ensure that the above condition is still verified after adjustment
break;
case DateGeneration.Rule.ThirdWednesday:
Utils.QL_REQUIRE( IMM.isIMMdate( nextToLastDate_, false ), () => "next-to-last date (" + nextToLastDate_ +
") is not an IMM date");
break;
case DateGeneration.Rule.Zero:
case DateGeneration.Rule.Twentieth:
case DateGeneration.Rule.TwentiethIMM:
case DateGeneration.Rule.OldCDS:
case DateGeneration.Rule.CDS:
Utils.QL_FAIL("next to last date incompatible with " + rule_ + " date generation rule");
break;
default:
Utils.QL_FAIL("unknown rule (" + rule_ + ")");
break;
}
}
// calendar needed for endOfMonth adjustment
Calendar nullCalendar = new NullCalendar();
int periods = 1;
Date seed = new Date() , exitDate;
switch (rule_)
{
case DateGeneration.Rule.Zero:
tenor_ = new Period(0, TimeUnit.Years);
dates_.Add(effectiveDate);
dates_.Add(terminationDate);
isRegular_.Add(true);
break;
case DateGeneration.Rule.Backward:
dates_.Add(terminationDate);
seed = terminationDate;
if (nextToLastDate_ != null)
{
dates_.Insert(0, nextToLastDate_);
Date temp = nullCalendar.advance(seed, -periods * tenor_, convention_, endOfMonth_);
if (temp != nextToLastDate_)
isRegular_.Insert(0, false);
else
isRegular_.Insert(0, true);
seed = nextToLastDate_;
}
exitDate = effectiveDate;
if (firstDate_ != null)
exitDate = firstDate_;
while (true)
{
Date temp = nullCalendar.advance(seed, -periods * tenor_, convention_, endOfMonth_);
if (temp < exitDate)
{
if (firstDate_ != null && (calendar_.adjust(dates_.First(), convention_) !=
calendar_.adjust(firstDate_, convention_)))
{
dates_.Insert(0, firstDate_);
isRegular_.Insert(0, false);
}
break;
}
else
{
// skip dates that would result in duplicates
// after adjustment
if (calendar_.adjust(dates_.First(), convention_) != calendar_.adjust(temp, convention_))
{
dates_.Insert(0, temp);
isRegular_.Insert(0, true);
}
++periods;
}
}
if (calendar_.adjust(dates_.First(), convention) != calendar_.adjust(effectiveDate, convention))
{
dates_.Insert(0, effectiveDate);
isRegular_.Insert(0, false);
}
break;
case DateGeneration.Rule.Twentieth:
case DateGeneration.Rule.TwentiethIMM:
case DateGeneration.Rule.ThirdWednesday:
case DateGeneration.Rule.OldCDS:
case DateGeneration.Rule.CDS:
Utils.QL_REQUIRE( !endOfMonth, () => "endOfMonth convention incompatible with " + rule_ + " date generation rule" );
goto case DateGeneration.Rule.Forward; // fall through
case DateGeneration.Rule.Forward:
if (rule_ == DateGeneration.Rule.CDS)
{
dates_.Add(previousTwentieth(effectiveDate, DateGeneration.Rule.CDS));
}
else
{
dates_.Add(effectiveDate);
}
seed = dates_.Last();
if (firstDate_ != null)
{
dates_.Add(firstDate_);
Date temp = nullCalendar.advance(seed, periods * tenor_, convention_, endOfMonth_);
if (temp != firstDate_)
isRegular_.Add(false);
else
isRegular_.Add(true);
seed = firstDate_;
}
else if (rule_ == DateGeneration.Rule.Twentieth ||
rule_ == DateGeneration.Rule.TwentiethIMM ||
rule_ == DateGeneration.Rule.OldCDS ||
rule_ == DateGeneration.Rule.CDS)
{
Date next20th = nextTwentieth(effectiveDate, rule_);
if (rule_ == DateGeneration.Rule.OldCDS)
{
// distance rule inforced in natural days
long stubDays = 30;
if (next20th - effectiveDate < stubDays)
{
// +1 will skip this one and get the next
next20th = nextTwentieth(next20th + 1, rule_);
}
}
if (next20th != effectiveDate)
{
dates_.Add(next20th);
isRegular_.Add(false);
seed = next20th;
}
}
exitDate = terminationDate;
if (nextToLastDate_ != null)
exitDate = nextToLastDate_;
while (true)
{
Date temp = nullCalendar.advance(seed, periods * tenor_, convention_, endOfMonth_);
if (temp > exitDate)
{
if (nextToLastDate_ != null &&
(calendar_.adjust(dates_.Last(), convention_) != calendar_.adjust(nextToLastDate_, convention_)))
{
dates_.Add(nextToLastDate_);
isRegular_.Add(false);
}
break;
}
else
{
// skip dates that would result in duplicates
// after adjustment
if (calendar_.adjust(dates_.Last(), convention_) != calendar_.adjust(temp, convention_))
{
dates_.Add(temp);
isRegular_.Add(true);
}
++periods;
}
}
if (calendar_.adjust(dates_.Last(), terminationDateConvention_) !=
calendar_.adjust(terminationDate, terminationDateConvention_))
{
if (rule_ == DateGeneration.Rule.Twentieth ||
rule_ == DateGeneration.Rule.TwentiethIMM ||
rule_ == DateGeneration.Rule.OldCDS ||
rule_ == DateGeneration.Rule.CDS)
{
dates_.Add(nextTwentieth(terminationDate, rule_));
isRegular_.Add(true);
}
else
{
dates_.Add(terminationDate);
isRegular_.Add(false);
}
}
break;
default:
Utils.QL_FAIL("unknown rule (" + rule_ + ")");
break;
}
// adjustments
if (rule_ == DateGeneration.Rule.ThirdWednesday)
for (int i = 1; i < dates_.Count-1; ++i)
dates_[i] = Date.nthWeekday(3, DayOfWeek.Wednesday, dates_[i].Month, dates_[i].Year);
if (endOfMonth && calendar_.isEndOfMonth(seed))
{
// adjust to end of month
if (convention_ == BusinessDayConvention.Unadjusted)
{
for (int i = 0; i < dates_.Count-1; ++i)
dates_[i] = Date.endOfMonth(dates_[i]);
}
else
{
for (int i = 0; i < dates_.Count-1; ++i)
dates_[i] = calendar_.endOfMonth(dates_[i]);
}
if (terminationDateConvention_ != BusinessDayConvention.Unadjusted)
dates_[dates_.Count - 1] = calendar_.endOfMonth(dates_.Last());
}
else
{
// first date not adjusted for CDS schedules
if (rule_ != DateGeneration.Rule.OldCDS)
dates_[0] = calendar_.adjust(dates_[0], convention_);
for (int i = 1; i < dates_.Count-1; ++i)
dates_[i] = calendar_.adjust(dates_[i], convention_);
// termination date is NOT adjusted as per ISDA specifications, unless otherwise specified in the
// confirmation of the deal or unless we're creating a CDS schedule
if (terminationDateConvention_ != BusinessDayConvention.Unadjusted
|| rule_ == DateGeneration.Rule.Twentieth
|| rule_ == DateGeneration.Rule.TwentiethIMM
|| rule_ == DateGeneration.Rule.OldCDS
|| rule_ == DateGeneration.Rule.CDS)
dates_[dates_.Count - 1] = calendar_.adjust(dates_.Last(), terminationDateConvention_);
}
// final safety check to remove duplicated last dates, if any
// it can happen if EOM is applied to two near dates
if (dates_.Count >= 2 && dates_[dates_.Count - 2] >= dates_.Last())
{
isRegular_[dates_.Count() - 2] = (dates_[dates_.Count() - 2] == dates_.Last());
dates_[dates_.Count() - 2] = dates_.Last();
dates_.RemoveAt(dates_.Count - 1);
isRegular_.RemoveAt(isRegular_.Count - 1);
}
}
/// <summary>
/// rule based constructor
/// </summary>
/// <param name="effectiveDate"></param>
/// <param name="terminationDate"></param>
/// <param name="tenor"></param>
/// <param name="calendar"></param>
/// <param name="convention"></param>
/// <param name="terminationDateConvention"></param>
/// <param name="rule"></param>
/// <param name="endOfMonth"></param>
/// <param name="firstDate"></param>
/// <param name="nextToLastDate"></param>
public Schedule(Date effectiveDate,
Date terminationDate,
Period tenor,
Calendar calendar,
BusinessDayConvention convention,
BusinessDayConvention terminationDateConvention,
DateGeneration.Rule rule,
bool endOfMonth,
Date firstDate = null,
Date nextToLastDate = null)
{
calendar_ = calendar ?? new NullCalendar();
firstDate_ = firstDate == effectiveDate ? null : firstDate;
nextToLastDate_ = nextToLastDate == terminationDate ? null : nextToLastDate;
tenor_ = tenor;
convention_ = convention;
terminationDateConvention_ = terminationDateConvention;
rule_ = rule;
endOfMonth_ = allowsEndOfMonth(tenor) && endOfMonth;
// sanity checks
Utils.QL_REQUIRE(terminationDate != null, () => "null termination date");
// in many cases (e.g. non-expired bonds) the effective date is not
// really necessary. In these cases a decent placeholder is enough
if (effectiveDate == null && firstDate == null && rule == DateGeneration.Rule.Backward)
{
Date evalDate = Settings.evaluationDate();
Utils.QL_REQUIRE(evalDate < terminationDate, () => "null effective date", QLNetExceptionEnum.NullEffectiveDate);
int y;
if (nextToLastDate != null)
{
y = (nextToLastDate - evalDate) / 366 + 1;
effectiveDate = nextToLastDate - new Period(y, TimeUnit.Years);
}
else
{
y = (terminationDate - evalDate) / 366 + 1;
effectiveDate = terminationDate - new Period(y, TimeUnit.Years);
}
// More accurate , is the previous coupon date
if (effectiveDate > evalDate)
{
effectiveDate = effectiveDate - new Period(tenor_.length(), TimeUnit.Months);
}
else if (effectiveDate + new Period(tenor_.length(), TimeUnit.Months) < evalDate)
{
effectiveDate = effectiveDate + new Period(tenor_.length(), TimeUnit.Months);
}
}
else
{
Utils.QL_REQUIRE(effectiveDate != null, () => "null effective date", QLNetExceptionEnum.NullEffectiveDate);
}
Utils.QL_REQUIRE(effectiveDate < terminationDate, () =>
"effective date (" + effectiveDate +
") later than or equal to termination date (" +
