/// <summary>Initializes a new instance of the <see cref="SimpleThenPeriodicCompounding" /> class.
/// </summary>
/// <param name="frequency">The frequency of the compounding to apply after time-to-maturity of one year.</param>
internal SimpleThenPeriodicCompounding(IDateScheduleFrequency frequency)
{
if (frequency == null)
{
throw new ArgumentNullException("frequency");
}
Frequency = frequency;
var frequencyTenor = frequency.GetFrequencyTenor();
if (TenorTimeSpan.IsNull(frequencyTenor) == true)
{
throw new ArgumentException("frequency");
}
if (frequencyTenor.Years != 0)
{
PaymentsPerYear = 1.0 / frequencyTenor.Years;
}
if (frequencyTenor.Months != 0)
{
PaymentsPerYear += 12.0 / frequencyTenor.Months;
}
if (frequencyTenor.Days != 0)
{
PaymentsPerYear += 365.0 / frequencyTenor.Days;
}
Name = new IdentifierString(String.Format("Simple;{0}", Frequency.Name.String));
}
/// <summary>Initializes a new instance of the <see cref="PeriodicInterestCompounding"/> class.
/// </summary>
/// <param name="frequency">The frequency of the compounding.</param>
protected internal PeriodicInterestCompounding(IDateScheduleFrequency frequency)
{
if (frequency == null)
{
throw new ArgumentNullException("frequency");
}
Frequency = frequency;
TenorTimeSpan frequencyTenor = frequency.GetFrequencyTenor();
if (TenorTimeSpan.IsNull(frequencyTenor) == true)
{
throw new ArgumentException("frequency");
}
if (frequencyTenor.Years != 0)
{
PaymentsPerYear = 1.0 / frequencyTenor.Years;
}
if (frequencyTenor.Months != 0)
{
PaymentsPerYear += 12.0 / frequencyTenor.Months;
}
if (frequencyTenor.Days != 0)
{
PaymentsPerYear += 365.0 / frequencyTenor.Days;
}
}
/// <summary>Gets a date schedule frequency.
/// </summary>
/// <param name="frequency">The frequency in its <see cref="System.String"/> representation; perhaps a <see cref="TenorTimeSpan"/> in its <see cref="System.String"/> representation.</param>
/// <param name="value">The date schedule frequency (output).</param>
/// <param name="addIntoPool">If <paramref name="frequency"/> represents a individual frequency,
/// the corresponding <see cref="IDateScheduleFrequency"/> will be added to the <see cref="DateScheduleFrequency"/> if set to <c>true</c>.</param>
/// <returns>A value indicating whether <paramref name="value"/> contains valid data.</returns>
/// <remarks>If <paramref name="frequency"/> does not represents an item of the pool, try to create to convert <paramref name="frequency"/> to a <see cref="TenorTimeSpan"/> object first.</remarks>
public static bool TryGetValue(string frequency, out IDateScheduleFrequency value, bool addIntoPool = false)
{
if ((frequency == null) || (frequency.Length == 0))
{
value = null;
return(false);
}
if (sm_Pool.TryGetValue(frequency, out value) == true)
{
return(true);
}
TenorTimeSpan tenorFrequency; // try to generate a individual frequency:
if (TenorTimeSpan.TryParse(frequency, out tenorFrequency) == false)
{
value = null;
return(false);
}
if (IndividualDateScheduleFrequency.TryCreate(tenorFrequency, out value) == true)
{
if (addIntoPool)
{
sm_Pool.Add(value);
}
return(true);
}
value = null;
return(false);
}
/// <summary>Sets the frequency of the floating rate leg and sets the <see cref="FloatingFrequencyState"/> to <see cref="ConventionState.StandardValue"/>.
/// </summary>
/// <param name="floatingFrequency">The frequency of the floating rate leg.</param>
internal void SetStandardFloatingFrequency(IDateScheduleFrequency floatingFrequency)
{
if (floatingFrequency == null)
{
throw new ArgumentNullException("floatingFrequency");
}
m_FloatingFrequency = floatingFrequency;
m_FloatingFrequencyState = ConventionState.StandardValue;
}
/// <summary>Sets the coupon frequency and sets the <see cref="CouponFrequencyState"/> to <see cref="ConventionState.StandardValue"/>.
