//! next ASX date following the given date
/*! returns the 1st delivery date for next contract listed in the
* Australian Securities Exchange.
*/
public static Date nextDate(Date date = null, bool mainCycle = true)
{
Date refDate = date ?? Settings.Instance.evaluationDate();
int y = refDate.year();
int m = refDate.month();
int offset = mainCycle ? 3 : 1;
int skipMonths = offset - (m % offset);
if (skipMonths != offset || refDate.Day > 14)
{
skipMonths += m;
if (skipMonths <= 12)
{
m = skipMonths;
}
else
{
m = (skipMonths - 12);
y += 1;
}
}
Date result = Date.nthWeekday(2, DayOfWeek.Friday, m, y);
if (result <= refDate)
{
result = nextDate(new Date(15, m, y), mainCycle);
}
return(result);
}
private Date previousTwentieth(Date d, DateGeneration.Rule rule)
{
Date result = new Date(20, d.month(), d.year());
if (result > d)
{
result -= new Period(1, TimeUnit.Months);
}
if (rule == DateGeneration.Rule.TwentiethIMM ||
rule == DateGeneration.Rule.OldCDS ||
rule == DateGeneration.Rule.CDS ||
rule == DateGeneration.Rule.CDS2015)
{
int m = result.month();
if (m % 3 != 0)
{
// not a main IMM nmonth
int skip = m % 3;
result -= new Period(skip, TimeUnit.Months);
}
}
return(result);
}
public EventSetSimulation(List <KeyValuePair <Date, double> > events, Date eventsStart, Date eventsEnd, Date start, Date end)
: base(start, end)
{
events_ = events;
eventsStart_ = eventsStart;
eventsEnd_ = eventsEnd;
i_ = 0;
years_ = end_.year() - start_.year();
if (eventsStart_.month() < start_.month() ||
(eventsStart_.month() == start_.month() && eventsStart_.Day <= start_.Day))
{
periodStart_ = new Date(start_.Day, start_.Month, eventsStart_.Year);
}
else
{
periodStart_ = new Date(start_.Day, start_.month(), eventsStart_.year() + 1);
}
periodEnd_ = new Date(end_.Day, end_.Month, periodStart_.Year + years_);
while (i_ < events_.Count && (events_)[i_].Key < periodStart_)
{
++i_; //i points to the first element after the start of the relevant period.
}
}
/*! returns the ECB date for the given ECB code
* (e.g. March xxth, 2013 for MAR10).
*
* \warning It raises an exception if the input
* string is not an ECB code
*/
public static Date date(string ecbCode, Date refDate = null)
{
Utils.QL_REQUIRE(isECBcode(ecbCode), () => ecbCode + " is not a valid ECB code");
string code = ecbCode.ToUpper();
string monthString = code.Substring(0, 3);
Month m = Month.Jan;
if (monthString == "JAN")
{
m = Month.January;
}
else if (monthString == "FEB")
{
m = Month.February;
}
else if (monthString == "MAR")
{
m = Month.March;
}
else if (monthString == "APR")
{
m = Month.April;
}
else if (monthString == "MAY")
{
m = Month.May;
}
else if (monthString == "JUN")
{
m = Month.June;
}
else if (monthString == "JUL")
{
m = Month.July;
}
else if (monthString == "AUG")
{
m = Month.August;
}
else if (monthString == "SEP")
{
m = Month.September;
}
else if (monthString == "OCT")
{
m = Month.October;
}
else if (monthString == "NOV")
{
m = Month.November;
}
else if (monthString == "DEC")
{
m = Month.December;
}
else
{
Utils.QL_FAIL("not an ECB month (and it should have been)");
}
// lexical_cast causes compilation errors with x64
int y = int.Parse(code.Substring(3, 2));
Date referenceDate = (refDate ?? Settings.Instance.evaluationDate());
int referenceYear = (referenceDate.year() % 100);
y += referenceDate.year() - referenceYear;
if (y < Date.minDate().year())
{
return(ECB.nextDate(Date.minDate()));
}
return(ECB.nextDate(new Date(1, m, y)));
}
/*! returns the ECB code for the given date
* (e.g. MAR10 for March xxth, 2010).