terminationDate + ")"
);
if (tenor_.length() == 0)
{
rule_ = DateGeneration.Rule.Zero;
}
else
{
Utils.QL_REQUIRE(tenor.length() > 0, () => "non positive tenor (" + tenor + ") not allowed");
}
if (firstDate_ != null)
{
switch (rule_.Value)
{
case DateGeneration.Rule.Backward:
case DateGeneration.Rule.Forward:
Utils.QL_REQUIRE(firstDate_ > effectiveDate &&
firstDate_ < terminationDate, () =>
"first date (" + firstDate_ + ") out of effective-termination date range [" +
effectiveDate + ", " + terminationDate + ")");
// we should ensure that the above condition is still verified after adjustment
break;
case DateGeneration.Rule.ThirdWednesday:
Utils.QL_REQUIRE(IMM.isIMMdate(firstDate_, false), () => "first date (" + firstDate_ + ") is not an IMM date");
break;
case DateGeneration.Rule.Zero:
case DateGeneration.Rule.Twentieth:
case DateGeneration.Rule.TwentiethIMM:
case DateGeneration.Rule.OldCDS:
case DateGeneration.Rule.CDS:
case DateGeneration.Rule.CDS2015:
Utils.QL_FAIL("first date incompatible with " + rule_.Value + " date generation rule");
break;
default:
Utils.QL_FAIL("unknown rule (" + rule_.Value + ")");
break;
}
}
if (nextToLastDate_ != null)
{
switch (rule_.Value)
{
case DateGeneration.Rule.Backward:
case DateGeneration.Rule.Forward:
Utils.QL_REQUIRE(nextToLastDate_ > effectiveDate && nextToLastDate_ < terminationDate, () =>
"next to last date (" + nextToLastDate_ + ") out of effective-termination date range (" +
effectiveDate + ", " + terminationDate + "]");
// we should ensure that the above condition is still verified after adjustment
break;
case DateGeneration.Rule.ThirdWednesday:
Utils.QL_REQUIRE(IMM.isIMMdate(nextToLastDate_, false), () => "next-to-last date (" + nextToLastDate_ +
") is not an IMM date");
break;
case DateGeneration.Rule.Zero:
case DateGeneration.Rule.Twentieth:
case DateGeneration.Rule.TwentiethIMM:
case DateGeneration.Rule.OldCDS:
case DateGeneration.Rule.CDS:
case DateGeneration.Rule.CDS2015:
Utils.QL_FAIL("next to last date incompatible with " + rule_.Value + " date generation rule");
break;
default:
Utils.QL_FAIL("unknown rule (" + rule_.Value + ")");
break;
}
}
// calendar needed for endOfMonth adjustment
Calendar nullCalendar = new NullCalendar();
int periods = 1;
Date seed = new Date(), exitDate = new Date();
switch (rule_.Value)
{
case DateGeneration.Rule.Zero:
tenor_ = new Period(0, TimeUnit.Years);
dates_.Add(effectiveDate);
dates_.Add(terminationDate);
isRegular_.Add(true);
break;
case DateGeneration.Rule.Backward:
dates_.Add(terminationDate);
seed = terminationDate;
if (nextToLastDate_ != null)
{
dates_.Insert(0, nextToLastDate_);
Date temp = nullCalendar.advance(seed, -periods * tenor_, convention_, endOfMonth_.Value);
if (temp != nextToLastDate_)
{
isRegular_.Insert(0, false);
}
else
{
isRegular_.Insert(0, true);
}
seed = nextToLastDate_;
}
exitDate = effectiveDate;
if (firstDate_ != null)
{
exitDate = firstDate_;
}
while (true)
{
Date temp = nullCalendar.advance(seed, -periods * tenor_, convention_, endOfMonth_.Value);
if (temp < exitDate)
{
if (firstDate_ != null && (calendar_.adjust(dates_.First(), convention_) !=
calendar_.adjust(firstDate_, convention_)))
{
dates_.Insert(0, firstDate_);
isRegular_.Insert(0, false);
}
break;
}
else
{
// skip dates that would result in duplicates
// after adjustment
if (calendar_.adjust(dates_.First(), convention_) != calendar_.adjust(temp, convention_))
{
dates_.Insert(0, temp);
isRegular_.Insert(0, true);
}
++periods;
}
}
if (calendar_.adjust(dates_.First(), convention) != calendar_.adjust(effectiveDate, convention))
{
dates_.Insert(0, effectiveDate);
isRegular_.Insert(0, false);
}
break;
case DateGeneration.Rule.Twentieth:
case DateGeneration.Rule.TwentiethIMM:
case DateGeneration.Rule.ThirdWednesday:
case DateGeneration.Rule.OldCDS:
case DateGeneration.Rule.CDS:
case DateGeneration.Rule.CDS2015:
Utils.QL_REQUIRE(!endOfMonth, () => "endOfMonth convention incompatible with " + rule_.Value + " date generation rule");
goto case DateGeneration.Rule.Forward; // fall through
case DateGeneration.Rule.Forward:
if (rule_.Value == DateGeneration.Rule.CDS ||
rule_.Value == DateGeneration.Rule.CDS2015)
{
dates_.Add(previousTwentieth(effectiveDate, rule_.Value));
}
else
{
dates_.Add(effectiveDate);
}
seed = dates_.Last();
if (firstDate_ != null)
{
dates_.Add(firstDate_);
Date temp = nullCalendar.advance(seed, periods * tenor_, convention_, endOfMonth_.Value);
if (temp != firstDate_)
{
isRegular_.Add(false);
}
else
{
isRegular_.Add(true);
}
seed = firstDate_;
}
else if (rule_.Value == DateGeneration.Rule.Twentieth ||
rule_.Value == DateGeneration.Rule.TwentiethIMM ||
rule_.Value == DateGeneration.Rule.OldCDS ||
rule_.Value == DateGeneration.Rule.CDS ||
rule_.Value == DateGeneration.Rule.CDS2015)
{
Date next20th = nextTwentieth(effectiveDate, rule_.Value);
if (rule_ == DateGeneration.Rule.OldCDS)
{
// distance rule inforced in natural days
long stubDays = 30;
if (next20th - effectiveDate < stubDays)
{
// +1 will skip this one and get the next
next20th = nextTwentieth(next20th + 1, rule_.Value);
}
}
if (next20th != effectiveDate)
{
dates_.Add(next20th);
isRegular_.Add(false);
seed = next20th;
}
}
exitDate = terminationDate;
if (nextToLastDate_ != null)
{
exitDate = nextToLastDate_;
}
if (rule_ == DateGeneration.Rule.CDS2015 &&
nextTwentieth(terminationDate, rule_.Value) == terminationDate &&
terminationDate.month() % 2 == 1)
{
exitDate = nextTwentieth(terminationDate + 1, rule_.Value);
}
while (true)
{
Date temp = nullCalendar.advance(seed, periods * tenor_, convention_, endOfMonth_.Value);
if (temp > exitDate)
{
if (nextToLastDate_ != null &&
(calendar_.adjust(dates_.Last(), convention_) != calendar_.adjust(nextToLastDate_, convention_)))
{
dates_.Add(nextToLastDate_);
isRegular_.Add(false);
}
break;
}
else
{
// skip dates that would result in duplicates
// after adjustment
if (calendar_.adjust(dates_.Last(), convention_) != calendar_.adjust(temp, convention_))
{
dates_.Add(temp);
isRegular_.Add(true);
}
++periods;
}
}
if (calendar_.adjust(dates_.Last(), terminationDateConvention_.Value) !=
calendar_.adjust(terminationDate, terminationDateConvention_.Value))
{
if (rule_.Value == DateGeneration.Rule.Twentieth ||
rule_.Value == DateGeneration.Rule.TwentiethIMM ||
rule_.Value == DateGeneration.Rule.OldCDS ||
rule_.Value == DateGeneration.Rule.CDS)
{
dates_.Add(nextTwentieth(terminationDate, rule_.Value));
isRegular_.Add(true);
}
else if (rule_ == DateGeneration.Rule.CDS2015)
{
Date tentativeTerminationDate = nextTwentieth(terminationDate, rule_.Value);
if (tentativeTerminationDate.month() % 2 == 0)
{
dates_.Add(tentativeTerminationDate);
isRegular_.Add(true);
}
}
else
{
dates_.Add(terminationDate);
isRegular_.Add(false);
}
}
break;
default:
Utils.QL_FAIL("unknown rule (" + rule_.Value + ")");
break;
}
// adjustments
if (rule_ == DateGeneration.Rule.ThirdWednesday)
{
for (int i = 1; i < dates_.Count - 1; ++i)
{
dates_[i] = Date.nthWeekday(3, DayOfWeek.Wednesday, dates_[i].Month, dates_[i].Year);
}
}
if (endOfMonth && calendar_.isEndOfMonth(seed))
{
// adjust to end of month
if (convention_ == BusinessDayConvention.Unadjusted)
{
for (int i = 1; i < dates_.Count - 1; ++i)
{
dates_[i] = Date.endOfMonth(dates_[i]);
}
}
else
{
for (int i = 1; i < dates_.Count - 1; ++i)
{
dates_[i] = calendar_.endOfMonth(dates_[i]);
}
}
if (terminationDateConvention_ != BusinessDayConvention.Unadjusted)
{
dates_[0] = calendar_.endOfMonth(dates_.First());
dates_[dates_.Count - 1] = calendar_.endOfMonth(dates_.Last());
}
else
{
// the termination date is the first if going backwards,
// the last otherwise.
if (rule_ == DateGeneration.Rule.Backward)
{
dates_[dates_.Count - 1] = Date.endOfMonth(dates_.Last());
}
else
{
dates_[0] = Date.endOfMonth(dates_.First());
}
}
}
else
{
// first date not adjusted for CDS schedules
if (rule_ != DateGeneration.Rule.OldCDS)
{
dates_[0] = calendar_.adjust(dates_[0], convention_);
}
for (int i = 1; i < dates_.Count - 1; ++i)
{
dates_[i] = calendar_.adjust(dates_[i], convention_);
}
// termination date is NOT adjusted as per ISDA specifications, unless otherwise specified in the
// confirmation of the deal or unless we're creating a CDS schedule
if (terminationDateConvention_.Value != BusinessDayConvention.Unadjusted &&
rule_.Value != DateGeneration.Rule.CDS &&
rule_.Value != DateGeneration.Rule.CDS2015)
{
dates_[dates_.Count - 1] = calendar_.adjust(dates_.Last(), terminationDateConvention_.Value);
}
}
// Final safety checks to remove extra next-to-last date, if
// necessary. It can happen to be equal or later than the end
// date due to EOM adjustments (see the Schedule test suite
// for an example).
