public static void Example4()
{
DateTime startDate = new Date(2009, 8, 3).DateValue;
DateTime endDate = new Date(2014, 10, 3).DateValue;
// Now test with bool as well
bool adjusted = true;
int paymentPerYear = 2;
bool arrears = false;
int fixingDays = -2;
bool shortPeriod = true;
DateSchedule myDL_1 = new DateSchedule(startDate, endDate, paymentPerYear, shortPeriod, adjusted, arrears, fixingDays);
Console.WriteLine("Marix<Date> GetLongScheduleDate()");
myDL_1.PrintDateMatrix(myDL_1.GetLongScheduleDate());
Console.WriteLine();
Console.WriteLine("Matrix<double> GetLongScheduleSerial()");
myDL_1.GetLongScheduleSerial().extendedPrint();
Console.WriteLine();
Console.WriteLine("Marix<Date> GetShortScheduleDate()");
myDL_1.PrintDateMatrix(myDL_1.GetShortScheduleDate());
Console.WriteLine();
Console.WriteLine("Array<Date>PaymentDateArray()");
myDL_1.PrintDateArray(myDL_1.PaymentDateArray());
Console.WriteLine();
Console.WriteLine("count numbers of rows: public int Length " + myDL_1.Length);
}
} // std convention
// Copy Constructor
public DateSchedule(DateSchedule my_dateListo)
{
this.adjusted = my_dateListo.adjusted;
this.arrears = my_dateListo.arrears;
this.fixingDays = my_dateListo.fixingDays;
this.firstShortPeriod = my_dateListo.firstShortPeriod;
this.my_DateArray = my_dateListo.my_DateArray;
this.my_DateArrayAdjusted = my_dateListo.my_DateArrayAdjusted;
}
public static void Example8()
{
// DateSchedule. The output of is a matrix of dates, for scheduled payments period, each rows is a period
// for columns:
// 1° column fixing date
// 2° column startingDate of period
// 3° column endDate of period
// 4° column payment date of period
DateTime startDate = new Date(2009, 8, 3).DateValue;
DateTime endDate = new Date(2014, 10, 3).DateValue;
bool adjusted = true;
int paymentPerYear = 2;
bool arrears = false;
int fixingDays = -2;
bool firstShortPeriod = true;
DateSchedule myDL_1 = new DateSchedule(startDate, endDate, paymentPerYear, firstShortPeriod, adjusted, arrears, fixingDays);
Console.WriteLine("Starting DateSchedule");
myDL_1.PrintDateMatrix();
Console.WriteLine();
adjusted = false;
DateSchedule myDL_2 = new DateSchedule(startDate, endDate, paymentPerYear, firstShortPeriod, adjusted, arrears, fixingDays);
Console.WriteLine("adjusted = 0, 3° column can be Sat or Sun");
myDL_2.PrintDateMatrix();
Console.WriteLine();
paymentPerYear = 1;
DateSchedule myDL_3 = new DateSchedule(startDate, endDate, paymentPerYear, firstShortPeriod, adjusted, arrears, fixingDays);
Console.WriteLine("paymentPerYear = 1, frequency of payment changed");
myDL_3.PrintDateMatrix();
Console.WriteLine();
arrears = true;
DateSchedule myDL_4 = new DateSchedule(startDate, endDate, paymentPerYear, firstShortPeriod, adjusted, arrears, fixingDays);
Console.WriteLine("arrears = 1, 1° column count fixing date starting from 3° column and not from 2° column");
myDL_4.PrintDateMatrix();
Console.WriteLine();
fixingDays = 0;
DateSchedule myDL_5 = new DateSchedule(startDate, endDate, paymentPerYear, firstShortPeriod, adjusted, arrears, fixingDays);
Console.WriteLine("fixingDays = 0, 1° column has a different leg");
myDL_5.PrintDateMatrix();
Console.WriteLine();
firstShortPeriod = false;
DateSchedule myDL_6 = new DateSchedule(startDate, endDate, paymentPerYear, firstShortPeriod, adjusted, arrears, fixingDays);
Console.WriteLine("shortPeriod = 2, changed the short period");
myDL_6.PrintDateMatrix();
Console.WriteLine();
}
public void dateAndMonthExtracter()
{
String[] dates = DateSchedule.Split(' ');
String[] arraynew = { "0", "0", "0" };
int c = 0;
foreach (String words in dates)
{
arraynew[c] = words;
Console.WriteLine(arraynew[c]);
c++;
}
DateNumber = arraynew[0];
}
public static void Example10()
{
// I will pay 5% quarterly 30/360 for 5y starting from 5 Oct 09 on a nominal of 1.000.000 USD. I want to see
// interest rates cash flows
// input data
Date startDate = new Date(2009, 10, 5);
Date endDate = startDate.AddYears(5);
