public static void Example4()
    {
        DateTime startDate = new Date(2009, 8, 3).DateValue;
        DateTime endDate   = new Date(2014, 10, 3).DateValue;

        // Now test with bool as well
        bool         adjusted       = true;
        int          paymentPerYear = 2;
        bool         arrears        = false;
        int          fixingDays     = -2;
        bool         shortPeriod    = true;
        DateSchedule myDL_1         = new DateSchedule(startDate, endDate, paymentPerYear, shortPeriod, adjusted, arrears, fixingDays);

        Console.WriteLine("Marix<Date> GetLongScheduleDate()");
        myDL_1.PrintDateMatrix(myDL_1.GetLongScheduleDate());
        Console.WriteLine();
        Console.WriteLine("Matrix<double> GetLongScheduleSerial()");
        myDL_1.GetLongScheduleSerial().extendedPrint();
        Console.WriteLine();
        Console.WriteLine("Marix<Date> GetShortScheduleDate()");
        myDL_1.PrintDateMatrix(myDL_1.GetShortScheduleDate());
        Console.WriteLine();
        Console.WriteLine("Array<Date>PaymentDateArray()");
        myDL_1.PrintDateArray(myDL_1.PaymentDateArray());
        Console.WriteLine();
        Console.WriteLine("count numbers of rows: public int Length " + myDL_1.Length);
    }
    }      // std convention

    // Copy Constructor
    public DateSchedule(DateSchedule my_dateListo)
    {
        this.adjusted             = my_dateListo.adjusted;
        this.arrears              = my_dateListo.arrears;
        this.fixingDays           = my_dateListo.fixingDays;
        this.firstShortPeriod     = my_dateListo.firstShortPeriod;
        this.my_DateArray         = my_dateListo.my_DateArray;
        this.my_DateArrayAdjusted = my_dateListo.my_DateArrayAdjusted;
    }
    public static void Example8()
    {
        // DateSchedule. The output of is a matrix of dates, for scheduled payments period, each rows is a period
        // for columns:
        // 1° column fixing date
        // 2° column startingDate of period
        // 3° column endDate of period
        // 4° column payment date of period
        DateTime startDate        = new Date(2009, 8, 3).DateValue;
        DateTime endDate          = new Date(2014, 10, 3).DateValue;
        bool     adjusted         = true;
        int      paymentPerYear   = 2;
        bool     arrears          = false;
        int      fixingDays       = -2;
        bool     firstShortPeriod = true;

        DateSchedule myDL_1 = new DateSchedule(startDate, endDate, paymentPerYear, firstShortPeriod, adjusted, arrears, fixingDays);

        Console.WriteLine("Starting DateSchedule");
        myDL_1.PrintDateMatrix();
        Console.WriteLine();

        adjusted = false;
        DateSchedule myDL_2 = new DateSchedule(startDate, endDate, paymentPerYear, firstShortPeriod, adjusted, arrears, fixingDays);

        Console.WriteLine("adjusted = 0, 3° column can be Sat or Sun");
        myDL_2.PrintDateMatrix();
        Console.WriteLine();

        paymentPerYear = 1;
        DateSchedule myDL_3 = new DateSchedule(startDate, endDate, paymentPerYear, firstShortPeriod, adjusted, arrears, fixingDays);

        Console.WriteLine("paymentPerYear = 1, frequency of payment changed");
        myDL_3.PrintDateMatrix();
        Console.WriteLine();

        arrears = true;
        DateSchedule myDL_4 = new DateSchedule(startDate, endDate, paymentPerYear, firstShortPeriod, adjusted, arrears, fixingDays);

        Console.WriteLine("arrears = 1, 1° column count fixing date starting from 3° column and not from 2° column");
        myDL_4.PrintDateMatrix();
        Console.WriteLine();

        fixingDays = 0;
        DateSchedule myDL_5 = new DateSchedule(startDate, endDate, paymentPerYear, firstShortPeriod, adjusted, arrears, fixingDays);

        Console.WriteLine("fixingDays = 0, 1° column has a different leg");
        myDL_5.PrintDateMatrix();
        Console.WriteLine();

        firstShortPeriod = false;
        DateSchedule myDL_6 = new DateSchedule(startDate, endDate, paymentPerYear, firstShortPeriod, adjusted, arrears, fixingDays);