if (dates_.Count >= 2 && dates_[dates_.Count - 2] >= dates_.Last())
{
isRegular_[isRegular_.Count - 2] = (dates_[dates_.Count - 2] == dates_.Last());
dates_[dates_.Count - 2] = dates_.Last();
dates_.RemoveAt(dates_.Count - 1);
isRegular_.RemoveAt(isRegular_.Count - 1);
}
if (dates_.Count >= 2 && dates_[1] <= dates_.First())
{
isRegular_[1] = (dates_[1] == dates_.First());
dates_[1] = dates_.First();
dates_.RemoveAt(0);
isRegular_.RemoveAt(0);
}
Utils.QL_REQUIRE(dates_.Count > 1,
() => "degenerate single date (" + dates_[0] + ") schedule" +
"\n seed date: " + seed +
"\n exit date: " + exitDate +
"\n effective date: " + effectiveDate +
"\n first date: " + firstDate +
"\n next to last date: " + nextToLastDate +
"\n termination date: " + terminationDate +
"\n generation rule: " + rule_.Value +
"\n end of month: " + endOfMonth_.Value);
}
public Schedule(Date effectiveDate__, Date terminationDate__, Period tenor__, Calendar calendar__,
BusinessDayConvention convention__, BusinessDayConvention terminationDateConvention__,
DateGeneration.Rule rule__, bool endOfMonth__,
Date firstDate__, Date nextToLastDate__)
{
// first save the properties
fullInterface_ = true;
tenor_ = tenor__;
calendar_ = calendar__;
convention_ = convention__;
terminationDateConvention_ = terminationDateConvention__;
rule_ = rule__;
endOfMonth_ = endOfMonth__;
firstDate_ = firstDate__;
nextToLastDate_ = nextToLastDate__;
// sanity checks
if (effectiveDate__ == null)
{
throw new ArgumentException("Null effective date");
}
if (terminationDate__ == null)
{
throw new ArgumentException("Null termination date");
}
if (effectiveDate__ >= terminationDate__)
{
throw new ArgumentException("Effective date (" + effectiveDate__ +
") is later than or equal to termination date (" + terminationDate__ + ")");
}
if (tenor_.length() == 0)
{
rule_ = DateGeneration.Rule.Zero;
}
else if (tenor_.length() < 0)
{
throw new ArgumentException("Non positive tenor (" + tenor_ + ") is not allowed");
}
if (firstDate_ != null)
{
switch (rule_)
{
case DateGeneration.Rule.Backward:
case DateGeneration.Rule.Forward:
if (!(firstDate_ > effectiveDate__ && firstDate_ < terminationDate__))
{
throw new ArgumentException("First date (" + firstDate_ + ") is out of range [effective date (" + effectiveDate__
+ "), termination date (" + terminationDate__ + ")]");
}
// we should ensure that the above condition is still verified after adjustment
break;
case DateGeneration.Rule.ThirdWednesday:
if (!IMM.isIMMdate(firstDate_, false))
{
throw new ArgumentException("first date (" + firstDate_ + ") is not an IMM date");
}
break;
case DateGeneration.Rule.Zero:
case DateGeneration.Rule.Twentieth:
case DateGeneration.Rule.TwentiethIMM:
case DateGeneration.Rule.OldCDS:
case DateGeneration.Rule.CDS:
throw new ArgumentException("First date is incompatible with " + rule_ + " date generation rule");
default:
throw new ArgumentException("Unknown DateGeneration rule: " + rule_);
}
}
if (nextToLastDate_ != null)
{
switch (rule_)
{
case DateGeneration.Rule.Backward:
case DateGeneration.Rule.Forward:
if (!(nextToLastDate_ > effectiveDate__ && nextToLastDate_ < terminationDate__))
{
throw new ArgumentException("Next to last date (" + nextToLastDate_ + ") out of range [effective date (" + effectiveDate__
+ "), termination date (" + terminationDate__ + ")]");
}
// we should ensure that the above condition is still verified after adjustment
break;
case DateGeneration.Rule.ThirdWednesday:
if (!IMM.isIMMdate(firstDate_, false))
{
throw new ArgumentException("first date (" + firstDate_ + ") is not an IMM date");
}
break;
case DateGeneration.Rule.Zero:
case DateGeneration.Rule.Twentieth:
case DateGeneration.Rule.TwentiethIMM:
case DateGeneration.Rule.OldCDS:
case DateGeneration.Rule.CDS:
throw new ArgumentException("next to last is incompatible with " + rule_ + " date generation rule");
default:
throw new ArgumentException("Unknown DateGeneration rule: " + rule_);
}
}
// calendar needed for endOfMonth adjustment
Calendar nullCalendar = new NullCalendar();
int periods = 1;
Date seed = new Date(), exitDate;
switch (rule_)
{
case DateGeneration.Rule.Zero:
tenor_ = new Period(0, TimeUnit.Years);
originalDates_.Add(effectiveDate__);
originalDates_.Add(terminationDate__);
isRegular_.Add(true);
break;
case DateGeneration.Rule.Backward:
originalDates_.Add(terminationDate__);
seed = terminationDate__;
if (nextToLastDate_ != null)
{
originalDates_.Insert(0, nextToLastDate_);
Date temp = nullCalendar.advance(seed, -periods * tenor_, convention_, endOfMonth_);
isRegular_.Insert(0, temp == nextToLastDate_);
seed = nextToLastDate_;
}
exitDate = effectiveDate__;
if (firstDate_ != null)
{
exitDate = firstDate_;
}
while (true)
{
Date temp = nullCalendar.advance(seed, -periods * tenor_, convention_, endOfMonth_);
if (temp < exitDate)
{
if (firstDate_ != null && (calendar_.adjust(originalDates_.First(), convention_) !=
calendar_.adjust(firstDate_, convention_)))
{
originalDates_.Insert(0, firstDate_);
isRegular_.Insert(0, false);
}
break;
}
else
{
originalDates_.Insert(0, temp);
isRegular_.Insert(0, true);
++periods;
}
}
if (endOfMonth_ && calendar_.isEndOfMonth(seed))
{
convention_ = BusinessDayConvention.Preceding;
}
if (calendar_.adjust(originalDates_[0], convention_) != calendar_.adjust(effectiveDate__, convention_))
{
originalDates_.Insert(0, effectiveDate__);
isRegular_.Insert(0, false);
}
break;
case DateGeneration.Rule.Twentieth:
case DateGeneration.Rule.TwentiethIMM:
case DateGeneration.Rule.ThirdWednesday:
case DateGeneration.Rule.OldCDS:
case DateGeneration.Rule.CDS:
if (endOfMonth_)
{
throw new ArgumentException("endOfMonth convention is incompatible with " + rule_ + " date generation rule");
}
goto case DateGeneration.Rule.Forward; // fall through
case DateGeneration.Rule.Forward:
if (rule_ == DateGeneration.Rule.CDS)
{
originalDates_.Add(previousTwentieth(effectiveDate__, DateGeneration.Rule.CDS));
}
else
{
originalDates_.Add(effectiveDate__);
}
seed = effectiveDate__;
if (firstDate_ != null)
{
originalDates_.Add(firstDate_);
Date temp = nullCalendar.advance(seed, periods * tenor_, convention_, endOfMonth_);
isRegular_.Add(temp == firstDate_);
seed = firstDate_;
}
else if (rule_ == DateGeneration.Rule.Twentieth ||
rule_ == DateGeneration.Rule.TwentiethIMM ||
rule_ == DateGeneration.Rule.OldCDS ||
rule_ == DateGeneration.Rule.CDS)
{
Date next20th = nextTwentieth(effectiveDate__, rule_);
if (rule_ == DateGeneration.Rule.OldCDS)
{
// distance rule inforced in natural days
long stubDays = 30;
if (next20th - effectiveDate__ < stubDays)
{
// +1 will skip this one and get the next
next20th = nextTwentieth(next20th + 1, rule_);
}
}
if (next20th != effectiveDate__)
{
originalDates_.Add(next20th);
isRegular_.Add(false);
seed = next20th;
}
}
exitDate = terminationDate__;
if (nextToLastDate_ != null)
{
exitDate = nextToLastDate_;
}
while (true)
{
Date temp = nullCalendar.advance(seed, periods * tenor_, convention_, endOfMonth_);
if (temp > exitDate)
{
if (nextToLastDate_ != null &&
(calendar_.adjust(originalDates_.Last(), convention_) !=
calendar_.adjust(nextToLastDate_, convention_)))
{
originalDates_.Add(nextToLastDate_);
isRegular_.Add(false);
}
break;
}
else
{
originalDates_.Add(temp);
isRegular_.Add(true);
++periods;
}
}
if (endOfMonth_ && calendar_.isEndOfMonth(seed))
{
convention_ = BusinessDayConvention.Preceding;
}
if (calendar_.adjust(originalDates_.Last(), terminationDateConvention_) != calendar_.adjust(terminationDate__, terminationDateConvention_))
{
if (rule_ == DateGeneration.Rule.Twentieth ||
rule_ == DateGeneration.Rule.TwentiethIMM ||
rule_ == DateGeneration.Rule.OldCDS ||
rule_ == DateGeneration.Rule.CDS)
{
originalDates_.Add(nextTwentieth(terminationDate__, rule_));
isRegular_.Add(true);
}
else
{
originalDates_.Add(terminationDate__);
isRegular_.Add(false);
}
}
break;
default:
throw new ArgumentException("Unknown DateGeneration rule: " + rule_);
}
// adjustments to holidays, etc.
if (rule_ == DateGeneration.Rule.ThirdWednesday)
{
for (int i = 1; i < originalDates_.Count; ++i)
{
originalDates_[i] = Date.nthWeekday(3, DayOfWeek.Wednesday, originalDates_[i].Month, originalDates_[i].Year);
}
}
if (endOfMonth && calendar_.isEndOfMonth(seed))
{
// adjust to end of month
if (convention_ == BusinessDayConvention.Unadjusted)
{
for (int i = 0; i < originalDates_.Count; ++i)
{
originalDates_[i] = Date.endOfMonth(originalDates_[i]);
}
}
else
{
for (int i = 0; i < originalDates_.Count; ++i)
{
originalDates_[i] = calendar_.endOfMonth(originalDates_[i]);
}
}
if (terminationDateConvention_ == BusinessDayConvention.Unadjusted)
{
originalDates_[originalDates_.Count - 1] = Date.endOfMonth(originalDates_.Last());
}
else
{
originalDates_[originalDates_.Count - 1] = calendar_.endOfMonth(originalDates_.Last());
}
}
else
{
// first date not adjusted for CDS schedules
if (rule_ != DateGeneration.Rule.OldCDS)
{
originalDates_[0] = calendar_.adjust(originalDates_[0], convention_);
}
for (int i = 1; i < originalDates_.Count; ++i)
{
originalDates_[i] = calendar_.adjust(originalDates_[i], convention_);
}
foreach (Date d in originalDates_)
{
adjustedDates_.Add(d);
}
// termination date is NOT adjusted as per ISDA specifications, unless otherwise specified in the
// confirmation of the deal or unless we're creating a CDS schedule
if (terminationDateConvention_ != BusinessDayConvention.Unadjusted ||
rule_ == DateGeneration.Rule.Twentieth ||
rule_ == DateGeneration.Rule.TwentiethIMM ||
rule_ == DateGeneration.Rule.OldCDS ||
rule_ == DateGeneration.Rule.CDS)
{
adjustedDates_[adjustedDates_.Count - 1] = calendar_.adjust(originalDates_.Last(), terminationDateConvention_);
}
}
}
public void testYYIndex()
{
// Testing year-on-year inflation indices
SavedSettings backup = new SavedSettings();
//IndexHistoryCleaner cleaner = new IndexHistoryCleaner();
YYEUHICP yyeuhicp = new YYEUHICP( true );
if ( yyeuhicp.name() != "EU YY_HICP"
|| yyeuhicp.frequency() != Frequency.Monthly
|| yyeuhicp.revised()
|| !yyeuhicp.interpolated()
|| yyeuhicp.ratio()
|| yyeuhicp.availabilityLag() != new Period( 1, TimeUnit.Months ) )
{
Assert.Fail( "wrong year-on-year EU HICP data ("
+ yyeuhicp.name() + ", "
+ yyeuhicp.frequency() + ", "
+ yyeuhicp.revised() + ", "
+ yyeuhicp.interpolated() + ", "
+ yyeuhicp.ratio() + ", "
+ yyeuhicp.availabilityLag() + ")" );
}
YYEUHICPr yyeuhicpr = new YYEUHICPr( true );
if ( yyeuhicpr.name() != "EU YYR_HICP"
|| yyeuhicpr.frequency() != Frequency.Monthly
|| yyeuhicpr.revised()
|| !yyeuhicpr.interpolated()
|| !yyeuhicpr.ratio()
|| yyeuhicpr.availabilityLag() != new Period( 1, TimeUnit.Months ) )
{
Assert.Fail( "wrong year-on-year EU HICPr data ("
+ yyeuhicpr.name() + ", "
+ yyeuhicpr.frequency() + ", "
+ yyeuhicpr.revised() + ", "
+ yyeuhicpr.interpolated() + ", "
+ yyeuhicpr.ratio() + ", "
+ yyeuhicpr.availabilityLag() + ")" );
}
YYUKRPI yyukrpi = new YYUKRPI( false );
if ( yyukrpi.name() != "UK YY_RPI"
|| yyukrpi.frequency() != Frequency.Monthly
|| yyukrpi.revised()
|| yyukrpi.interpolated()
|| yyukrpi.ratio()
|| yyukrpi.availabilityLag() != new Period( 1, TimeUnit.Months ) )
{
Assert.Fail( "wrong year-on-year UK RPI data ("
+ yyukrpi.name() + ", "
+ yyukrpi.frequency() + ", "
+ yyukrpi.revised() + ", "
+ yyukrpi.interpolated() + ", "
+ yyukrpi.ratio() + ", "
+ yyukrpi.availabilityLag() + ")" );
}
YYUKRPIr yyukrpir = new YYUKRPIr( false );
if ( yyukrpir.name() != "UK YYR_RPI"
|| yyukrpir.frequency() != Frequency.Monthly
|| yyukrpir.revised()
|| yyukrpir.interpolated()
|| !yyukrpir.ratio()
|| yyukrpir.availabilityLag() != new Period( 1, TimeUnit.Months ) )
{
Assert.Fail( "wrong year-on-year UK RPIr data ("
+ yyukrpir.name() + ", "
+ yyukrpir.frequency() + ", "
+ yyukrpir.revised() + ", "
+ yyukrpir.interpolated() + ", "
+ yyukrpir.ratio() + ", "
+ yyukrpir.availabilityLag() + ")" );
}
// Retrieval test.
