public void UnadjustedDateNoOfPeriodsFromTermination()
{
const int cCouponPeriods = 1;
DateTime endDate = new DateTime(2010, 01, 5);
Period periodInterval = PeriodHelper.Parse("6M");
CalculationPeriodSchedule cps = new CalculationPeriodSchedule();
List <CalculationPeriod> unadjustedCalcPeriods = cps.GetUnadjustedCalculationDateScheduleFromTermDate(endDate, periodInterval, cCouponPeriods);
Assert.AreEqual(unadjustedCalcPeriods.Count, cCouponPeriods);
Assert.IsFalse(cps.HasFinalStub);
Assert.IsFalse(cps.HasInitialStub);
}
public void LongFinalStubSpecifiedButNoStub()
{
DateTime startDate = new DateTime(2007, 01, 5);
DateTime endDate = new DateTime(2012, 01, 5);
RollConventionEnum rollConvention = RollConventionEnum.Item5;
CalculationPeriodFrequency periodFrequency = CalculationPeriodFrequencyHelper.Parse("3M", rollConvention.ToString());
CalculationPeriodSchedule cps = new CalculationPeriodSchedule();
Period periodInterval = CalculationPeriodHelper.CalculationPeriodFrequencyToInterval(periodFrequency);
List <CalculationPeriod> unadjustedCalcPeriods = cps.GetUnadjustedCalculationDateSchedule(startDate, endDate, periodInterval, rollConvention, StubPeriodTypeEnum.LongFinal);
Assert.AreEqual(unadjustedCalcPeriods.Count, 20);
Assert.IsFalse(cps.HasFinalStub);
Assert.IsFalse(cps.HasInitialStub);
}
public void LongInitialStubSpecified()
{
DateTime startDate = new DateTime(2007, 01, 5);
DateTime endDate = new DateTime(2012, 01, 5);
RollConventionEnum rollConvention = RollConventionEnum.Item26;
CalculationPeriodFrequency periodFrequency = CalculationPeriodFrequencyHelper.Parse("3M", rollConvention.ToString());
DateTime firstRegularPeriodDate = new DateTime(2007, 4, 26);
CalculationPeriodSchedule cps = new CalculationPeriodSchedule();
List <CalculationPeriod> unadjustedCalcPeriods = cps.GetUnadjustedCalculationDateSchedule(startDate, endDate, firstRegularPeriodDate, periodFrequency, StubPeriodTypeEnum.LongInitial);
Assert.AreEqual(unadjustedCalcPeriods.Count, 20);
Assert.IsTrue(cps.HasFinalStub);
Assert.IsTrue(cps.HasInitialStub);
Assert.IsTrue(CalculationPeriodHelper.IsLongStub(unadjustedCalcPeriods[0], cps.PeriodInterval));
}
public void ShortFinalStubSpecifiedFromTermination()
{
DateTime startDate = new DateTime(2007, 01, 5);
DateTime endDate = new DateTime(2010, 01, 5);
RollConventionEnum rollConvention = RollConventionEnum.Item12;
CalculationPeriodFrequency periodFrequency = CalculationPeriodFrequencyHelper.Parse("3M", rollConvention.ToString());
Period periodInterval = CalculationPeriodHelper.CalculationPeriodFrequencyToInterval(periodFrequency);
CalculationPeriodSchedule cps = new CalculationPeriodSchedule();
DateTime lastRegularPeriodEndDate = new DateTime(2009, 8, 12);
List <CalculationPeriod> unadjustedCalcPeriods = cps.GetUnadjustedCalculationDateScheduleFromTermDate(startDate, endDate, periodInterval, lastRegularPeriodEndDate, rollConvention, StubPeriodTypeEnum.ShortFinal);
Assert.AreEqual(unadjustedCalcPeriods.Count, 13);
Assert.IsTrue(cps.HasFinalStub);
Assert.IsTrue(cps.HasInitialStub);