        Console.WriteLine("shortPeriod = 2, changed the short period");
        myDL_6.PrintDateMatrix();
        Console.WriteLine();
    }
        public void dateAndMonthExtracter()
        {
            String[] dates    = DateSchedule.Split(' ');
            String[] arraynew = { "0", "0", "0" };
            int      c        = 0;

            foreach (String words in dates)
            {
                arraynew[c] = words;
                Console.WriteLine(arraynew[c]);
                c++;
            }
            DateNumber = arraynew[0];
        }
    public static void Example10()
    {
        // I will pay 5% quarterly 30/360 for 5y starting from 5 Oct 09 on a nominal of 1.000.000 USD. I want to see
        // interest rates cash flows
        // input data
        Date   startDate        = new Date(2009, 10, 5);
        Date   endDate          = startDate.AddYears(5);
        int    paymentPerYear   = 4; // Quarterly
        bool   firstShortPeriod = true;
        double rate             = 0.05;

        // I use standard constructor
        DateSchedule myDS = new DateSchedule(startDate, endDate, paymentPerYear, firstShortPeriod);

        // I get start and end date schedule
        NumericMatrix <Date> myShortSchedule = myDS.GetShortScheduleDate();

        // my nominals
        Array <double> nominals = new Array <double>(myShortSchedule.Rows, 0, 1000000);

        // year fraction from/to according 30/360
        Array <double> yearFractions = new Array <double>(myShortSchedule.Rows, 0);

        // days from/to according 30/360
        Array <double> days = new Array <double>(myShortSchedule.Rows, 0);

        // interest to pay
        Array <double> interest = new Array <double>(myShortSchedule.Rows, 0);

        Console.WriteLine("{0},\t{1},\t{2},\t{3},\t{4}", "days", "yearFrac", "rate",
                          "nominals", "interest");

        // running sum
        double totalInterest = 0.0;

        // iterate interest calculation using schedule
        for (int i = 0; i < myShortSchedule.Rows; i++)
        {
            yearFractions[i] = myShortSchedule[i, 0].YF_30_360(myShortSchedule[i, 1]);
            days[i]          = myShortSchedule[i, 0].D_30_360(myShortSchedule[i, 1]);
            interest[i]      = yearFractions[i] * rate * nominals[i];

            Console.WriteLine("{0},\t{1:F5},\t{2:P},\t{3:C},\t{4:C}", days[i], yearFractions[i], rate,
                              nominals[i], interest[i]);
            totalInterest += interest[i];
        }

        Console.WriteLine("{0},\t{1:F2}", "Total interests: ", totalInterest);
    }
        /// <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());
        }
    public static void Example5()
    {
        // 1. Create the date schedule data
        DateTime startDate      = new Date(2009, 8, 3).DateValue;
        DateTime endDate        = new Date(2014, 10, 3).DateValue;
        bool     adjusted       = true;
        int      paymentPerYear = 2;
        bool     arrears        = false;
        int      fixingDays     = -2;
        bool     shortPeriod    = true;

        // 2. My date scheduled.
        DateSchedule myDL_1 = new DateSchedule(startDate, endDate,
                                               paymentPerYear, shortPeriod, adjusted, arrears, fixingDays);

        // 3. Init a NumericMatrix<double> Class from my dates.
        NumericMatrix <double> myDates = (NumericMatrix <double>)
                                         myDL_1.GetLongScheduleSerial();

        // 4. Create an associative matrix AssocMatrix with "header" label
        // for columns and "n_lines" for rows 4A. Label for columns.
        Set <string> header = new Set <string>();

        header.Insert("FixingDate");
        header.Insert("StartDate");
        header.Insert("EndDate");
        header.Insert("PaymentDate");
        // 4B. Label for rows
        Set <string> n_line = new Set <string>();

        for (int i = 0; i < myDates.MaxRowIndex + 1; i++)
        {
            n_line.Insert("# " + (i + 1));
        }
        // 5. Creating AssocMatrix.
        AssocMatrix <string, string, double> OutMatrix =
            new AssocMatrix <string, string, double>(n_line, header, myDates);

        // 6. Print associative matrices in Excel, to "My Date
        // List" sheet, the output in Excel serial number format.
        ExcelMechanisms exl = new ExcelMechanisms();

        exl.printAssocMatrixInExcel <string, string, double>
            (OutMatrix, "My Date List");
    }
Esempio n. 8
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        /// <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());
        }