//----------------
// make sure of the evaluation date
Date evaluationDate = new Date( 13, Month.August, 2007 );
evaluationDate = new UnitedKingdom().adjust( evaluationDate );
Settings.setEvaluationDate( evaluationDate );
// fixing data
Date from = new Date( 1, Month.January, 2005 );
Date to = new Date( 13, Month.August, 2007 );
Schedule rpiSchedule = new MakeSchedule().from( from ).to( to )
.withTenor( new Period( 1, TimeUnit.Months ) )
.withCalendar( new UnitedKingdom() )
.withConvention( BusinessDayConvention.ModifiedFollowing ).value();
double[] fixData = { 189.9, 189.9, 189.6, 190.5, 191.6, 192.0,
192.2, 192.2, 192.6, 193.1, 193.3, 193.6,
194.1, 193.4, 194.2, 195.0, 196.5, 197.7,
198.5, 198.5, 199.2, 200.1, 200.4, 201.1,
202.7, 201.6, 203.1, 204.4, 205.4, 206.2,
207.3 };
bool interp = false;
YYUKRPIr iir = new YYUKRPIr( interp );
YYUKRPIr iirYES = new YYUKRPIr( true );
for ( int i = 0; i < fixData.Length; i++ )
{
iir.addFixing( rpiSchedule[i], fixData[i] );
iirYES.addFixing( rpiSchedule[i], fixData[i] );
}
Date todayMinusLag = evaluationDate - iir.availabilityLag();
KeyValuePair<Date, Date> lim0 = Utils.inflationPeriod( todayMinusLag, iir.frequency() );
todayMinusLag = lim0.Value + 1 - 2 * new Period( iir.frequency() );
double eps = 1.0e-8;
// Interpolation tests
//--------------------
// (no TS so can't forecast).
for ( int i = 13; i < rpiSchedule.Count; i++ )
{
KeyValuePair<Date, Date> lim = Utils.inflationPeriod( rpiSchedule[i], iir.frequency() );
KeyValuePair<Date, Date> limBef = Utils.inflationPeriod( rpiSchedule[i - 12], iir.frequency() );
for ( Date d = lim.Key; d <= lim.Value; d++ )
{
if ( d < todayMinusLag )
{
double expected = fixData[i] / fixData[i - 12] - 1.0;
double calculated = iir.fixing( d );
Assert.IsTrue( Math.Abs( calculated - expected ) < eps,
"Non-interpolated fixings not constant within a period: "
+ calculated
+ ", should be "
+ expected );
double dp = lim.Value + 1 - lim.Key;
double dpBef = limBef.Value + 1 - limBef.Key;
double dl = d - lim.Key;
// potentially does not work on 29th Feb
double dlBef = new NullCalendar().advance( d, -new Period( 1, TimeUnit.Years ),
BusinessDayConvention.ModifiedFollowing ) - limBef.Key;
double linearNow = fixData[i] + ( fixData[i + 1] - fixData[i] ) * dl / dp;
double linearBef = fixData[i - 12] + ( fixData[i + 1 - 12] - fixData[i - 12] ) * dlBef / dpBef;
double expectedYES = linearNow / linearBef - 1.0;
double calculatedYES = iirYES.fixing( d );
Assert.IsTrue( Math.Abs( expectedYES - calculatedYES ) < eps,
"Error in interpolated fixings: expect " + expectedYES
+ " see " + calculatedYES
+ " flat " + calculated
+ ", data: " + fixData[i - 12] + ", " + fixData[i + 1 - 12]
+ ", " + fixData[i] + ", " + fixData[i + 1]
+ ", fac: " + dp + ", " + dl
+ ", " + dpBef + ", " + dlBef
+ ", to: " + linearNow + ", " + linearBef
);
}
}
}
}
static void Main(string[] args)
{
// boost::timer timer;
Date today = new Date(16,Month.October,2007);
Settings.setEvaluationDate(today);
Console.WriteLine();
Console.WriteLine("Pricing a callable fixed rate bond using");
Console.WriteLine("Hull White model w/ reversion parameter = 0.03");
Console.WriteLine("BAC4.65 09/15/12 ISIN: US06060WBJ36");
Console.WriteLine("roughly five year tenor, ");
Console.WriteLine("quarterly coupon and call dates");
Console.WriteLine("reference date is : " + today );
/* Bloomberg OAS1: "N" model (Hull White)
varying volatility parameter
The curve entered into Bloomberg OAS1 is a flat curve,
at constant yield = 5.5%, semiannual compounding.
Assume here OAS1 curve uses an ACT/ACT day counter,
as documented in PFC1 as a "default" in the latter case.
*/
// set up a flat curve corresponding to Bloomberg flat curve
double bbCurveRate = 0.055;
DayCounter bbDayCounter = new ActualActual(ActualActual.Convention.Bond);
InterestRate bbIR = new InterestRate(bbCurveRate,bbDayCounter,Compounding.Compounded ,Frequency.Semiannual);
Handle<YieldTermStructure> termStructure = new Handle<YieldTermStructure>(flatRate( today,
bbIR.rate(),
bbIR.dayCounter(),
bbIR.compounding(),
bbIR.frequency()));
// set up the call schedule
CallabilitySchedule callSchedule = new CallabilitySchedule();
double callPrice = 100.0;
int numberOfCallDates = 24;
Date callDate = new Date(15,Month.September,2006);
for (int i=0; i< numberOfCallDates; i++)
{
Calendar nullCalendar = new NullCalendar();
Callability.Price myPrice = new Callability.Price(callPrice, Callability.Price.Type.Clean);
callSchedule.Add( new Callability(myPrice,Callability.Type.Call, callDate ));
callDate = nullCalendar.advance(callDate, 3, TimeUnit.Months);
}
// set up the callable bond
Date dated = new Date(16,Month.September,2004);
Date issue = dated;
Date maturity = new Date(15,Month.September,2012);
int settlementDays = 3; // Bloomberg OAS1 settle is Oct 19, 2007
Calendar bondCalendar = new UnitedStates(UnitedStates.Market.GovernmentBond);
double coupon = .0465;
Frequency frequency = Frequency.Quarterly;
double redemption = 100.0;
double faceAmount = 100.0;
/* The 30/360 day counter Bloomberg uses for this bond cannot
reproduce the US Bond/ISMA (constant) cashflows used in PFC1.