/// </summary>
/// <param name="couponFrequency">The Bond coupon frequency.</param>
internal void SetStandardCouponFrequency(IDateScheduleFrequency couponFrequency)
{
if (couponFrequency == null)
{
throw new ArgumentNullException("couponFrequency");
}
m_CouponFrequency = couponFrequency;
m_CouponFrequencyState = ConventionState.StandardValue;
}
/// <summary>Gets a <see cref="IndividualDateScheduleFrequency"/> object.
/// </summary>
/// <param name="frequencyTenor">The frequency tenor.</param>
/// <param name="individualDateScheduleFrequency">The individual date schedule frequency (output).</param>
/// <returns>A value indicating whether <paramref name="individualDateScheduleFrequency"/> contains valid data.</returns>
internal static bool TryCreate(TenorTimeSpan frequencyTenor, out IDateScheduleFrequency individualDateScheduleFrequency)
{
if (TenorTimeSpan.IsNull(frequencyTenor) || (frequencyTenor.IsPositive == false))
{
individualDateScheduleFrequency = null;
return(false);
}
individualDateScheduleFrequency = new IndividualDateScheduleFrequency(frequencyTenor);
return(true);
}
/// <summary>Initializes a new instance of the <see cref="IRCapletTenorConventionConstant"/> class.
/// </summary>
/// <param name="liborRateTenor">The (unique) libor rate tenor.</param>
/// <exception cref="ArgumentException">Thrown, if <paramref name="liborRateTenor"/> represents a tenor leq or equal <c>0</c>.</exception>
public IRCapletTenorConventionConstant(TenorTimeSpan liborRateTenor)
{
if (TenorTimeSpan.IsNull(liborRateTenor) || (liborRateTenor.IsPositive == false))
{
throw new ArgumentException("liborRateTenor");
}
m_LiborRateTenor = liborRateTenor.AsFrequency();
m_Name = new IdentifierString(String.Format("Constant caplet tenor {0}", liborRateTenor.ToString()));
m_LongName = new IdentifierString(String.Format(IRCapletTenorConventionResources.ConstantTenorLongName, liborRateTenor.ToString()));
}
/// <summary>Initializes a new instance of the <see cref="InflationBondConventions"/> class.
/// </summary>
/// <param name="bondMarketConventions">The bond market conventions.</param>
/// <exception cref="ArgumentNullException">Thrown, if <paramref name="bondMarketConventions"/> is <c>null</c>.</exception>
/// <exception cref="ArgumentException">Thrown, if <paramref name="bondMarketConventions"/> is not completely defined.</exception>
public InflationBondConventions(InflationMarketConventions.InflationBondConventions bondMarketConventions)
{
if (bondMarketConventions == null)
{
throw new ArgumentNullException("bondMarketConventions");
}
if (bondMarketConventions.IsCompletelyDefined == false)
{
throw new ArgumentException(String.Format(ExceptionMessages.ArgumentIsNotWellDefined, "Bond market conventions"), "bondMarketConventions");
}
BusinessDayConvention = bondMarketConventions.BusinessDayConvention;
CouponFrequency = bondMarketConventions.CouponFrequency;
DayCountConvention = bondMarketConventions.DayCountConvention;
}
/// <summary>Initializes a new instance of the <see cref="InflationSwapConventions"/> class.
