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));
}
}
// Ideally, this should be a derived class on SwapSchedule, since an
// OIS schedule (in this context) is either a short period, or 1Y schedule with
// a stub in the end. For our purpose, we just define a derived the class
// that only works for our purpose (i.e. it's not general.)
public OisSchedule(DateTime asOf, string startTenor, string endTenor, string settlementLag, DayCount dayCount, DayRule dayRule)
: base(asOf, startTenor, endTenor, dayCount, dayRule)
{
Tenor startTenorEnum = GetLetterFromTenor(startTenor);
Tenor endTenorEnum = GetLetterFromTenor(endTenor);
UnAdjStartDates.Add(StartDate);
AdjStartDates.Add(StartDate);
// Just to make sure we compare with both "1Y" and "12M" (because i'm lazy in correcting for DayCount)
if (CompareTenors(endTenor, "1Y") == false && CompareTenors(endTenor, "12M") == false)
{
// Simple OIS swap
double cvg = DateHandling.Cvg(StartDate, EndDate, dayCount);
UnAdjEndDates.Add(EndDate);
AdjEndDates.Add(DateHandling.AdjustDate(EndDate));
Coverages.Add(cvg);
return;
}
else
{
int months = 0;
// 1Y periods + stub
int periods, years;
if (endTenorEnum == Tenor.Y)
{
periods = GetNumberFromTenor(endTenor);
years = periods;
}
else if (endTenorEnum == Tenor.M)
{
years = (int)Math.Truncate(GetNumberFromTenor(endTenor) / 12.0);
if (GetNumberFromTenor(endTenor) % 12 == 0)
{
months = 0;
periods = years;
}
else
{
months = GetNumberFromTenor(endTenor) - 12 * years;
periods = years + 1;
}
}
else
{
throw new InvalidOperationException("OIS Schedule only works for Y,M endTenors");
}
UnAdjEndDates.Add(DateHandling.AddTenorAdjust(StartDate, "1Y"));
AdjEndDates.Add(DateHandling.AdjustDate(UnAdjEndDates[0], DayRule.N));
Coverages.Add(DateHandling.Cvg(AdjStartDates[0], AdjEndDates[0], DayCount));
// Generate Schedule
// We start from 1 since first days are filled out
// We only end here if we have more than 1 period
for (int j = 1; j <= periods; j++)
{
if (periods > years && periods == j + 1) // In case we have tenor like "18M" and have to create a stub periods
{
string excessTenor = months.ToString() + "M";
UnAdjStartDates.Add(DateHandling.AddTenorAdjust(UnAdjStartDates[j - 1], "1Y", dayRule));
AdjStartDates.Add(DateHandling.AdjustDate(UnAdjStartDates[j], dayRule));
UnAdjEndDates.Add(DateHandling.AddTenorAdjust(UnAdjEndDates[j - 1], excessTenor, dayRule));
AdjEndDates.Add(DateHandling.AdjustDate(UnAdjEndDates[j], dayRule));
Coverages.Add(DateHandling.Cvg(AdjStartDates[j], AdjEndDates[j], DayCount));
}
else
{
if (j < periods)
{
UnAdjStartDates.Add(DateHandling.AddTenorAdjust(UnAdjStartDates[j - 1], "1Y", dayRule));
AdjStartDates.Add(DateHandling.AdjustDate(UnAdjStartDates[j], dayRule));
UnAdjEndDates.Add(DateHandling.AddTenorAdjust(UnAdjEndDates[j - 1], "1Y", dayRule));
AdjEndDates.Add(DateHandling.AdjustDate(UnAdjEndDates[j], dayRule));
Coverages.Add(DateHandling.Cvg(AdjStartDates[j], AdjEndDates[j], DayCount));
}
}
}
}
}