Therefore use ActAct(Bond)
*/
DayCounter bondDayCounter = new ActualActual(ActualActual.Convention.Bond);
// PFC1 shows no indication dates are being adjusted
// for weekends/holidays for vanilla bonds
BusinessDayConvention accrualConvention = BusinessDayConvention.Unadjusted;
BusinessDayConvention paymentConvention = BusinessDayConvention.Unadjusted;
Schedule sch = new Schedule( dated, maturity, new Period(frequency), bondCalendar,
accrualConvention, accrualConvention,
DateGeneration.Rule.Backward, false);
int maxIterations = 1000;
double accuracy = 1e-8;
int gridIntervals = 40;
double reversionParameter = .03;
// output price/yield results for varying volatility parameter
double sigma = Const.QL_Epsilon; // core dumps if zero on Cygwin
ShortRateModel hw0 = new HullWhite(termStructure,reversionParameter,sigma);
IPricingEngine engine0 = new TreeCallableFixedRateBondEngine(hw0, gridIntervals, termStructure);
CallableFixedRateBond callableBond = new CallableFixedRateBond( settlementDays, faceAmount, sch,
new InitializedList<double>(1, coupon),
bondDayCounter, paymentConvention,
redemption, issue, callSchedule);
callableBond.setPricingEngine(engine0);
Console.WriteLine("sigma/vol (%) = {0:0.00}", (100.0 * sigma));
Console.WriteLine("QuantLib price/yld (%) ");
Console.WriteLine( "{0:0.00} / {1:0.00} ", callableBond.cleanPrice() ,
100.0 * callableBond.yield(bondDayCounter,
Compounding.Compounded,
frequency,
accuracy,
maxIterations));
Console.WriteLine("Bloomberg price/yld (%) ");
Console.WriteLine("96.50 / 5.47");
//
sigma = .01;
Console.WriteLine("sigma/vol (%) = {0:0.00}", (100.0 * sigma));
ShortRateModel hw1 = new HullWhite(termStructure,reversionParameter,sigma);
IPricingEngine engine1 = new TreeCallableFixedRateBondEngine(hw1,gridIntervals,termStructure);
callableBond.setPricingEngine(engine1);
Console.WriteLine("QuantLib price/yld (%) ");
Console.WriteLine( "{0:0.00} / {1:0.00} ", callableBond.cleanPrice() ,
100.0 * callableBond.yield(bondDayCounter,
Compounding.Compounded,
frequency,
accuracy,
maxIterations));
Console.WriteLine("Bloomberg price/yld (%) ");
Console.WriteLine("95.68 / 5.66");
//
sigma = .03;
Console.WriteLine("sigma/vol (%) = {0:0.00}", (100.0 * sigma));
ShortRateModel hw2 = new HullWhite(termStructure, reversionParameter, sigma);
IPricingEngine engine2 = new TreeCallableFixedRateBondEngine(hw2, gridIntervals, termStructure);
callableBond.setPricingEngine(engine2);
Console.WriteLine("QuantLib price/yld (%) ");
Console.WriteLine("{0:0.00} / {1:0.00} ", callableBond.cleanPrice(),
100.0 * callableBond.yield(bondDayCounter,
Compounding.Compounded,
frequency,
accuracy,
maxIterations));
Console.WriteLine("Bloomberg price/yld (%) ");
Console.WriteLine("92.34 / 6.49");
//
sigma = .06;
Console.WriteLine("sigma/vol (%) = {0:0.00}", (100.0 * sigma));
ShortRateModel hw3 = new HullWhite(termStructure, reversionParameter, sigma);
IPricingEngine engine3 = new TreeCallableFixedRateBondEngine(hw3, gridIntervals, termStructure);
callableBond.setPricingEngine(engine3);
Console.WriteLine("QuantLib price/yld (%) ");
Console.WriteLine("{0:0.00} / {1:0.00} ", callableBond.cleanPrice(),
100.0 * callableBond.yield(bondDayCounter,
Compounding.Compounded,
frequency,
accuracy,
maxIterations));
Console.WriteLine("Bloomberg price/yld (%) ");
Console.WriteLine("87.16 / 7.83");
//
sigma = .12;
Console.WriteLine("sigma/vol (%) = {0:0.00}", (100.0 * sigma));
ShortRateModel hw4 = new HullWhite(termStructure, reversionParameter, sigma);
IPricingEngine engine4 = new TreeCallableFixedRateBondEngine(hw4, gridIntervals, termStructure);
callableBond.setPricingEngine(engine4);
Console.WriteLine("QuantLib price/yld (%) ");
Console.WriteLine("{0:0.00} / {1:0.00} ", callableBond.cleanPrice(),
100.0 * callableBond.yield(bondDayCounter,
Compounding.Compounded,
frequency,
accuracy,
maxIterations));
Console.WriteLine("Bloomberg price/yld (%) ");
Console.WriteLine("77.31 / 10.65");
}
public void testInArrears()
{
//("Testing in-arrears swap calculation...");
CommonVars vars = new CommonVars();
/* See Hull, 4th ed., page 550
Note: the calculation in the book is wrong (work out the adjustment and you'll get 0.05 + 0.000115 T1) */
Date maturity = vars.today + new Period(5, TimeUnit.Years);
Calendar calendar = new NullCalendar();
Schedule schedule = new Schedule(vars.today, maturity, new Period(Frequency.Annual), calendar,
BusinessDayConvention.Following, BusinessDayConvention.Following,
DateGeneration.Rule.Forward, false);
DayCounter dayCounter = new SimpleDayCounter();
List<double> nominals = new List<double>() { 100000000.0 };
IborIndex index = new IborIndex("dummy", new Period(1, TimeUnit.Years), 0, new EURCurrency(), calendar,
BusinessDayConvention.Following, false, dayCounter, vars.termStructure);
double oneYear = 0.05;
double r = Math.Log(1.0 + oneYear);
vars.termStructure.linkTo(Utilities.flatRate(vars.today, r, dayCounter));
List<double> coupons = new List<double>() { oneYear };
List<CashFlow> fixedLeg = new FixedRateLeg(schedule)
.withCouponRates(coupons, dayCounter)
.withNotionals(nominals);
List<double> gearings = new List<double>();
List<double> spreads = new List<double>();
int fixingDays = 0;
double capletVolatility = 0.22;
var vol = new Handle<OptionletVolatilityStructure>(
new ConstantOptionletVolatility(vars.today, new NullCalendar(),
BusinessDayConvention.Following, capletVolatility, dayCounter));
IborCouponPricer pricer = new BlackIborCouponPricer(vol);
List<CashFlow> floatingLeg = new IborLeg(schedule, index)
.withPaymentDayCounter(dayCounter)
.withFixingDays(fixingDays)
.withGearings(gearings)
.withSpreads(spreads)
.inArrears()
.withNotionals(nominals);
Utils.setCouponPricer(floatingLeg, pricer);
Swap swap = new Swap(floatingLeg, fixedLeg);
swap.setPricingEngine(new DiscountingSwapEngine(vars.termStructure));
double storedValue = -144813.0;
double tolerance = 1.0;
if (Math.Abs(swap.NPV() - storedValue) > tolerance)
Assert.Fail("Wrong NPV calculation:\n"
+ " expected: " + storedValue + "\n"
+ " calculated: " + swap.NPV());
}
void addEffectiveInterestRateAmortizing()
{
// Amortizing Schedule
Schedule schedule = new Schedule(_tradeDate, _maturityDate, new Period(_payFrequency),
_calendar, BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
double currentNominal = _marketValue;
Date prevDate = _tradeDate;
Date actualDate = _tradeDate;
for (int i = 1; i < schedule.Count; ++i)
{
actualDate = schedule[i];
InterestRate rate = new InterestRate(_yield, _dCounter, Compounding.Simple, Frequency.Annual);
InterestRate rate2 = new InterestRate(_couponRate, _dCounter, Compounding.Simple, Frequency.Annual);
FixedRateCoupon r,r2;
if (i > 1)
{
r = new FixedRateCoupon(currentNominal, actualDate, rate, prevDate, actualDate, prevDate, actualDate);
r2 = new FixedRateCoupon(currentNominal, actualDate, rate2, prevDate, actualDate, prevDate, actualDate, null,_originalPayment);
}
else
{
Calendar nullCalendar = new NullCalendar();
Period p1 = new Period(_payFrequency);
Date testDate = nullCalendar.advance(actualDate, -1 * p1);
r = new FixedRateCoupon(currentNominal, actualDate, rate, testDate, actualDate, prevDate, actualDate);
r2 = new FixedRateCoupon(currentNominal, actualDate, rate2, testDate, actualDate, prevDate, actualDate, null,_originalPayment);
}
double amort = Math.Round(Math.Abs(_originalPayment - r.amount()),2);
AmortizingPayment p = new AmortizingPayment(amort, actualDate);
if (_isPremium)
currentNominal -= Math.Abs(amort);
else
currentNominal += Math.Abs(amort);
cashflows_.Add(r2);
cashflows_.Add(p);
prevDate = actualDate;
}
// Add single redemption for yield calculation
setSingleRedemption(_faceValue, 100, _maturityDate);
}
public Schedule(Date effectiveDate, Date terminationDate, Period tenor, Calendar calendar,
BusinessDayConvention convention, BusinessDayConvention terminationDateConvention,
DateGeneration.Rule rule, bool endOfMonth, Date firstDate, Date nextToLastDate)
{
// first save the properties
fullInterface_ = true;
tenor_ = tenor;
calendar_ = calendar;
convention_ = convention;
terminationDateConvention_ = terminationDateConvention;
rule_ = rule;
endOfMonth_ = endOfMonth;
if (firstDate == effectiveDate)
{
firstDate_ = null;
}
else
{
firstDate_ = firstDate;
}
if (nextToLastDate == terminationDate)
{
nextToLastDate_ = null;
}
else
{
nextToLastDate_ = nextToLastDate;
}
// sanity checks
Utils.QL_REQUIRE(terminationDate != null, "null termination date");
// in many cases (e.g. non-expired bonds) the effective date is not
// really necessary. In these cases a decent placeholder is enough
if (effectiveDate == null && firstDate == null && rule == DateGeneration.Rule.Backward)
{
Date evalDate = Settings.evaluationDate();
Utils.QL_REQUIRE(evalDate < terminationDate, "null effective date");
int y;
if (nextToLastDate != null)
{
y = (nextToLastDate - evalDate) / 366 + 1;
effectiveDate = nextToLastDate - new Period(y, TimeUnit.Years);
}
else
{
y = (terminationDate - evalDate) / 366 + 1;
effectiveDate = terminationDate - new Period(y, TimeUnit.Years);
}
}
else
{
Utils.QL_REQUIRE(effectiveDate != null, "null effective date");
}
if (tenor_.length() == 0)
{
rule_ = DateGeneration.Rule.Zero;
}
else
{
Utils.QL_REQUIRE(tenor.length() > 0, "non positive tenor (" + tenor + ") not allowed");
}
if (firstDate_ != null)
{
switch (rule_)
{
case DateGeneration.Rule.Backward:
case DateGeneration.Rule.Forward:
Utils.QL_REQUIRE(firstDate_ > effectiveDate &&
firstDate_ < terminationDate,
"first date (" + firstDate_ + ") out of effective-termination date range [" +
effectiveDate + ", " + terminationDate + ")");
// we should ensure that the above condition is still verified after adjustment
break;
case DateGeneration.Rule.ThirdWednesday:
Utils.QL_REQUIRE(IMM.isIMMdate(firstDate_, false), "first date (" + firstDate_ + ") is not an IMM date");
break;
case DateGeneration.Rule.Zero:
case DateGeneration.Rule.Twentieth:
case DateGeneration.Rule.TwentiethIMM:
case DateGeneration.Rule.OldCDS:
