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>(); }