*
* \warning It raises an exception if the input
* date is not an ECB date
*/
public static string code(Date ecbDate)
{
Utils.QL_REQUIRE(isECBdate(ecbDate), () => ecbDate + " is not a valid ECB date");
string ECBcode = string.Empty;
int y = ecbDate.year() % 100;
string padding = string.Empty;
if (y < 10)
{
padding = "0";
}
switch (ecbDate.month())
{
case (int)Month.January:
ECBcode += "JAN" + padding + y;
break;
case (int)Month.February:
ECBcode += "FEB" + padding + y;
break;
case (int)Month.March:
ECBcode += "MAR" + padding + y;
break;
case (int)Month.April:
ECBcode += "APR" + padding + y;
break;
case (int)Month.May:
ECBcode += "MAY" + padding + y;
break;
case (int)Month.June:
ECBcode += "JUN" + padding + y;
break;
case (int)Month.July:
ECBcode += "JUL" + padding + y;
break;
case (int)Month.August:
ECBcode += "AUG" + padding + y;
break;
case (int)Month.September:
ECBcode += "SEP" + padding + y;
break;
case (int)Month.October:
ECBcode += "OCT" + padding + y;
break;
case (int)Month.November:
ECBcode += "NOV" + padding + y;
break;
case (int)Month.December:
ECBcode += "DEC" + padding + y;
break;
default:
Utils.QL_FAIL("not an ECB month (and it should have been)");
break;
}
#if (QL_EXTRA_SAFETY_CHECKS)
QL_ENSURE(isECBcode(ECBcode.str()),
"the result " << ECBcode.str() <<
" is an invalid ECB code");
#endif
return(ECBcode);
}
/*! returns the ASX date for the given ASX code
* (e.g. June 12th, 2015 for M5).
*
* \warning It raises an exception if the input
* string is not an ASX code
*/
public static Date date(String asxCode, Date refDate = null)
{
Utils.QL_REQUIRE(isASXcode(asxCode, false), () =>
asxCode + " is not a valid ASX code");
Date referenceDate = refDate ?? Settings.Instance.evaluationDate();
String code = asxCode.ToUpper();
String ms = code.Substring(0, 1);
Month m = 0;
if (ms == "F")
{
m = Month.January;
}
else if (ms == "G")
{
m = Month.February;
}
else if (ms == "H")
{
m = Month.March;
}
else if (ms == "J")
{
m = Month.April;
}
else if (ms == "K")
{
m = Month.May;
}
else if (ms == "M")
{
m = Month.June;
}
else if (ms == "N")
{
m = Month.July;
}
else if (ms == "Q")
{
m = Month.August;
}
else if (ms == "U")
{
m = Month.September;
}
else if (ms == "V")
{
m = Month.October;
}
else if (ms == "X")
{
m = Month.November;
}
else if (ms == "Z")
{
m = Month.December;
}
else
{
Utils.QL_FAIL("invalid ASX month letter");
}
// Year y = boost::lexical_cast<Year>(); // lexical_cast causes compilation errors with x64
int y = int.Parse(code.Substring(1, 1));
/* year<1900 are not valid QuantLib years: to avoid a run-time
* exception few lines below we need to add 10 years right away */
if (y == 0 && referenceDate.year() <= 1909)
{
y += 10;
}
int referenceYear = (referenceDate.year() % 10);
y += referenceDate.year() - referenceYear;
Date result = ASX.nextDate(new Date(1, m, y), false);
if (result < referenceDate)
{
return(ASX.nextDate(new Date(1, m, y + 10), false));
}
return(result);
}
/*! returns the ASX code for the given date
* (e.g. M5 for June 12th, 2015).
*/
public static String code(Date date)
{
Utils.QL_REQUIRE(isASXdate(date, false), () => date + " is not an ASX date");
String ASXcode = String.Empty;
String y = (date.year() % 10).ToString();
switch ((Month)date.month())
{
case Month.January:
ASXcode = 'F' + y;
break;
case Month.February:
ASXcode = 'G' + y;
break;
case Month.March:
ASXcode = 'H' + y;
break;
case Month.April:
ASXcode = 'J' + y;
break;
case Month.May:
ASXcode = 'K' + y;
break;
case Month.June:
ASXcode = 'M' + y;
break;
case Month.July:
ASXcode = 'N' + y;
break;
case Month.August:
ASXcode = 'Q' + y;
break;
case Month.September:
ASXcode = 'U' + y;
break;
case Month.October:
ASXcode = 'V' + y;
break;
case Month.November:
ASXcode = 'X' + y;
break;
case Month.December:
ASXcode = 'Z' + y;
break;
default:
Utils.QL_FAIL("not an ASX month (and it should have been)");
break;
}
return(ASXcode);
}