case DateGeneration.Rule.CDS:
Utils.QL_FAIL("first date incompatible with " + rule_ + " date generation rule");
break;
default:
Utils.QL_FAIL("unknown rule (" + rule_ + ")");
break;
}
}
if (nextToLastDate_ != null)
{
switch (rule_)
{
case DateGeneration.Rule.Backward:
case DateGeneration.Rule.Forward:
Utils.QL_REQUIRE(nextToLastDate_ > effectiveDate && nextToLastDate_ < terminationDate,
"next to last date (" + nextToLastDate_ + ") out of effective-termination date range (" +
effectiveDate + ", " + terminationDate + "]");
// we should ensure that the above condition is still verified after adjustment
break;
case DateGeneration.Rule.ThirdWednesday:
Utils.QL_REQUIRE(IMM.isIMMdate(nextToLastDate_, false), "next-to-last date (" + nextToLastDate_ +
") is not an IMM date");
break;
case DateGeneration.Rule.Zero:
case DateGeneration.Rule.Twentieth:
case DateGeneration.Rule.TwentiethIMM:
case DateGeneration.Rule.OldCDS:
case DateGeneration.Rule.CDS:
Utils.QL_FAIL("next to last date incompatible with " + rule_ + " date generation rule");
break;
default:
Utils.QL_FAIL("unknown rule (" + rule_ + ")");
break;
}
}
// calendar needed for endOfMonth adjustment
Calendar nullCalendar = new NullCalendar();
int periods = 1;
Date seed = new Date(), exitDate;
switch (rule_)
{
case DateGeneration.Rule.Zero:
tenor_ = new Period(0, TimeUnit.Years);
dates_.Add(effectiveDate);
dates_.Add(terminationDate);
isRegular_.Add(true);
break;
case DateGeneration.Rule.Backward:
dates_.Add(terminationDate);
seed = terminationDate;
if (nextToLastDate_ != null)
{
dates_.Insert(0, nextToLastDate_);
Date temp = nullCalendar.advance(seed, -periods * tenor_, convention_, endOfMonth_);
if (temp != nextToLastDate_)
{
isRegular_.Insert(0, false);
}
else
{
isRegular_.Insert(0, true);
}
seed = nextToLastDate_;
}
exitDate = effectiveDate;
if (firstDate_ != null)
{
exitDate = firstDate_;
}
while (true)
{
Date temp = nullCalendar.advance(seed, -periods * tenor_, convention_, endOfMonth_);
if (temp < exitDate)
{
if (firstDate_ != null && (calendar_.adjust(dates_.First(), convention_) !=
calendar_.adjust(firstDate_, convention_)))
{
dates_.Insert(0, firstDate_);
isRegular_.Insert(0, false);
}
break;
}
else
{
// skip dates that would result in duplicates
// after adjustment
if (calendar_.adjust(dates_.First(), convention_) != calendar_.adjust(temp, convention_))
{
dates_.Insert(0, temp);
isRegular_.Insert(0, true);
}
++periods;
}
}
if (calendar_.adjust(dates_.First(), convention) != calendar_.adjust(effectiveDate, convention))
{
dates_.Insert(0, effectiveDate);
isRegular_.Insert(0, false);
}
break;
case DateGeneration.Rule.Twentieth:
case DateGeneration.Rule.TwentiethIMM:
case DateGeneration.Rule.ThirdWednesday:
case DateGeneration.Rule.OldCDS:
case DateGeneration.Rule.CDS:
Utils.QL_REQUIRE(!endOfMonth, "endOfMonth convention incompatible with " + rule_ + " date generation rule");
goto case DateGeneration.Rule.Forward; // fall through
case DateGeneration.Rule.Forward:
if (rule_ == DateGeneration.Rule.CDS)
{
dates_.Add(previousTwentieth(effectiveDate, DateGeneration.Rule.CDS));
}
else
{
dates_.Add(effectiveDate);
}
seed = dates_.Last();
if (firstDate_ != null)
{
dates_.Add(firstDate_);
Date temp = nullCalendar.advance(seed, periods * tenor_, convention_, endOfMonth_);
if (temp != firstDate_)
{
isRegular_.Add(false);
}
else
{
isRegular_.Add(true);
}
seed = firstDate_;
}
else if (rule_ == DateGeneration.Rule.Twentieth ||
rule_ == DateGeneration.Rule.TwentiethIMM ||
rule_ == DateGeneration.Rule.OldCDS ||
rule_ == DateGeneration.Rule.CDS)
{
Date next20th = nextTwentieth(effectiveDate, rule_);
if (rule_ == DateGeneration.Rule.OldCDS)
{
// distance rule inforced in natural days
long stubDays = 30;
if (next20th - effectiveDate < stubDays)
{
// +1 will skip this one and get the next
next20th = nextTwentieth(next20th + 1, rule_);
}
}
if (next20th != effectiveDate)
{
dates_.Add(next20th);
isRegular_.Add(false);
seed = next20th;
}
}
exitDate = terminationDate;
if (nextToLastDate_ != null)
{
exitDate = nextToLastDate_;
}
while (true)
{
Date temp = nullCalendar.advance(seed, periods * tenor_, convention_, endOfMonth_);
if (temp > exitDate)
{
if (nextToLastDate_ != null &&
(calendar_.adjust(dates_.Last(), convention_) != calendar_.adjust(nextToLastDate_, convention_)))
{
dates_.Add(nextToLastDate_);
isRegular_.Add(false);
}
break;
}
else
{
// skip dates that would result in duplicates
// after adjustment
if (calendar_.adjust(dates_.Last(), convention_) != calendar_.adjust(temp, convention_))
{
dates_.Add(temp);
isRegular_.Add(true);
}
++periods;
}
}
if (calendar_.adjust(dates_.Last(), terminationDateConvention_) !=
calendar_.adjust(terminationDate, terminationDateConvention_))
{
if (rule_ == DateGeneration.Rule.Twentieth ||
rule_ == DateGeneration.Rule.TwentiethIMM ||
rule_ == DateGeneration.Rule.OldCDS ||
rule_ == DateGeneration.Rule.CDS)
{
dates_.Add(nextTwentieth(terminationDate, rule_));
isRegular_.Add(true);
}
else
{
dates_.Add(terminationDate);
isRegular_.Add(false);
}
}
break;
default:
Utils.QL_FAIL("unknown rule (" + rule_ + ")");
break;
}
// adjustments
if (rule_ == DateGeneration.Rule.ThirdWednesday)
{
for (int i = 1; i < dates_.Count - 1; ++i)
{
dates_[i] = Date.nthWeekday(3, DayOfWeek.Wednesday, dates_[i].Month, dates_[i].Year);
}
}
if (endOfMonth && calendar_.isEndOfMonth(seed))
{
// adjust to end of month
if (convention_ == BusinessDayConvention.Unadjusted)
{
for (int i = 0; i < dates_.Count - 1; ++i)
{
dates_[i] = Date.endOfMonth(dates_[i]);
}
}
else
{
for (int i = 0; i < dates_.Count - 1; ++i)
{
dates_[i] = calendar_.endOfMonth(dates_[i]);
}
}
if (terminationDateConvention_ != BusinessDayConvention.Unadjusted)
{
dates_[dates_.Count - 1] = calendar_.endOfMonth(dates_.Last());
}
}
else
{
// first date not adjusted for CDS schedules
if (rule_ != DateGeneration.Rule.OldCDS)
{
dates_[0] = calendar_.adjust(dates_[0], convention_);
}
for (int i = 1; i < dates_.Count - 1; ++i)
{
dates_[i] = calendar_.adjust(dates_[i], convention_);
}
// termination date is NOT adjusted as per ISDA specifications, unless otherwise specified in the
// confirmation of the deal or unless we're creating a CDS schedule
if (terminationDateConvention_ != BusinessDayConvention.Unadjusted ||
rule_ == DateGeneration.Rule.Twentieth ||
rule_ == DateGeneration.Rule.TwentiethIMM ||
rule_ == DateGeneration.Rule.OldCDS ||
rule_ == DateGeneration.Rule.CDS)
{
dates_[dates_.Count - 1] = calendar_.adjust(dates_.Last(), terminationDateConvention_);
}
}
// final safety check to remove duplicated last dates, if any
// it can happen if EOM is applied to two near dates
if (dates_.Count >= 2 && dates_[dates_.Count - 2] >= dates_.Last())
{
isRegular_[dates_.Count() - 2] = (dates_[dates_.Count() - 2] == dates_.Last());
dates_[dates_.Count() - 2] = dates_.Last();
dates_.RemoveAt(dates_.Count - 1);
isRegular_.RemoveAt(isRegular_.Count - 1);
}
}
//public MakeSchedule(Date effectiveDate, Date terminationDate, Period tenor, Calendar calendar,
// BusinessDayConvention convention) {
// calendar_ = calendar;
// effectiveDate_ = effectiveDate;
// terminationDate_ = terminationDate;
// tenor_ = tenor;
// convention_ = convention;
// terminationDateConvention_ = convention;
// rule_ = DateGeneration.Rule.Backward;
// endOfMonth_ = false;
// firstDate_ = nextToLastDate_ = null;
//}
public Schedule value()
{
// check for mandatory arguments
if (effectiveDate_ == null)
throw new ApplicationException("effective date not provided");
if (terminationDate_ == null)
throw new ApplicationException("termination date not provided");
if ((object)tenor_ == null)
throw new ApplicationException("tenor/frequency not provided");
// set dynamic defaults:
BusinessDayConvention convention;
// if a convention was set, we use it.
if (convention_ != null )
{
convention = convention_;
}
else
{
if (!calendar_.empty())
{
// ...if we set a calendar, we probably want it to be used;
convention = BusinessDayConvention.Following;
}
else
{
// if not, we don't care.
convention = BusinessDayConvention.Unadjusted;
}
}
BusinessDayConvention terminationDateConvention;
// if set explicitly, we use it;
if (terminationDateConvention_ != null )
{
terminationDateConvention = terminationDateConvention_;
}
else
{
// Unadjusted as per ISDA specification
terminationDateConvention = convention;
}
Calendar calendar = calendar_;
// if no calendar was set...
if (calendar.empty())
{
// ...we use a null one.
calendar = new NullCalendar();
}
return new Schedule(effectiveDate_, terminationDate_, tenor_, calendar_,
convention_, terminationDateConvention_,
rule_, endOfMonth_, firstDate_, nextToLastDate_);
}
public override void calculate(DateTime calcDate, FP_Parameter fp_parameter)
{
// master data load
this.indexOptionDAO_.SelectOwn();
// market data load
// index data
clsHDAT_MARKETDATA_TB clstb = new clsHDAT_MARKETDATA_TB();
string calcDateStr = calcDate.ToString("yyyyMMdd");
QLNet.Settings.setEvaluationDate(calcDate);
clstb.REF_DT = calcDateStr;
clstb.INDEX_CD = this.indexOptionDAO_.UNDERLYING_INDEX_CD;
int checkNum = clstb.SelectOwn();
if (checkNum == 0) { throw new Exception("market data does not exist : " + calcDateStr + " " + clstb.INDEX_CD); }
double indexData = clstb.LAST;
// curveData --------------------------------------------------
string curve_cd = "IRSKRW";
YieldCurve curveManager = new YieldCurve();
curveManager.loadCurveData(calcDate,curve_cd,clsHDAT_CURVEDATA_TB.RATE_TYP_Type.YTM);
QLNet.YieldTermStructure yield_ts = curveManager.yieldCurve();
// calculate
string maturityDateStr = this.indexOptionDAO_.MATURITY_DT;
System.Globalization.CultureInfo us
= new System.Globalization.CultureInfo("en-US");
DateTime maturityDate = DateTime.ParseExact(maturityDateStr, "yyyyMMdd", us);
DayCounter dc = new Actual365Fixed();
Calendar cal = new NullCalendar();
double vol = 0.3;
double strike = this.indexOptionDAO_.STRIKE;
PlainVanillaPayoff strikePayoff = new PlainVanillaPayoff(Option.Type.
