private void GenerateSchedule(DateTime asOf, DateTime startDate, DateTime endDate, DayCount dayCount, DayRule dayRule, CurveTenor tenor, StubPlacement stub = StubPlacement.NullStub)
{
// This only works for short stubs atm, although NullStub will generate a long stub
DateTime AdjStart = DateHandling.AdjustDate(startDate, dayRule);
DateTime AdjEnd = DateHandling.AdjustDate(endDate, dayRule);
string tenorString = EnumToStr.CurveTenor(tenor);
string TenorLetter = DateHandling.GetTenorLetterFromTenor(tenorString);
double TenorNumber = DateHandling.GetTenorNumberFromTenor(tenorString);
int periods = CalculatePeriods(startDate, endDate, tenor);
// Create estimate of how long the schedule should be
//double YearsUpper = DateHandling.Cvg(AdjStart, AdjEnd, dayCount);
//double YearLower = DateHandling.Cvg(AsOf, AdjStart, dayCount);
// Will be sorted at end (when coverages are also calculated)
UnAdjStartDates.Add(StartDate);
UnAdjEndDates.Add(EndDate);
AdjStartDates.Add(AdjStart);
AdjEndDates.Add(AdjEnd);
//if (StrToEnum.ConvertTenorLetter(TenorLetter) == Tenor.M)
//{
// periods = periodsInMonths / (int)TenorNumber;
// //WholePeriods = periodsInMonths / (int) TenorNumber;
// //double tempPeriods = YearsUpper * 12 / TenorNumber;
// //WholePeriods = (int)Math.Truncate(tempPeriods);
//}
//else if (StrToEnum.ConvertTenorLetter(TenorLetter) == Tenor.Y)
//{
// periods = periodsInMonths / (12 * (int)TenorNumber);
// //WholePeriods = (int) Math.Truncate(YearsUpper);
//}
//else
//{
// throw new ArgumentException("Can only roll out swap calender for month and year tenors");
//}
if (stub == StubPlacement.Beginning)
{
periods += 1 * 12 / (int)Math.Round(TenorNumber);
for (int i = 1; i < periods; i++)
{
UnAdjEndDates.Add(DateHandling.AddTenorAdjust(UnAdjEndDates[i - 1], "-" + tenorString));
AdjEndDates.Add(DateHandling.AdjustDate(UnAdjEndDates[i], DayRule));
UnAdjStartDates.Add(UnAdjEndDates[i]);
AdjStartDates.Add(DateHandling.AdjustDate(UnAdjStartDates[i], DayRule));
}
}
else if (stub == StubPlacement.End)
{
periods += 1 * 12 / (int)Math.Round(TenorNumber);
for (int i = 1; i < periods; i++)
{
UnAdjStartDates.Add(DateHandling.AddTenorAdjust(UnAdjStartDates[i - 1], tenorString));
AdjStartDates.Add(DateHandling.AdjustDate(UnAdjStartDates[i], DayRule));
UnAdjEndDates.Add(UnAdjStartDates[i]);
AdjEndDates.Add(DateHandling.AdjustDate(UnAdjEndDates[i], DayRule));
}
}
else if (stub == StubPlacement.NullStub)
{
for (int i = 1; i < periods; i++)
{
UnAdjEndDates.Add(DateHandling.AddTenorAdjust(UnAdjEndDates[i - 1], "-" + tenorString));
AdjEndDates.Add(DateHandling.AdjustDate(UnAdjEndDates[i], DayRule));
UnAdjStartDates.Add(UnAdjEndDates[i]);
AdjStartDates.Add(DateHandling.AdjustDate(UnAdjStartDates[i], DayRule));
}
}
// Sort dates according to date
UnAdjStartDates.Sort(new Comparison <DateTime>((x, y) => x.CompareTo(y)));
UnAdjEndDates.Sort(new Comparison <DateTime>((x, y) => x.CompareTo(y)));
AdjStartDates.Sort(new Comparison <DateTime>((x, y) => x.CompareTo(y)));
AdjEndDates.Sort(new Comparison <DateTime>((x, y) => x.CompareTo(y)));
for (int i = 0; i < AdjStartDates.Count; i++)
{
Coverages.Add(DateHandling.Cvg(AdjStartDates[i], AdjEndDates[i], DayCount));
}
}
private void ConstructZcbCurveFromDatesAndValues()
{
_tenorStr = EnumToStr.CurveTenor(Tenor);
_zcbCurve = new MasterThesis.Curve(Dates, _zcbValues);
}