/// </summary>
/// <param name="swapMarketConventions">The swap market conventions.</param>
public InflationSwapConventions(InflationMarketConventions.InflationSwapConventions swapMarketConventions)
{
if (swapMarketConventions == null)
{
throw new ArgumentNullException("swapMarketConventions");
}
if (swapMarketConventions.IsCompletelyDefined == false)
{
throw new ArgumentException(String.Format(ExceptionMessages.ArgumentIsNotWellDefined, "Inflation-linked Swap market conventions"), "swapMarketConventions");
}
BusinessDaysToSettle = swapMarketConventions.BusinessDaysToSettle.Value;
FixedBusinessDayConvention = swapMarketConventions.FixedBusinessDayConvention;
FixedDayCountConvention = swapMarketConventions.FixedDayCountConvention;
FixedFrequency = swapMarketConventions.FixedFrequency;
FloatingBusinessDayConvention = swapMarketConventions.FloatingBusinessDayConvention;
FloatingDayCountConvention = swapMarketConventions.FloatingDayCountConvention;
FloatingFrequency = swapMarketConventions.FloatingFrequency;
}
/// <summary>Initializes a new instance of the <see cref="BackwardDateScheduleRule"/> class.
/// </summary>
/// <param name="frequency">The frequency.</param>
/// <param name="businessDayConvention">The business day convention.</param>
/// <param name="seedBusinessDayConvention">The optional seed business day convention, represents the adjustment of the
/// 'seed date' used in the main date generation loop, i.e. generates
/// <para>
/// 'adjusted seed date' + j * tenor, j=1,2,...
/// </para>
/// and adjust these dates with respect to <paramref name="businessDayConvention"/> (optional; will be ignored if <paramref name="firstRegularDate"/> is a date).
/// </param>
/// <param name="firstRegularDate">The first regular date (optional).</param>
/// <param name="lastRegularDate">The last regular date (optional).</param>
/// <remarks>The optional <paramref name="firstRegularDate"/> and <paramref name="lastRegularDate"/> are used to generated a short/long first/last stub period.</remarks>
private BackwardDateScheduleRule(IDateScheduleFrequency frequency, IBusinessDayConvention businessDayConvention, IBusinessDayConvention seedBusinessDayConvention = null, DateTime?firstRegularDate = null, DateTime?lastRegularDate = null)
{
if (frequency == null)
{
throw new ArgumentNullException("frequency");
}
m_Frequency = frequency;
if (businessDayConvention == null)
{
throw new ArgumentNullException("businessDayConvention");
}
m_BusinessDayConvention = businessDayConvention;
m_ReferenceDate = DateTime.MinValue;
// the optional parameters
m_SeedBusinessDayConvention = seedBusinessDayConvention;
m_FirstRegularDate = firstRegularDate;
m_LastRegularDate = lastRegularDate;
}
/// <summary>Initializes a new instance of the <see cref="DateScheduleRuleDescription "/> class.
/// </summary>
/// <param name="startAndEndDateDescription">The description of the start and of the end date of the date schedule.</param>
/// <param name="frequency">The frequency.</param>
/// <param name="businessDayConvention">The business day convention.</param>
/// <param name="seedBusinessDayConvention">The optional seed business day convention, represents the adjustment of the
/// 'seed date' used in the main date generation loop, i.e. generates
/// <para>
/// 'adjusted seed date' - j * tenor, j=1,2,...
/// </para>
/// and adjust these dates with respect to <paramref name="businessDayConvention"/> (optional; will be ignored if <paramref name="firstRegularDate"/> is a date).
/// </param>
/// <param name="firstRegularDate">The first regular date (optional).</param>
/// <param name="lastRegularDate">The last regular date (optional).</param>
/// <remarks>The optional <paramref name="firstRegularDate"/> and <paramref name="lastRegularDate"/> are used to generated a short/long first/last stub period.</remarks>
public DateScheduleRuleDescription(ITimeframeDescription startAndEndDateDescription, IDateScheduleFrequency frequency, IBusinessDayConvention businessDayConvention, IBusinessDayConvention seedBusinessDayConvention, DateTime?firstRegularDate = null, DateTime?lastRegularDate = null)
{
m_DateScheduleRule = new BackwardDateScheduleRule(startAndEndDateDescription, frequency, businessDayConvention, seedBusinessDayConvention, firstRegularDate, lastRegularDate);
}
/// <summary>Creates a <see cref="IDateScheduleRuleDescription"/> wrapper for <see cref="BackwardDateScheduleRule"/> objects.