Call, strike);
Exercise exercise = new EuropeanExercise(maturityDate);
VanillaOption q_option = new VanillaOption(strikePayoff,exercise);
Handle<Quote> x0 = new Handle<Quote>(new SimpleQuote(indexData));
FlatForward flatForward = new FlatForward(calcDate,0.01,dc);
Handle<YieldTermStructure> dividendTS = new Handle<YieldTermStructure>(flatForward);
Handle<YieldTermStructure> riskFreeTS = new Handle<YieldTermStructure>(yield_ts);
BlackConstantVol blackConstVol = new BlackConstantVol(calcDate,cal,vol,dc);
Handle<BlackVolTermStructure> blackVolTS = new Handle<BlackVolTermStructure>(blackConstVol);
GeneralizedBlackScholesProcess process =new GeneralizedBlackScholesProcess(x0 ,dividendTS,riskFreeTS,blackVolTS);
AnalyticEuropeanEngine europeanEngine = new AnalyticEuropeanEngine(process);
q_option.setPricingEngine(europeanEngine);
double value = q_option.NPV();
double indexMultiplier = this.indexOptionDAO_.INDEX_MULTIPLIER;
int quantity = this.indexOptionDAO_.QUANTITY;
clsHITM_FP_GREEKRESULT_TB result_tb = new clsHITM_FP_GREEKRESULT_TB();
result_tb.FP_GREEKRESULT_ID = IDGenerator.getNewGreekResultID(this.indexOptionDAO_.INSTRUMENT_ID,calcDateStr);
result_tb.CALC_DT = calcDateStr;
result_tb.INSTRUMENT_ID = this.indexOptionDAO_.INSTRUMENT_ID;
result_tb.INSTRUMENT_TYP = this.indexOptionDAO_.INSTRUMENT_TYP;
result_tb.UNDERLYING_ID = "KOSPI200";
result_tb.UNDERLYING_VALUE = indexData;
//result_tb.SEQ = 1;
result_tb.DELTA = (q_option.delta() * indexData / 100) * indexMultiplier * quantity; // 1% Delta
result_tb.GAMMA = 0.5 * (q_option.gamma() * indexData / 100) * indexMultiplier * quantity; // 1% Gamma
result_tb.VEGA = q_option.vega() / 100 * indexMultiplier * quantity; // 1% point Vega
result_tb.CALC_PRICE = value * indexMultiplier * quantity;
result_tb.CALCULATED_FLAG = (int)clsHITM_FP_GREEKRESULT_TB.CALCULATED_FLAG_Type.CALCULATED;
result_tb.CALCULATED_TIME = DateTime.Now.ToString("HHmmss"); ;
result_tb.CALCULATE_TYP = (int)clsHITM_FP_GREEKRESULT_TB.CALCULATE_TYP_Type.ANALYTICS;
// price
if (result_tb.UpdateDateResult() == 0)
{ throw new Exception("update result fail. no exist , calcDate : " + calcDate.ToString("yyyyMMdd") + " , inst_id : " + result_tb.INSTRUMENT_ID); }
// delta
// gamma and others : no exist ?
}
public double fixing(Date fixingDate, bool forecastTodaysFixing)
{
Date today = Settings.evaluationDate();
Date todayMinusLag = today - availabilityLag_;
KeyValuePair<Date,Date> limm = Utils.inflationPeriod(todayMinusLag, frequency_);
Date lastFix = limm.Key-1;
Date flatMustForecastOn = lastFix+1;
Date interpMustForecastOn = lastFix+1 - new Period(frequency_);
if (interpolated() && fixingDate >= interpMustForecastOn) {
return forecastFixing(fixingDate);
}
if (!interpolated() && fixingDate >= flatMustForecastOn) {
return forecastFixing(fixingDate);
}
// four cases with ratio() and interpolated()
if (ratio())
{
if(interpolated())
{
// IS ratio, IS interpolated
KeyValuePair<Date,Date> lim = Utils.inflationPeriod(fixingDate, frequency_);
Date fixMinus1Y= new NullCalendar().advance(fixingDate, new Period(-1,TimeUnit.Years),BusinessDayConvention.ModifiedFollowing);
KeyValuePair<Date,Date> limBef = Utils.inflationPeriod(fixMinus1Y, frequency_);
double dp= lim.Value + 1 - lim.Key;
double dpBef=limBef.Value + 1 - limBef.Key;
double dl = fixingDate-lim.Key;
// potentially does not work on 29th Feb
double dlBef = fixMinus1Y - limBef.Key;
// get the four relevant fixings
// recall that they are stored flat for every day
double limFirstFix =
IndexManager.instance().getHistory(name()).value()[lim.Key];
if( limFirstFix == null)
throw new ApplicationException("Missing " + name() + " fixing for "
+ lim.Key );
double limSecondFix =
IndexManager.instance().getHistory(name()).value()[lim.Value+1];
if ( limSecondFix == null )
throw new ApplicationException("Missing " + name() + " fixing for "
+ lim.Value+1 );
double limBefFirstFix =
IndexManager.instance().getHistory(name()).value()[limBef.Key];
if ( limBefFirstFix == null )
throw new ApplicationException("Missing " + name() + " fixing for "
+ limBef.Key );
double limBefSecondFix =
IndexManager.instance().getHistory(name()).value()[limBef.Value+1];
if ( limBefSecondFix == null )
throw new ApplicationException("Missing " + name() + " fixing for "
+ limBef.Value+1 );
double linearNow = limFirstFix + (limSecondFix-limFirstFix)*dl/dp;
double linearBef = limBefFirstFix + (limBefSecondFix-limBefFirstFix)*dlBef/dpBef;
double wasYES = linearNow / linearBef - 1.0;
return wasYES;
}
else
{
// IS ratio, NOT interpolated
double pastFixing =
IndexManager.instance().getHistory(name()).value()[fixingDate];
if ( pastFixing == null )
throw new ApplicationException("Missing " + name() + " fixing for "
+ fixingDate);
Date previousDate = fixingDate - new Period(1,TimeUnit.Years);
double previousFixing =
IndexManager.instance().getHistory(name()).value()[previousDate];
if( previousFixing == null )
throw new ApplicationException("Missing " + name() + " fixing for "
+ previousDate );
return pastFixing/previousFixing - 1.0;
}
}
else
{
// NOT ratio
if (interpolated())
{
// NOT ratio, IS interpolated
KeyValuePair<Date,Date> lim = Utils.inflationPeriod(fixingDate, frequency_);
double dp= lim.Value + 1 - lim.Key;
double dl = fixingDate-lim.Key;
double limFirstFix =
IndexManager.instance().getHistory(name()).value()[lim.Key];
if ( limFirstFix == null )
throw new ApplicationException("Missing " + name() + " fixing for "
+ lim.Key );
double limSecondFix =
IndexManager.instance().getHistory(name()).value()[lim.Value+1];
if ( limSecondFix == null )
throw new ApplicationException("Missing " + name() + " fixing for "
+ lim.Value+1 );
double linearNow = limFirstFix + (limSecondFix-limFirstFix)*dl/dp;
return linearNow;
}
else
{
// NOT ratio, NOT interpolated
// so just flat
double pastFixing =
IndexManager.instance().getHistory(name()).value()[fixingDate];
if ( pastFixing == null )
throw new ApplicationException("Missing " + name() + " fixing for "
+ fixingDate);
return pastFixing;
}
}
// QL_FAIL("YoYInflationIndex::fixing, should never get here");
}
static void Main(string[] args)
{
DateTime timer = DateTime.Now;
Date repoSettlementDate = new Date(14,Month.February,2000);;
Date repoDeliveryDate = new Date(15,Month.August,2000);
double repoRate = 0.05;
DayCounter repoDayCountConvention = new Actual360();
int repoSettlementDays = 0;
Compounding repoCompounding = Compounding.Simple;
Frequency repoCompoundFreq = Frequency.Annual;
// assume a ten year bond- this is irrelevant
Date bondIssueDate = new Date(15,Month.September,1995);
Date bondDatedDate = new Date(15,Month.September,1995);
Date bondMaturityDate = new Date(15,Month.September,2005);
double bondCoupon = 0.08;
Frequency bondCouponFrequency = Frequency.Semiannual;
// unknown what calendar fincad is using
Calendar bondCalendar = new NullCalendar();
DayCounter bondDayCountConvention = new Thirty360(Thirty360.Thirty360Convention.BondBasis);
// unknown what fincad is using. this may affect accrued calculation
int bondSettlementDays = 0;
BusinessDayConvention bondBusinessDayConvention = BusinessDayConvention.Unadjusted;
double bondCleanPrice = 89.97693786;
double bondRedemption = 100.0;
double faceAmount = 100.0;
Settings.setEvaluationDate(repoSettlementDate);
RelinkableHandle<YieldTermStructure> bondCurve = new RelinkableHandle<YieldTermStructure>();
bondCurve.linkTo(new FlatForward(repoSettlementDate,
.01, // dummy rate
bondDayCountConvention,
Compounding.Compounded,
bondCouponFrequency));
/*
boost::shared_ptr<FixedRateBond> bond(
new FixedRateBond(faceAmount,
bondIssueDate,
bondDatedDate,
bondMaturityDate,
bondSettlementDays,
std::vector<Rate>(1,bondCoupon),
bondCouponFrequency,
bondCalendar,
bondDayCountConvention,
bondBusinessDayConvention,
bondBusinessDayConvention,
bondRedemption,
bondCurve));
*/
Schedule bondSchedule = new Schedule(bondDatedDate, bondMaturityDate,
new Period(bondCouponFrequency),
bondCalendar,bondBusinessDayConvention,
bondBusinessDayConvention,
DateGeneration.Rule.Backward,false);
FixedRateBond bond = new FixedRateBond(bondSettlementDays,
faceAmount,
bondSchedule,
new List<double>() { bondCoupon },
bondDayCountConvention,
bondBusinessDayConvention,
bondRedemption,
bondIssueDate);
bond.setPricingEngine(new DiscountingBondEngine(bondCurve));
bondCurve.linkTo(new FlatForward(repoSettlementDate,
bond.yield(bondCleanPrice,
bondDayCountConvention,
Compounding.Compounded,
bondCouponFrequency),
bondDayCountConvention,
Compounding.Compounded,
bondCouponFrequency));
Position.Type fwdType = Position.Type.Long;
double dummyStrike = 91.5745;
RelinkableHandle<YieldTermStructure> repoCurve = new RelinkableHandle<YieldTermStructure>();
repoCurve.linkTo(new FlatForward(repoSettlementDate,
repoRate,
repoDayCountConvention,
repoCompounding,
repoCompoundFreq));
FixedRateBondForward bondFwd = new FixedRateBondForward(repoSettlementDate,
repoDeliveryDate,
fwdType,
dummyStrike,
repoSettlementDays,
repoDayCountConvention,
bondCalendar,
bondBusinessDayConvention,
bond,
repoCurve,
repoCurve);
Console.WriteLine("Underlying bond clean price: " + bond.cleanPrice());
Console.WriteLine("Underlying bond dirty price: " + bond.dirtyPrice());
Console.WriteLine("Underlying bond accrued at settlement: "
+ bond.accruedAmount(repoSettlementDate));
Console.WriteLine("Underlying bond accrued at delivery: "
+ bond.accruedAmount(repoDeliveryDate));
Console.WriteLine("Underlying bond spot income: "
+ bondFwd.spotIncome(repoCurve));
Console.WriteLine("Underlying bond fwd income: "
+ bondFwd.spotIncome(repoCurve)/
repoCurve.link.discount(repoDeliveryDate));
Console.WriteLine("Repo strike: " + dummyStrike);
Console.WriteLine("Repo NPV: " + bondFwd.NPV());
