public void TestDayCounts()
{
var date1 = new Date(2003, 11, 1);
var date2 = new Date(2004, 5, 1);
// Actual/365
Assert.AreEqual(182.0 / 365, DayCountStore.Actual365Fixed.YearFraction(date1, date2), 1e-9);
// Actual/360
Assert.AreEqual(182.0 / 360, DayCountStore.Actual360.YearFraction(date1, date2), 1e-9);
// Actual/Actual ISDA
Assert.AreEqual(61.0 / 365 + 121.0 / 366, DayCountStore.ActActISDA.YearFraction(date1, date2), 1e-9);
Assert.AreEqual(0.497724380567, DayCountStore.ActActISDA.YearFraction(date1, date2), 1e-9); // QuantLib case
// 30/360
date1 = new Date(2008, 2, 28);
date2 = new Date(2008, 3, 31);
Assert.AreEqual(32.0 / 360, DayCountStore.Thirty360Euro.YearFraction(date1, date2), 1e-9); // QuantLib case
// Business 252
var weekendsOnly = new Calendar("Test", new List <Date>());
var weekendsAndOneHoliday = new Calendar("Test", new List <Date> {
new Date(2008, 3, 21)
});
IDayCountConvention business252Weekends = DayCountStore.Business252(weekendsOnly);
IDayCountConvention business252WeekendsAndHolday = DayCountStore.Business252(weekendsAndOneHoliday);
Assert.AreEqual(22.0 / 252, business252Weekends.YearFraction(date1, date2), 1e-9);
Assert.AreEqual(21.0 / 252, business252WeekendsAndHolday.YearFraction(date1, date2), 1e-9);
}
public static DayCountConvention CreateBusiness252DayCount(
[QuantSAExcelArgument(Description = "The calendar to use.")]
Calendar calendar)
{
return(DayCountStore.Business252(calendar));
}
