/// <summary>
/// Gets the unadjusted dates from a meta date scheduler.
/// </summary>
/// <param name="metaScheduleDefinition"></param>
/// <param name="startDate"></param>
/// <returns></returns>
public static List <DateTime> GetUnadjustedDates(List <Triplet <Period, Period, RollConventionEnum> > metaScheduleDefinition,
DateTime startDate)
{
var offsetsFromStartDateForRollPeriods = new List <Pair <int, RollConventionEnum> >();
foreach (var metaScheduleEntry in metaScheduleDefinition)
{
var numberOfRolls = (int)IntervalHelper.Div(metaScheduleEntry.Second, metaScheduleEntry.First);
if (metaScheduleEntry.First.period != PeriodEnum.M)
{
throw new System.Exception("Only month-expressed periods are supported.");
}
var rollsEveryNMonths = int.Parse(metaScheduleEntry.First.periodMultiplier);
while (numberOfRolls-- > 0)
{
var lastOffset = 0;
if (offsetsFromStartDateForRollPeriods.Count > 0)
{
lastOffset = offsetsFromStartDateForRollPeriods[offsetsFromStartDateForRollPeriods.Count - 1].First;
}
lastOffset += rollsEveryNMonths;
offsetsFromStartDateForRollPeriods.Add(new Pair <int, RollConventionEnum>(lastOffset, metaScheduleEntry.Third));
}
}
// Generates dates from a list of month-expressed offsets.
//
var result = (from offset in offsetsFromStartDateForRollPeriods
let rollDateUnadjusted = startDate.AddMonths(offset.First)
select RollConventionEnumHelper.AdjustDate(offset.Second, rollDateUnadjusted)).ToList();
return(RemoveDuplicates(result));
}
/// <summary>
/// if x < y return -1
/// if x > y return 1
/// if x = y return 0
/// </summary>
/// <param name="x">The key - x</param>
/// <param name="y">The key - y</param>
/// <returns>An indication of the relative positions of x and y</returns>
public int Compare(ExpiryTenorStrikeKey x, ExpiryTenorStrikeKey y)
{
// Test x and y as intervals Expiry before Tenor?
var xExpiryAsInterval = x.Expiry;
var xTenorAsInterval = x.Tenor;
var yExpiryAsInterval = y.Expiry;
var yTenorAsInterval = y.Tenor;
var xStrike = x.Strike;
var yStrike = y.Strike;
// Test equality
if (IntervalHelper.Less(xExpiryAsInterval, yExpiryAsInterval))
{
return(-1);
}
if (IntervalHelper.Greater(xExpiryAsInterval, yExpiryAsInterval))
{
return(1);
}
if (IntervalHelper.Less(xTenorAsInterval, yTenorAsInterval))
{
return(-1);
}
if (IntervalHelper.Greater(xTenorAsInterval, yTenorAsInterval))
{
return(1);
}
if (xStrike < yStrike)
{
return(-1);
}
return(xStrike > yStrike ? 1 : 0);
}
public void ValidateInputRequest(ILogger log)
{
const string NO_INTERVAL = "Device model telemetry must contains a valid interval";
const string NO_MESSAGE_TEMPLATE = "Device model telemetry must contains a valid message template";
const string NO_MESSAGE_SCHEMA = "Device model telemetry must contains a valid message schema";
try
{
IntervalHelper.ValidateInterval(this.Interval);
}
catch (InvalidIntervalException exception)
{
log.Error(NO_INTERVAL, () => new { deviceModelTelemetry = this, exception });
throw new BadRequestException(NO_INTERVAL);
}
if (string.IsNullOrEmpty(this.MessageTemplate))
{
log.Error(NO_MESSAGE_TEMPLATE, () => new { deviceModelTelemetry = this });
throw new BadRequestException(NO_MESSAGE_TEMPLATE);
}
if (this.MessageSchema.IsEmpty())
{
log.Error(NO_MESSAGE_SCHEMA, () => new { deviceModelTelemetry = this });
throw new BadRequestException(NO_MESSAGE_SCHEMA);
}
}
public void GetUnadjustedDates3Forward()
{
DateTime startDate = new DateTime(2008, 04, 10);
DateTime endDate = new DateTime(2009, 04, 24);
//Period interval = IntervalHelper.FromMonths(3);
RollConventionEnum rollConventionEnum = RollConventionEnumHelper.Parse(startDate.Day.ToString());
List<MetaScheduleItem> rollsMetaSchedule = new List<MetaScheduleItem>();