Console.WriteLine("Repo clean forward price: "
+ bondFwd.cleanForwardPrice());
Console.WriteLine("Repo dirty forward price: "
+ bondFwd.forwardPrice());
Console.WriteLine("Repo implied yield: "
+ bondFwd.impliedYield(bond.dirtyPrice(),
dummyStrike,
repoSettlementDate,
repoCompounding,
repoDayCountConvention));
Console.WriteLine("Market repo rate: "
+ repoCurve.link.zeroRate(repoDeliveryDate,
repoDayCountConvention,
repoCompounding,
repoCompoundFreq));
Console.WriteLine("\nCompare with example given at \n"
+ "http://www.fincad.com/support/developerFunc/mathref/BFWD.htm");
Console.WriteLine("Clean forward price = 88.2408");
Console.WriteLine("\nIn that example, it is unknown what bond calendar they are\n"
+ "using, as well as settlement Days. For that reason, I have\n"
+ "made the simplest possible assumptions here: NullCalendar\n"
+ "and 0 settlement days.\n");
Console.WriteLine("nRun completed in {0}", DateTime.Now - timer);
Console.Write("Press any key to continue ...");
Console.ReadKey();
}
public Schedule(Date effectiveDate__, Date terminationDate__, Period tenor__, Calendar calendar__,
BusinessDayConvention convention__, BusinessDayConvention terminationDateConvention__,
DateGeneration.Rule rule__, bool endOfMonth__,
Date firstDate__, Date nextToLastDate__)
{
// first save the properties
fullInterface_ = true;
tenor_ = tenor__;
calendar_ = calendar__;
convention_ = convention__;
terminationDateConvention_ = terminationDateConvention__;
rule_ = rule__;
endOfMonth_ = endOfMonth__;
firstDate_ = firstDate__;
nextToLastDate_ = nextToLastDate__;
// sanity checks
if (effectiveDate__ == null) throw new ArgumentException("Null effective date");
if (terminationDate__ == null) throw new ArgumentException("Null termination date");
if (effectiveDate__ >= terminationDate__) throw new ArgumentException("Effective date (" + effectiveDate__ +
") is later than or equal to termination date (" + terminationDate__ + ")");
if (tenor_.length() == 0)
rule_ = DateGeneration.Rule.Zero;
else if (tenor_.length() < 0)
throw new ArgumentException("Non positive tenor (" + tenor_ + ") is not allowed");
if (firstDate_ != null) {
switch (rule_) {
case DateGeneration.Rule.Backward:
case DateGeneration.Rule.Forward:
if (!(firstDate_ > effectiveDate__ && firstDate_ < terminationDate__))
throw new ArgumentException("First date (" + firstDate_ + ") is out of range [effective date (" + effectiveDate__
+ "), termination date (" + terminationDate__ + ")]");
// we should ensure that the above condition is still verified after adjustment
break;
case DateGeneration.Rule.ThirdWednesday:
if (!IMM.isIMMdate(firstDate_, false))
throw new ArgumentException("first date (" + firstDate_ + ") is not an IMM date");
break;
case DateGeneration.Rule.Zero:
case DateGeneration.Rule.Twentieth:
case DateGeneration.Rule.TwentiethIMM:
case DateGeneration.Rule.OldCDS:
case DateGeneration.Rule.CDS:
throw new ArgumentException("First date is incompatible with " + rule_ + " date generation rule");
default:
throw new ArgumentException("Unknown DateGeneration rule: " + rule_);
}
}
if (nextToLastDate_ != null) {
switch (rule_) {
case DateGeneration.Rule.Backward:
case DateGeneration.Rule.Forward:
if (!(nextToLastDate_ > effectiveDate__ && nextToLastDate_ < terminationDate__))
throw new ArgumentException("Next to last date (" + nextToLastDate_ + ") out of range [effective date (" + effectiveDate__
+ "), termination date (" + terminationDate__ + ")]");
// we should ensure that the above condition is still verified after adjustment
break;
case DateGeneration.Rule.ThirdWednesday:
if (!IMM.isIMMdate(firstDate_, false))
throw new ArgumentException("first date (" + firstDate_ + ") is not an IMM date");
break;
case DateGeneration.Rule.Zero:
case DateGeneration.Rule.Twentieth:
case DateGeneration.Rule.TwentiethIMM:
case DateGeneration.Rule.OldCDS:
case DateGeneration.Rule.CDS:
throw new ArgumentException("next to last is incompatible with " + rule_ + " date generation rule");
default:
throw new ArgumentException("Unknown DateGeneration rule: " + rule_);
}
}
// calendar needed for endOfMonth adjustment
Calendar nullCalendar = new NullCalendar();
int periods = 1;
Date seed = new Date(), exitDate;
switch (rule_) {
case DateGeneration.Rule.Zero:
tenor_ = new Period(0, TimeUnit.Years);
originalDates_.Add(effectiveDate__);
originalDates_.Add(terminationDate__);
isRegular_.Add(true);
break;
case DateGeneration.Rule.Backward:
originalDates_.Add(terminationDate__);
seed = terminationDate__;
if (nextToLastDate_ != null) {
originalDates_.Insert(0, nextToLastDate_);
Date temp = nullCalendar.advance(seed, -periods * tenor_, convention_, endOfMonth_);
isRegular_.Insert(0, temp == nextToLastDate_);
seed = nextToLastDate_;
}
exitDate = effectiveDate__;
if (firstDate_ != null)
exitDate = firstDate_;
while (true) {
Date temp = nullCalendar.advance(seed, -periods * tenor_, convention_, endOfMonth_);
if (temp < exitDate) {
if (firstDate_ != null && (calendar_.adjust(originalDates_.First(), convention_) !=
calendar_.adjust(firstDate_, convention_))) {
originalDates_.Insert(0, firstDate_);
isRegular_.Insert(0, false);
}
break;
} else {
originalDates_.Insert(0, temp);
isRegular_.Insert(0, true);
++periods;
}
}
if (endOfMonth_ && calendar_.isEndOfMonth(seed))
convention_ = BusinessDayConvention.Preceding;
if (calendar_.adjust(originalDates_[0], convention_) != calendar_.adjust(effectiveDate__, convention_)) {
originalDates_.Insert(0, effectiveDate__);
isRegular_.Insert(0, false);
}
break;
case DateGeneration.Rule.Twentieth:
case DateGeneration.Rule.TwentiethIMM:
case DateGeneration.Rule.ThirdWednesday:
case DateGeneration.Rule.OldCDS:
case DateGeneration.Rule.CDS:
if (endOfMonth_)
throw new ArgumentException("endOfMonth convention is incompatible with " + rule_ + " date generation rule");
goto case DateGeneration.Rule.Forward; // fall through
case DateGeneration.Rule.Forward:
if (rule_ == DateGeneration.Rule.CDS) {
originalDates_.Add(previousTwentieth(effectiveDate__,DateGeneration.Rule.CDS));
} else {
originalDates_.Add(effectiveDate__);
}
seed = effectiveDate__;
if (firstDate_ != null) {
originalDates_.Add(firstDate_);
Date temp = nullCalendar.advance(seed, periods * tenor_, convention_, endOfMonth_);
isRegular_.Add(temp == firstDate_);
seed = firstDate_;
} else if (rule_ == DateGeneration.Rule.Twentieth ||
rule_ == DateGeneration.Rule.TwentiethIMM ||
rule_ == DateGeneration.Rule.OldCDS ||
rule_ == DateGeneration.Rule.CDS)
{
Date next20th = nextTwentieth(effectiveDate__, rule_);
if (rule_ == DateGeneration.Rule.OldCDS) {
// distance rule inforced in natural days
long stubDays = 30;
if (next20th - effectiveDate__ < stubDays) {
// +1 will skip this one and get the next
next20th = nextTwentieth(next20th + 1, rule_);
}
}
if (next20th != effectiveDate__) {
originalDates_.Add(next20th);
isRegular_.Add(false);
seed = next20th;
}
}
exitDate = terminationDate__;
if (nextToLastDate_ != null)
exitDate = nextToLastDate_;
while (true) {
Date temp = nullCalendar.advance(seed, periods * tenor_, convention_, endOfMonth_);
if (temp > exitDate) {
if (nextToLastDate_ != null &&
(calendar_.adjust(originalDates_.Last(), convention_) !=
calendar_.adjust(nextToLastDate_, convention_))) {
originalDates_.Add(nextToLastDate_);
isRegular_.Add(false);
}
break;
} else {
originalDates_.Add(temp);
isRegular_.Add(true);
++periods;
}
}
if (endOfMonth_ && calendar_.isEndOfMonth(seed))
convention_ = BusinessDayConvention.Preceding;
if (calendar_.adjust(originalDates_.Last(), terminationDateConvention_) != calendar_.adjust(terminationDate__, terminationDateConvention_)) {
if (rule_ == DateGeneration.Rule.Twentieth ||
rule_ == DateGeneration.Rule.TwentiethIMM ||
rule_ == DateGeneration.Rule.OldCDS ||
rule_ == DateGeneration.Rule.CDS ) {
originalDates_.Add(nextTwentieth(terminationDate__, rule_));
isRegular_.Add(true);
} else {
originalDates_.Add(terminationDate__);
isRegular_.Add(false);
}
}
break;
default:
throw new ArgumentException("Unknown DateGeneration rule: " + rule_);
}
// adjustments to holidays, etc.
if (rule_ == DateGeneration.Rule.ThirdWednesday)
for (int i = 1; i < originalDates_.Count; ++i)
originalDates_[i] = Date.nthWeekday(3, DayOfWeek.Wednesday, originalDates_[i].Month, originalDates_[i].Year);
if (endOfMonth && calendar_.isEndOfMonth(seed))
{
// adjust to end of month
if (convention_ == BusinessDayConvention.Unadjusted)
{
for (int i = 0; i < originalDates_.Count; ++i)
originalDates_[i] = Date.endOfMonth(originalDates_[i]);
}
else
{
for (int i = 0; i < originalDates_.Count; ++i)
originalDates_[i] = calendar_.endOfMonth(originalDates_[i]);
}
if (terminationDateConvention_ == BusinessDayConvention.Unadjusted)
originalDates_[originalDates_.Count - 1] = Date.endOfMonth(originalDates_.Last());
else
originalDates_[originalDates_.Count - 1] = calendar_.endOfMonth(originalDates_.Last());
}
else
{
// first date not adjusted for CDS schedules
if (rule_ != DateGeneration.Rule.OldCDS)
originalDates_[0] = calendar_.adjust(originalDates_[0], convention_);
for (int i = 1; i < originalDates_.Count; ++i)
originalDates_[i] = calendar_.adjust(originalDates_[i], convention_);
foreach (Date d in originalDates_)
adjustedDates_.Add(d);
// termination date is NOT adjusted as per ISDA specifications, unless otherwise specified in the
// confirmation of the deal or unless we're creating a CDS schedule
if (terminationDateConvention_ != BusinessDayConvention.Unadjusted
|| rule_ == DateGeneration.Rule.Twentieth
|| rule_ == DateGeneration.Rule.TwentiethIMM
|| rule_ == DateGeneration.Rule.OldCDS
|| rule_ == DateGeneration.Rule.CDS)
adjustedDates_[adjustedDates_.Count - 1] = calendar_.adjust(originalDates_.Last(), terminationDateConvention_);
}
}
