public TestContext()
{
_fixture = new Fixture().Customize(new AutoRhinoMockCustomization());
_scheduleId = _fixture.Create <Guid>();
_jobId = _fixture.Create <Guid>();
_description = _fixture.Create <string>();
_createdUtc = _fixture.Create <DateTime>();
_startUtc = _fixture.Create <DateTimeOffset>().UtcDateTime;
_expected = Schedule.Init(_scheduleId, _jobId, _description, _createdUtc, _startUtc);
_sut = _fixture.Create <ScheduleConverter>();
}
private Schedule BuildSchedule()
{
DateTime startDate = EffectiveDate ?? Settings.EvaluationDate.AddDays(1);
DateTime maturity = GetMaturity();
var builder = new Schedule.Builder(startDate, maturity)
{
Frequency = CouponFrequency,
Calendar = Calendar,
Convention = BusinessDayConvention.Following,
TerminationDateConvention = BusinessDayConvention.Unadjusted,
Rule = Utilities.Schedule.DateGeneration.Cds,
EndOfMonth = false
};
return(new Schedule(builder));
}
internal override global::QuantLib.Bond Build()
{
if (!AccrualStartDate.HasValue)
{
AccrualStartDate = IssueDate;
}
var fixedScheduleBuilder = new Schedule.Builder(AccrualStartDate.Value, MaturityDate)
{
Frequency = CouponFrequency,
Calendar = Calendar,
Convention = PaymentConvention,
Rule = Utilities.Schedule.DateGeneration.Backward
};
var fixedSchedule = new Schedule(fixedScheduleBuilder);
var couponRates = new global::QuantLib.DoubleVector(new[] { Convert.ToDouble(CouponRate.DenominatedValue(QuoteType.None)) });
return(new global::QuantLib.FixedRateBond(SettlementDays, BondFaceAmount, fixedSchedule.QlObj, couponRates, QlDayCountBasis, PaymentConvention.ToQlConvention(),
BondFaceAmount, IssueDate, Calendar.ToQlCalendar()));
}
internal QlIrs Build()
{
var fixedScheduleBuilder = new Schedule.Builder(EffectiveDate, Maturity)
{
Frequency = FixedFrequency,
Calendar = Calendar,
Convention = FixedConvention,
Rule = Utilities.Schedule.DateGeneration.Backward
};
var fixedSchedule = new Schedule(fixedScheduleBuilder);
var floatScheduleBuilder = new Schedule.Builder(EffectiveDate, Maturity)
{
Frequency = FloatFrequency,
Calendar = Calendar,
Convention = FloatConvention,
Rule = Utilities.Schedule.DateGeneration.Backward
};
var floatSchedule = new Schedule(floatScheduleBuilder);
return(new QlIrs(Type == SwapType.Payer ? QlIrs.Type.Payer : QlIrs.Type.Receiver,
Notional, fixedSchedule.QlObj, FixedRate, FixedDaycount.ToQlDayCounter(),
floatSchedule.QlObj, (global::QuantLib.IborIndex)FloatIndex.Impl.QlObj, FloatSpread, FloatDaycount.ToQlDayCounter()));
}
public TestContext()
{
_fixture = new Fixture().Customize(new AutoRhinoMockCustomization());
_sut = _fixture.Create <Schedule.Builder>();
}
