/// <summary>Gets the start and end date of the timeframe.
/// </summary>
/// <param name="referenceDate">A reference date (can be a business day or a holiday).</param>
/// <param name="holidayCalendar">The (settlement) holiday calendar.</param>
/// <param name="startDate">The start date of the time span with respect to <paramref name="referenceDate"/> (output).</param>
/// <param name="endDate">The end date of the time span with respect to <paramref name="referenceDate"/> (output).</param>
/// <param name="logger">An optional logger.</param>
public void GetStartAndEndDate(DateTime referenceDate, IHolidayCalendar holidayCalendar, out DateTime startDate, out DateTime endDate, ILogger logger = null)
{
var IMMDate = Next(referenceDate);
startDate = StartDateAdjustment.GetAdjustedDate(IMMDate, holidayCalendar);
endDate = EndDateAdjustment.GetAdjustedDate(startDate.AddTenorTimeSpan(Tenor), holidayCalendar);
}
/// <summary>Gets the start and end date of the timeframe.
/// </summary>
/// <param name="referenceDate">A reference date (can be a business day or a holiday).</param>
/// <param name="holidayCalendar">The (settlement) holiday calendar.</param>
/// <param name="fixingLag">The fixing lag, i.e. a method used to calculate the fixing date with respect to the period. Will be applied to the IMM Date (even if the IMM date is not a business day).</param>
/// <param name="startDate">The start date of the time span with respect to <paramref name="referenceDate"/> (output).</param>
/// <param name="endDate">The end date of the time span with respect to <paramref name="referenceDate"/> (output).</param>
/// <param name="logger">An optional logger.</param>
/// <returns>The fixing date of with respect to the (interest) period.</returns>
public DateTime GetStartAndEndDate(DateTime referenceDate, IHolidayCalendar holidayCalendar, IFixingLag fixingLag, out DateTime startDate, out DateTime endDate, ILogger logger = null)
{
var IMMDate = Next(referenceDate);
startDate = StartDateAdjustment.GetAdjustedDate(IMMDate, holidayCalendar);
endDate = EndDateAdjustment.GetAdjustedDate(startDate.AddTenorTimeSpan(Tenor), holidayCalendar);
return(fixingLag.GetFixingDate(IMMDate, holidayCalendar));
}
/// <summary>Gets the start and end date of the timeframe.
/// </summary>
/// <param name="referenceDate">A reference date (can be a business day or a holiday).</param>
/// <param name="holidayCalendar">The (settlement) holiday calendar.</param>
/// <param name="startDate">The start date of the time span with respect to <paramref name="referenceDate" /> (output).</param>
/// <param name="endDate">The end date of the time span with respect to <paramref name="referenceDate" /> (output).</param>
/// <param name="logger">An optional logger.</param>
public void GetStartAndEndDate(DateTime referenceDate, IHolidayCalendar holidayCalendar, out DateTime startDate, out DateTime endDate, ILogger logger = null)
{
DateTime adjReferenceDate = SpotDateAdjustment.GetAdjustedDate(referenceDate, holidayCalendar);
if ((logger != null) && (adjReferenceDate != referenceDate))
{
logger.LogInformation("Reference date {0} has been adjusted to {1}.", referenceDate.ToShortDateString(), adjReferenceDate.ToShortDateString());
}
DateTime spotDate = adjReferenceDate;
switch (Tenor.TenorType)
{
case TenorType.Overnight:
startDate = StartDateAdjustment.GetAdjustedDate(spotDate, holidayCalendar);
endDate = EndDateAdjustment.GetAdjustedDate(startDate.AddDays(1), holidayCalendar);
break;
case TenorType.TomorrowNext:
if ((SpotDateAdjustment.AdjustmentType != BusinessDayAdjustmentType.AdjustmentToBusinessDay) && (holidayCalendar.IsBusinessDay(spotDate) == false))
{
spotDate = holidayCalendar.GetForwardAdjustedBusinessDay(spotDate);
}
startDate = StartDateAdjustment.GetAdjustedDate(holidayCalendar.AddBusinessDays(spotDate, 1), holidayCalendar);
endDate = EndDateAdjustment.GetAdjustedDate(startDate.AddDays(1), holidayCalendar);
break;
case TenorType.RegularTenor:
if ((SpotDateAdjustment.AdjustmentType != BusinessDayAdjustmentType.AdjustmentToBusinessDay) && (holidayCalendar.IsBusinessDay(spotDate) == false))
{
if (BusinessDaysToSettle > 0)
{
spotDate = holidayCalendar.GetForwardAdjustedBusinessDay(spotDate);
}
else if (BusinessDaysToSettle < 0)
{
spotDate = holidayCalendar.GetPreviousAdjustedBusinessDay(spotDate);
}
}
if (BusinessDaysToSettle != 0)
{
startDate = StartDateAdjustment.GetAdjustedDate(holidayCalendar.AddBusinessDays(spotDate, BusinessDaysToSettle), holidayCalendar);
}
else
{
startDate = StartDateAdjustment.GetAdjustedDate(spotDate, holidayCalendar);
}
endDate = EndDateAdjustment.GetAdjustedDate(startDate.AddTenorTimeSpan(Tenor), holidayCalendar);
break;
default:
throw new NotImplementedException();
}
}
/// <summary>Adds some <see cref="System.DateTime"/> objects into a specific date schedule.