Assert.IsTrue(CalculationPeriodHelper.IsShortStub(unadjustedCalcPeriods[unadjustedCalcPeriods.Count - 1], cps.PeriodInterval));
}
public void RegularPeriodIntervalUnadjustedDates()
{
Boolean bFailureSet = false;
List <CalculationPeriod> unadjustedCalcPeriods;
try
{
// 5 year 3 month cash flow
DateTime startDate = new DateTime(2007, 01, 5);
Period intervalToMaturity = PeriodHelper.Parse("5Y");
Period periodInterval = PeriodHelper.Parse("3M");
CalculationPeriodSchedule cps = new CalculationPeriodSchedule();
unadjustedCalcPeriods = cps.GetUnadjustedCalculationDateSchedule(startDate, intervalToMaturity, periodInterval);
List <DateTime> dates = CalculationPeriodHelper.GetCalculationPeriodsProperty <DateTime>(unadjustedCalcPeriods, "unadjustedStartDate");
Assert.AreEqual(unadjustedCalcPeriods.Count, 20);
Assert.IsFalse(cps.HasInitialStub);
Assert.IsFalse(cps.HasFinalStub);
// 3 year 6 month cash flow
startDate = new DateTime(2010, 12, 3);
intervalToMaturity = PeriodHelper.Parse("3Y");
periodInterval = PeriodHelper.Parse("6M");
cps = new CalculationPeriodSchedule();
unadjustedCalcPeriods = cps.GetUnadjustedCalculationDateSchedule(startDate, intervalToMaturity, periodInterval);
dates = CalculationPeriodHelper.GetCalculationPeriodsProperty <DateTime>(unadjustedCalcPeriods, "unadjustedStartDate");
Assert.AreEqual(unadjustedCalcPeriods.Count, 6);
Assert.IsFalse(cps.HasInitialStub);
Assert.IsFalse(cps.HasFinalStub);
// This should generate an excpetion
startDate = new DateTime(2010, 12, 3);
intervalToMaturity = PeriodHelper.Parse("3Y");
periodInterval = PeriodHelper.Parse("7M");
cps = new CalculationPeriodSchedule();
unadjustedCalcPeriods = cps.GetUnadjustedCalculationDateSchedule(startDate, intervalToMaturity, periodInterval);
dates = CalculationPeriodHelper.GetCalculationPeriodsProperty <DateTime>(unadjustedCalcPeriods, "unadjustedStartDate");
Assert.AreEqual(unadjustedCalcPeriods.Count, 6);
Assert.IsFalse(cps.HasInitialStub);
Assert.IsFalse(cps.HasFinalStub);
Assert.IsTrue(!bFailureSet);
}
catch (Exception ex)
{
bFailureSet = true;
Console.WriteLine("RegularPeriodIntervalUnadjustedDates: " + ex.Message);
}
}
public void RegularPeriodFrequencyUnadjustedDates()
{
// 5 year 3 month cash flow
DateTime startDate = new DateTime(2007, 01, 5);
RollConventionEnum rollConvention = RollConventionEnum.Item26;
CalculationPeriodFrequency frequencyToMaturity = CalculationPeriodFrequencyHelper.Parse("5Y", rollConvention.ToString());
CalculationPeriodFrequency periodFrequency = CalculationPeriodFrequencyHelper.Parse("3M", rollConvention.ToString());
CalculationPeriodSchedule cps = new CalculationPeriodSchedule();
List <CalculationPeriod> unadjustedCalcPeriods = cps.GetUnadjustedCalculationDateSchedule(startDate, frequencyToMaturity, periodFrequency);
List <DateTime> dates = CalculationPeriodHelper.GetCalculationPeriodsProperty <DateTime>(unadjustedCalcPeriods, "unadjustedStartDate");
Assert.AreEqual(unadjustedCalcPeriods.Count, 20);
Assert.IsFalse(cps.HasInitialStub);
Assert.IsFalse(cps.HasFinalStub);
}