MetaScheduleItem item1 = new MetaScheduleItem();
item1.Period = IntervalHelper.FromMonths(6);
item1.RollFrequency = IntervalHelper.FromMonths(1);
item1.RollConvention = rollConventionEnum;
rollsMetaSchedule.Add(item1);
MetaScheduleItem item2 = new MetaScheduleItem();
item2.Period = IntervalHelper.FromMonths(6);
item2.RollFrequency = IntervalHelper.FromMonths(3);
item2.RollConvention = rollConventionEnum;
rollsMetaSchedule.Add(item2);
List<DateTime> unadjustedDates = DatesMetaSchedule.GetUnadjustedDates3(startDate, endDate, rollsMetaSchedule, false);
Debug.Print("Meta schedule:");
// Debug.Print(ParameterFormatter.FormatObject(ObjectToArrayOfPropertiesConverter.ConvertListToHorizontalArrayRange(rollsMetaSchedule)));
Debug.Print("Start date: {0}", startDate);
Debug.Print("End date: {0}", endDate);
Debug.Print("Schedule:");
PrintListOfDates(unadjustedDates);
}
// Validate device model simulation state:
// Required fields: Interval and Scripts
public void ValidateInputRequest(ILogger log)
{
const string NO_INTERVAL = "Device model simulation state must contains a valid interval";
const string NO_SCRIPTS = "Device model simulation state must contains a valid script";
try
{
IntervalHelper.ValidateInterval(this.Interval);
}
catch (InvalidIntervalException exception)
{
log.Error(NO_INTERVAL, () => new { deviceModelSimulation = this, exception });
throw new BadRequestException(NO_INTERVAL);
}
if (this.Scripts == null || this.Scripts.Count == 0)
{
log.Error(NO_SCRIPTS, () => new { deviceModelSimulation = this });
throw new BadRequestException(NO_SCRIPTS);
}
else
{
foreach (var script in this.Scripts)
{
script.ValidateInputRequest(log);
}
}
}
private static void GeneratePeriodsBackward(DateTime firstRollDate, CalculationPeriodFrequency frequency,
BusinessDayAdjustments calculationPeriodDatesAdjustments,
CalculationPeriodsPrincipalExchangesAndStubs result,
DateTime adjustedEffectiveDate, StubPeriodTypeEnum?initialStubType
, IBusinessCalendar paymentCalendar)
{
DateTime periodEndDate = firstRollDate;
DateTime periodStartDate = AddPeriod(periodEndDate, IntervalHelper.FromFrequency(frequency), -1);
bool encounteredShortInitialStub = false;
//if (paymentCalendar == null)
//{
// paymentCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, calculationPeriodDatesAdjustments.businessCenters);
//}
do
{
var calculationPeriod = new CalculationPeriod();
// Apply ROLL CONVENTION (NOT A BUSINESS DAY CONVENTION!) to unadjusted period start and end dates.
//
DateTime rollConventionAdjustedPeriodStartDate = periodStartDate;
DateTime rollConventionAdjustedPeriodEndDate = periodEndDate;
var frequencyPeriod = EnumHelper.Parse <PeriodEnum>(frequency.period, true);
if (frequencyPeriod != PeriodEnum.D)//adjust if the frequency is NOT expressed in days
{
rollConventionAdjustedPeriodStartDate = RollConventionEnumHelper.AdjustDate(frequency.rollConvention, periodStartDate);
rollConventionAdjustedPeriodEndDate = RollConventionEnumHelper.AdjustDate(frequency.rollConvention, periodEndDate);
}
CalculationPeriodHelper.SetUnadjustedDates(calculationPeriod, rollConventionAdjustedPeriodStartDate, rollConventionAdjustedPeriodEndDate);
// Set adjusted period dates
//
DateTime adjustedPeriodStartDate = AdjustedDateHelper.ToAdjustedDate(paymentCalendar, rollConventionAdjustedPeriodStartDate, calculationPeriodDatesAdjustments);
DateTime adjustedPeriodEndDate = AdjustedDateHelper.ToAdjustedDate(paymentCalendar, rollConventionAdjustedPeriodEndDate, calculationPeriodDatesAdjustments);
CalculationPeriodHelper.SetAdjustedDates(calculationPeriod, adjustedPeriodStartDate, adjustedPeriodEndDate);