int paymentPerYear = 4; // Quarterly
bool firstShortPeriod = true;
double rate = 0.05;
// I use standard constructor
DateSchedule myDS = new DateSchedule(startDate, endDate, paymentPerYear, firstShortPeriod);
// I get start and end date schedule
NumericMatrix <Date> myShortSchedule = myDS.GetShortScheduleDate();
// my nominals
Array <double> nominals = new Array <double>(myShortSchedule.Rows, 0, 1000000);
// year fraction from/to according 30/360
Array <double> yearFractions = new Array <double>(myShortSchedule.Rows, 0);
// days from/to according 30/360
Array <double> days = new Array <double>(myShortSchedule.Rows, 0);
// interest to pay
Array <double> interest = new Array <double>(myShortSchedule.Rows, 0);
Console.WriteLine("{0},\t{1},\t{2},\t{3},\t{4}", "days", "yearFrac", "rate",
"nominals", "interest");
// running sum
double totalInterest = 0.0;
// iterate interest calculation using schedule
for (int i = 0; i < myShortSchedule.Rows; i++)
{
yearFractions[i] = myShortSchedule[i, 0].YF_30_360(myShortSchedule[i, 1]);
days[i] = myShortSchedule[i, 0].D_30_360(myShortSchedule[i, 1]);
interest[i] = yearFractions[i] * rate * nominals[i];
Console.WriteLine("{0},\t{1:F5},\t{2:P},\t{3:C},\t{4:C}", days[i], yearFractions[i], rate,
nominals[i], interest[i]);
totalInterest += interest[i];
}
Console.WriteLine("{0},\t{1:F2}", "Total interests: ", totalInterest);
}
/// <summary>Creates a date schedule that contains the start and end dates of the interest periods of each caplets, i.e. T_0, T_1, T_2, ..., where [T_k; T_{k+1}] is the
/// interest period of caplet k, k=0,...,n-1; The first caplet is already expired but it is part of the date schedule.
/// </summary>
/// <param name="referenceDate">The reference date, i.e. the trading date.</param>
/// <param name="startDateAndEndDateDescription">A description of the start date of the first caplet as well as the end date of the last caplet, i.e. the start date and the maturity of the cap.</param>
/// <param name="marketConventions">The market conventions.</param>
/// <param name="holidayCalendar">The holiday calendar.</param>
/// <param name="underlyingLiborTenor">A mapping of the null-based index of the start date of each caplet interest period to the tenor of the underlying Libor rate (output).</param>
/// <param name="logger">An optional logger.</param>
/// <returns>The date schedule of the interest periods, i.e. the start and end dates of each caplet; thus T_0, T_1, T_2, ..., where [T_k; T_{k+1}] is the
/// interest period of caplet k, k=0,...,n-1; The first caplet is already expired but it is part of the date schedule.
/// </returns>
public ReadOnlyDateSchedule CreateInterestPeriodDateSchedule(DateTime referenceDate, ITimeframeDescription startDateAndEndDateDescription, ReadOnlyMoneyMarketConventions marketConventions, IHolidayCalendar holidayCalendar, out Func <int, TenorTimeSpan> underlyingLiborTenor, ILogger logger = null)
{
if (marketConventions == null)
{
throw new ArgumentNullException("marketConventions");
}
if (holidayCalendar == null)
{
throw new ArgumentNullException("holidayCalendar");
}
DateSchedule dateSchedule = new DateSchedule(holidayCalendar, logger: logger);
dateSchedule.Add(new ForwardDateScheduleRule(referenceDate, startDateAndEndDateDescription, m_LiborRateTenor, marketConventions.BusinessDayConvention));
underlyingLiborTenor = (i => m_LiborRateTenor.GetFrequencyTenor());
return(dateSchedule.AsReadOnly());
}
public static void Example5()
{
// 1. Create the date schedule data
DateTime startDate = new Date(2009, 8, 3).DateValue;
DateTime endDate = new Date(2014, 10, 3).DateValue;
bool adjusted = true;
int paymentPerYear = 2;
bool arrears = false;
int fixingDays = -2;
bool shortPeriod = true;
// 2. My date scheduled.
DateSchedule myDL_1 = new DateSchedule(startDate, endDate,
paymentPerYear, shortPeriod, adjusted, arrears, fixingDays);
// 3. Init a NumericMatrix<double> Class from my dates.