/// </summary>
/// <param name="startAndEndDatePeriodDescription">A description of the start date and the end date of the date schedule.</param>
/// <param name="businessDayConvention">The business day convention.</param>
/// <param name="frequency">The frequency.</param>
/// <param name="seedBusinessDayConvention">The optional seed business day convention, represents the adjustment of the
/// 'seed date' used in the main date generation loop, i.e. generates
/// <para>
/// 'adjusted seed date' - j * tenor, j=1,2,...
/// </para>
/// and adjust these dates with respect to <paramref name="businessDayConvention"/> (optional; will be ignored if <paramref name="lastRegularDate"/> is a date; if <c>null</c> <paramref name="businessDayConvention"/> will be used).
/// </param>
/// <param name="firstRegularDate">The first regular date (optional).</param>
/// <param name="lastRegularDate">The last regular date (optional).</param>
/// <returns>A <see cref="IDateScheduleRuleDescription"/> object that encapsulate a <see cref="BackwardDateScheduleRule"/> object.</returns>
/// <remarks>The optional <paramref name="firstRegularDate"/> and <paramref name="lastRegularDate"/> are used to generated a short/long first/last stub period.</remarks>
public static IDateScheduleRuleDescription CreateDescriptor(ITimeframeDescription startAndEndDatePeriodDescription, IDateScheduleFrequency frequency, IBusinessDayConvention businessDayConvention, IBusinessDayConvention seedBusinessDayConvention = null, DateTime?firstRegularDate = null, DateTime?lastRegularDate = null)
{
return(new DateScheduleRuleDescription(startAndEndDatePeriodDescription, frequency, businessDayConvention, seedBusinessDayConvention, firstRegularDate, lastRegularDate));
}
/// <summary>Initializes a new instance of the <see cref="BackwardDateScheduleRule"/> class.
/// </summary>
/// <param name="referenceDate">A reference date used to calculate the start date and end date of the date schedule with respect to <paramref name="startAndEndDateDescription"/>.</param>
/// <param name="startAndEndDateDescription">A description of the start date and the end date of the date schedule.</param>
/// <param name="businessDayConvention">The business day convention.</param>
/// <param name="frequency">The frequency.</param>
/// <param name="seedBusinessDayConvention">The optional seed business day convention, represents the adjustment of the
/// 'seed date' used in the main date generation loop, i.e. generates
/// <para>
/// 'adjusted seed date' + j * tenor, j=1,2,...
/// </para>
/// and adjust these dates with respect to <paramref name="businessDayConvention"/> (optional; will be ignored if <paramref name="lastRegularDate"/> is a date; if <c>null</c> <paramref name="businessDayConvention"/> will be used).
/// </param>
/// <param name="firstRegularDate">The first regular date (optional).</param>
/// <param name="lastRegularDate">The last regular date (optional).</param>
/// <remarks>The optional <paramref name="firstRegularDate"/> and <paramref name="lastRegularDate"/> are used to generated a short/long first/last stub period.</remarks>
public BackwardDateScheduleRule(DateTime referenceDate, ITimeframeDescription startAndEndDateDescription, IDateScheduleFrequency frequency, IBusinessDayConvention businessDayConvention, IBusinessDayConvention seedBusinessDayConvention = null, DateTime?firstRegularDate = null, DateTime?lastRegularDate = null)
: this(frequency, businessDayConvention, seedBusinessDayConvention, firstRegularDate, lastRegularDate)
{
if (startAndEndDateDescription == null)
{
throw new ArgumentNullException("startAndEndDateDescription");
}
m_TimeSpanDescription = startAndEndDateDescription;
m_ReferenceDate = referenceDate;
}
/// <summary>Determines whether a specified date schedule frequency is the frequency 'once'.
/// </summary>
/// <param name="dateScheduleFrequency">The date schedule frequency.</param>
/// <returns>
/// <c>true</c> if the specified date schedule frequency is the frequency 'once'; otherwise, <c>false</c>.
/// </returns>
public static bool IsOnceFrequency(this IDateScheduleFrequency dateScheduleFrequency)
{
return((dateScheduleFrequency != null) ? TenorTimeSpan.IsNull(dateScheduleFrequency.GetFrequencyTenor()) : false);
}