//if (calculationPeriod.unadjustedStartDate > adjustedEffectiveDate)
if (calculationPeriod.adjustedStartDate > adjustedEffectiveDate)
{
result.InsertFirst(calculationPeriod);
periodEndDate = periodStartDate;
periodStartDate = AddPeriod(periodEndDate, IntervalHelper.FromFrequency(frequency), -1);
}
//else if (calculationPeriod.unadjustedStartDate == adjustedEffectiveDate)//first period - not stub
else if (calculationPeriod.adjustedStartDate == adjustedEffectiveDate)//first period - not stub
{
result.InsertFirst(calculationPeriod);
break;
}
else//first period - short stub (merge with next period if a long stub specified)
{
encounteredShortInitialStub = true;
//calculationPeriod.unadjustedStartDate = adjustedEffectiveDate;
calculationPeriod.adjustedStartDate = adjustedEffectiveDate;
result.InitialStubCalculationPeriod = calculationPeriod;
break;
}
} while (true);
if (encounteredShortInitialStub && initialStubType == StubPeriodTypeEnum.LongInitial)
{
result.CreateLongInitialStub();
}
}
//use this to set up time buckets for trade
private static int[] GetDayIntervalOffsets(DateTime referenceDate, DateTime maturityDate, string intervalString, out DateTime[] dates)
{
List <int> result = new List <int>();
List <DateTime> datesList = new List <DateTime>();
DateTime baseDate = new DateTime(referenceDate.Year, referenceDate.Month, referenceDate.Day);
const int cZeroDaysOffset = 0;
DateTime offSetDate = baseDate;
if (offSetDate.CompareTo(maturityDate) <= 0)
{
result.Add(cZeroDaysOffset);
datesList.Add(offSetDate);
}
Interval interval = IntervalHelper.Parse(intervalString);
DateTime newDate = DateHelper.AddPeriod(offSetDate, interval, 1);
while (newDate.CompareTo(maturityDate) <= 0)
{
int noOfDaysOffset = (newDate - offSetDate).Days;
result.Add(result[result.Count - 1] + noOfDaysOffset);
offSetDate = newDate;
datesList.Add(offSetDate);
newDate = DateHelper.AddPeriod(offSetDate, interval, 1);
}
dates = datesList.ToArray();
return(result.ToArray());
}
/// <summary>
/// Deal settle.
/// </summary>
/// <param name="dealDate"></param>
/// <param name="settC"></param>
/// <param name="hols"></param>
/// <returns></returns>
public static DateTime SettFromDeal(DateTime dealDate, BondSettlementEnum settC,
IBusinessCalendar hols)
{
switch (settC)
{
case BondSettlementEnum.SC_dealDate: return(dealDate);
case BondSettlementEnum.SC_1bd: return(hols.Advance(dealDate, OffsetHelper.FromInterval(IntervalHelper.FromDays(1), DayTypeEnum.Business), BusinessDayConventionEnum.FOLLOWING));
case BondSettlementEnum.SC_2bd: return(hols.Advance(dealDate, OffsetHelper.FromInterval(IntervalHelper.FromDays(2), DayTypeEnum.Business), BusinessDayConventionEnum.FOLLOWING));
case BondSettlementEnum.SC_1b1cd: return(hols.Advance(dealDate, OffsetHelper.FromInterval(IntervalHelper.FromDays(1), DayTypeEnum.Business), BusinessDayConventionEnum.FOLLOWING).AddDays(1));
case BondSettlementEnum.SC_3bd:
case BondSettlementEnum.SC_3bd_6bdLO: return(hols.Advance(dealDate, OffsetHelper.FromInterval(IntervalHelper.FromDays(3), DayTypeEnum.Business), BusinessDayConventionEnum.FOLLOWING));
case BondSettlementEnum.SC_3b1cd: return(hols.Advance(dealDate, OffsetHelper.FromInterval(IntervalHelper.FromDays(3), DayTypeEnum.Business), BusinessDayConventionEnum.FOLLOWING).AddDays(1));
case BondSettlementEnum.SC_4bd:
case BondSettlementEnum.SC_4bd_6bdLO: return(hols.Advance(dealDate, OffsetHelper.FromInterval(IntervalHelper.FromDays(4), DayTypeEnum.Business), BusinessDayConventionEnum.FOLLOWING));
case BondSettlementEnum.SC_5bd: return(hols.Advance(dealDate, OffsetHelper.FromInterval(IntervalHelper.FromDays(5), DayTypeEnum.Business), BusinessDayConventionEnum.FOLLOWING));