/// </summary>
/// <param name="dateSchedule">The date schedule.</param>
/// <exception cref="NotOperableException">Thrown, if the current instance it not operable.</exception>
public void AddDatesToDateSchedule(DateSchedule dateSchedule)
{
if (IsOperable == false)
{
throw new NotOperableException("BackwardDateScheduleRule");
}
DateTime firstDate, terminationDate;
m_TimeSpanDescription.GetStartAndEndDate(m_ReferenceDate, dateSchedule.HolidayCalendar, out firstDate, out terminationDate, dateSchedule.Logging);
if (terminationDate < firstDate)
{
throw new ArgumentException(String.Format(ExceptionMessages.ArgumentOutOfRangeGreaterEqual, "End date [" + terminationDate.ToShortDateString() + "]", "first date [" + firstDate.ToShortDateString() + "]"));
}
dateSchedule.Add(terminationDate); // add the end date
// gets the date which is used as 'base date' for the date generation loop:
DateTime seed = terminationDate;
if ((m_LastRegularDate != null) && (m_LastRegularDate.HasValue)) // 'last regular date' is given
{
seed = m_LastRegularDate.Value;
if (seed > terminationDate)
{
throw new ArgumentException(String.Format(ExceptionMessages.ArgumentOutOfRangeLessEqual, "Last regular date [" + seed.ToShortDateString() + "]", "end date [" + terminationDate.ToShortDateString() + "]"));
}
}
if (m_SeedBusinessDayConvention != null) // perhaps adjust the 'base date' which is used for the date generation loop
{
seed = m_SeedBusinessDayConvention.GetAdjustedDate(seed, dateSchedule.HolidayCalendar);
}
else
{
seed = m_BusinessDayConvention.GetAdjustedDate(seed, dateSchedule.HolidayCalendar);
}
dateSchedule.Add(seed);
// gets the exit condition for the loop:
DateTime exitDate = firstDate; // perhaps not a business day
if ((m_FirstRegularDate != null) && (m_FirstRegularDate.HasValue))
{
exitDate = m_FirstRegularDate.Value;
if (exitDate > seed)
{
throw new ArgumentException(String.Format(ExceptionMessages.ArgumentOutOfRangeLessEqual, "First regular date [" + exitDate.ToShortDateString() + "]", "last [regular] date [" + seed.ToShortDateString() + "]"));
}
}
if (m_Frequency.IsOnceFrequency()) // end date and seed date are already added
{
if (exitDate != firstDate) // perhaps add the first regular date
{
dateSchedule.Add(exitDate); // one may apply the business day convention to the first regular date
}
}
else // do the loop with respect to the frequency
{
TenorTimeSpan frequencyTenor = m_Frequency.GetFrequencyTenor();
DateTime runningDate = m_BusinessDayConvention.GetAdjustedDate(seed.AddTenorTimeSpan(frequencyTenor), dateSchedule.HolidayCalendar);
int periodIndex = -1;
while (runningDate >= exitDate)
{
dateSchedule.Add(runningDate);
periodIndex--;
runningDate = seed.AddTenorTimeSpan(frequencyTenor, periodIndex);
runningDate = m_BusinessDayConvention.GetAdjustedDate(runningDate, dateSchedule.HolidayCalendar);
}
}
dateSchedule.Add(firstDate);
}
