/// <summary>Initializes a new instance of the <see cref="BackwardDateScheduleRule"/> class.
/// </summary>
/// <param name="startAndEndDateDescription">A description of the start and end date to take into account in its <see cref="ITimeframeDescription"/> representation.</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.
/// <para>A object created by this constructor is not ready to use, because the reference date with respect to <paramref name="startAndEndDateDescription"/> has to be specified;
/// call <see cref="GetAdaptedDateScheduleRule(DateTime)"/> to create a valid object.</para></remarks>
private BackwardDateScheduleRule(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;
}
/// <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());
}
/// <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());
}
/// <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));
}