case BondSettlementEnum.SC_7bd: return(hols.Advance(dealDate, OffsetHelper.FromInterval(IntervalHelper.FromDays(7), DayTypeEnum.Business), BusinessDayConventionEnum.FOLLOWING));
case BondSettlementEnum.SC_3d: return(hols.Roll(dealDate.AddDays(3), BusinessDayConventionEnum.FOLLOWING));
case BondSettlementEnum.SC_7d: return(hols.Roll(dealDate.AddDays(7), BusinessDayConventionEnum.FOLLOWING));
case BondSettlementEnum.SC_7c1bd: return(hols.Advance(dealDate, OffsetHelper.FromInterval(IntervalHelper.FromDays(7), DayTypeEnum.Business), BusinessDayConventionEnum.FOLLOWING));
case BondSettlementEnum.SC_3cd: return(hols.Roll(dealDate.AddDays(3), BusinessDayConventionEnum.FOLLOWING));
// case BondSettlementHelper.BondSettlementEnum.SC_Canada:
// return
default: return(hols.Advance(dealDate, OffsetHelper.FromInterval(IntervalHelper.FromDays(1), DayTypeEnum.Business), BusinessDayConventionEnum.FOLLOWING));
}
/* switch (settC)
* {
* case SC_Canada:
* CalendarDate(ym, mm, dm, maturityDate);
* return TCs->NextBizDay(dealDate, 2 + (dealDate <= UnadjustedDate(ym - 3, mm, dm)));
*
* case SC_Austria: return TCs->NextBizDay(dealDate + 15 - DayOfWeek(dealDate), 0);
*
* case SC_Australia:
* CalendarDate(ym, mm, dm, maturityDate);
* return TCs->NextBizDay(dealDate, dealDate > UnadjustedDate(ym, mm - 6, dm) ? 1 : 3);
*
* case SC_SouthAfrica:
* settDate = dealDate + 15 - DayOfWeek(dealDate + 4);
* if (!TCs->IsBizDay(settDate + 1)) settDate--;
* return settDate;
* }
* return dealDate;*/
}
/// <summary>
/// </summary>
/// <param name="cache"></param>
/// <param name="interestRateStream"></param>
/// <param name="listCalculationPeriods"></param>
/// <param name="fixingCalendar"></param>
/// <param name="nameSpace"></param>
/// <returns></returns>
/// <exception cref="NotSupportedException"></exception>
/// <exception cref="NotImplementedException"></exception>
public static List <DateTime> GetAdjustedResetDates(ICoreCache cache, InterestRateStream interestRateStream,
List <CalculationPeriod> listCalculationPeriods, IBusinessCalendar fixingCalendar, string nameSpace)
{
var adjustedResetDates = new List <DateTime>();
ResetDates resetDates = interestRateStream.resetDates;
Period resetFrequency = IntervalHelper.FromFrequency(resetDates.resetFrequency);
Period calculationPeriodFrequency = IntervalHelper.FromFrequency(interestRateStream.calculationPeriodDates.calculationPeriodFrequency);
if (resetFrequency.period != calculationPeriodFrequency.period)
{
throw new NotSupportedException(
$"Reset period type ({resetFrequency.period}) and calculation period type ({calculationPeriodFrequency.period}) are different. This is not supported.");
}
if (int.Parse(resetFrequency.periodMultiplier) != int.Parse(calculationPeriodFrequency.periodMultiplier))
{
throw new NotSupportedException(
$"Reset period frequency ({resetFrequency.period}) is not equal to calculation period frequency ({calculationPeriodFrequency.period}). This is not supported.");
}
BusinessDayAdjustments resetDatesAdjustments = resetDates.resetDatesAdjustments;
ResetRelativeToEnum resetRelativeTo = resetDates.resetRelativeTo;
if (fixingCalendar == null)
{
fixingCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, resetDatesAdjustments.businessCenters, nameSpace);
}
foreach (CalculationPeriod calculationPeriodsInPaymentPeriod in listCalculationPeriods)
{
switch (resetRelativeTo)
{
case ResetRelativeToEnum.CalculationPeriodStartDate:
{
DateTime unadjustedResetDate = calculationPeriodsInPaymentPeriod.unadjustedStartDate;
DateTime adjustedResetDate = AdjustedDateHelper.ToAdjustedDate(fixingCalendar, unadjustedResetDate, resetDatesAdjustments);