NumericMatrix <double> myDates = (NumericMatrix <double>)
myDL_1.GetLongScheduleSerial();
// 4. Create an associative matrix AssocMatrix with "header" label
// for columns and "n_lines" for rows 4A. Label for columns.
Set <string> header = new Set <string>();
header.Insert("FixingDate");
header.Insert("StartDate");
header.Insert("EndDate");
header.Insert("PaymentDate");
// 4B. Label for rows
Set <string> n_line = new Set <string>();
for (int i = 0; i < myDates.MaxRowIndex + 1; i++)
{
n_line.Insert("# " + (i + 1));
}
// 5. Creating AssocMatrix.
AssocMatrix <string, string, double> OutMatrix =
new AssocMatrix <string, string, double>(n_line, header, myDates);
// 6. Print associative matrices in Excel, to "My Date
// List" sheet, the output in Excel serial number format.
ExcelMechanisms exl = new ExcelMechanisms();
exl.printAssocMatrixInExcel <string, string, double>
(OutMatrix, "My Date List");
}
/// <summary>Creates a date schedule that contains the start and end dates of the interest periods of each caplets, i.e. T_0, T_1, T_2, ..., where [T_k; T_{k+1}] is the
/// interest period of caplet k, k=0,...,n-1; The first caplet is already expired but it is part of the date schedule.
/// </summary>
/// <param name="referenceDate">The reference date, i.e. the trading date.</param>
/// <param name="startDateAndEndDateDescription">A description of the start date of the first caplet as well as the end date of the last caplet, i.e. the start date and the maturity of the cap.</param>
/// <param name="marketConventions">The market conventions.</param>
/// <param name="holidayCalendar">The holiday calendar.</param>
/// <param name="underlyingLiborTenor">A mapping of the null-based index of the start date of each caplet interest period to the tenor of the underlying Libor rate (output).</param>
/// <param name="logger">An optional logger.</param>
/// <returns>
/// The date schedule of the interest periods, i.e. the start and end dates of each caplet; thus T_0, T_1, T_2, ..., where [T_k; T_{k+1}] is the
/// interest period of caplet k, k=0,...,n-1; The first caplet is already expired but it is part of the date schedule.
/// </returns>
public ReadOnlyDateSchedule CreateInterestPeriodDateSchedule(DateTime referenceDate, ITimeframeDescription startDateAndEndDateDescription, ReadOnlyMoneyMarketConventions marketConventions, IHolidayCalendar holidayCalendar, out Func <int, TenorTimeSpan> underlyingLiborTenor, ILogger logger = null)
{
if (marketConventions == null)
{
throw new ArgumentNullException("marketConventions");
}
if (holidayCalendar == null)
{
throw new ArgumentNullException("holidayCalendar");
}
IBusinessDayConvention businessDayConvention = marketConventions.BusinessDayConvention;
DateTime capStartDate, capEndDate;
startDateAndEndDateDescription.GetStartAndEndDate(referenceDate, holidayCalendar, out capStartDate, out capEndDate);
DateTime lastDate3M = businessDayConvention.GetAdjustedDate(capStartDate.AddTenorTimeSpan(sm_2YTenor), holidayCalendar); // it is the end date of the latest caplet with tenor 3M
DateSchedule dateSchedule = new DateSchedule(holidayCalendar, logger: logger);
if (capEndDate <= lastDate3M)
{
dateSchedule.Add(new ForwardDateScheduleRule(referenceDate, startDateAndEndDateDescription, sm_3MLiborRateTenor, businessDayConvention));
underlyingLiborTenor = (i => sm_3MLiborRateTenor.GetFrequencyTenor());
}
else
{
ITimeframeDescription firstPeriod3M = TimeframeDescription.Create(lastDate3M); // applied to reference date='capStartDate' shows [capStartDate; lastDate3M]
dateSchedule.Add(new ForwardDateScheduleRule(capStartDate, firstPeriod3M, sm_3MLiborRateTenor, businessDayConvention));
int indexOfLast3MPeriodEndDate = dateSchedule.Count - 1;
ITimeframeDescription secondPeriod6M = TimeframeDescription.Create(capEndDate, endDateAdjustment: businessDayConvention); // applied to reference date ='lastDate3M' shows [lastDate3M; capEndDate]
dateSchedule.Add(new ForwardDateScheduleRule(lastDate3M, secondPeriod6M, sm_6MLiborRateTenor, businessDayConvention));
underlyingLiborTenor = (i => (i < indexOfLast3MPeriodEndDate) ? sm_3MLiborRateTenor.GetFrequencyTenor() : sm_3MLiborRateTenor.GetFrequencyTenor());
}
return(dateSchedule.AsReadOnly());
}