adjustedResetDates.Add(adjustedResetDate);
break;
}
case ResetRelativeToEnum.CalculationPeriodEndDate:
{
DateTime unadjustedResetDate = calculationPeriodsInPaymentPeriod.unadjustedEndDate;
DateTime adjustedResetDate = AdjustedDateHelper.ToAdjustedDate(fixingCalendar, unadjustedResetDate, resetDatesAdjustments);
adjustedResetDates.Add(adjustedResetDate);
break;
}
default:
{
throw new NotImplementedException("resetRelativeTo");
}
}
}
return(adjustedResetDates);
}
public void GetUnadjustedDates2Forward()
{
DateTime startDate = new DateTime(2008, 04, 10);
DateTime endDate = new DateTime(2009, 04, 24);
Period interval = IntervalHelper.FromMonths(3);
RollConventionEnum rollConventionEnum = RollConventionEnumHelper.Parse(startDate.Day.ToString());
List<DateTime> unadjustedDates = DatesMetaSchedule.GetUnadjustedDates2(startDate, endDate, interval, rollConventionEnum, false);
PrintListOfDates(unadjustedDates);
}
public void GetLastMounthTest()
{
//Arrange
var currentTime = new DateTime(2013, 01, 25, 12, 35, 10).AddTicks(12376584687);;
var helper = new IntervalHelper();
//Act
var interval = helper.GetLastMonth(currentTime);
//Assert
Assert.AreEqual(new DateTime(2012, 12, 27, 0, 0, 0), interval.Start);
Assert.AreEqual(new DateTime(2013, 01, 26, 0, 0, 0), interval.Finish);
}
public void GetMillisecondsToEndDayTest()
{
//Arrange
var currentTime = new DateTime(2013, 01, 25, 12, 35, 10);
var appenedTime = new TimeSpan(0, 0, 1, 0);
var helper = new IntervalHelper();
//Act
var interval = helper.GetMillisecondsToEndDay(appenedTime, currentTime);
//Assert
Assert.AreEqual(41090000 + 60000, interval);
}
public void GetLastDateTest()
{
//Arrange
var currentTime = new DateTime(2013, 01, 25, 12, 35, 10).AddTicks(12376584687);
var helper = new IntervalHelper();
//Act
var yesterday = helper.GetLastDate(1, currentTime);
var twoDayBefore = helper.GetLastDate(2, currentTime);
//Assert
Assert.AreEqual(new DateTime(2013, 01, 24, 0, 0, 0), yesterday);
Assert.AreEqual(new DateTime(2013, 01, 23, 0, 0, 0), twoDayBefore);
}
public void GetAllDaysTest()
{
//Arrange
var dateTime = new DateTime(2013, 02, 25, 12, 35, 10);
var helper = new IntervalHelper();
//Act
var interval = helper.GetAllDays(dateTime);
//Assert
Assert.AreEqual(new DateTime(2013, 02, 26), interval.Finish);
Assert.AreEqual(new DateTime(2013, 01, 31), interval.Start);
}
public void GetIntervalTest()
{
//Arrange
var start = new DateTime(2013, 8, 1);
var end = new DateTime(2013, 8, 12);
var helper = new IntervalHelper();
//Act
var interval = helper.GetInterval(start, end);
//Assert
Assert.AreEqual(start, interval.Start);
Assert.AreEqual(new DateTime(2013, 8, 13), interval.Finish);
}
/// <summary>
/// Calculates the modes of a collection of numbers using the specified discretization unit epsilon.
/// </summary>
/// <param name="numbers">The collection whose modes are to be calculated.</param>
/// <param name="discretizationEpsilon">Discretization unit epsilon.</param>
/// <returns>
/// An array containing the arithmetic mean of all intervals
/// (that are at most one epsilon wide) with the most occurences.
/// </returns>
public static double[] Modes(IEnumerable <double> numbers, double discretizationEpsilon)
{
if (numbers == null)
{
throw ArgumentNullException;
}
if (!numbers.Any())
{
throw EmptyNumbersCollectionException;
}
LinkedList <Interval> bestIntervals = new LinkedList <Interval>();
int maxCount = 0;
// Sort numbers
IOrderedEnumerable <double> sorted = numbers.OrderBy(x => x);
// Iterate over all maximum-sized intervals
foreach (Interval interval in IntervalHelper.Intervals(sorted, discretizationEpsilon))
{
// If new maximum found, delete all maximums until now
if (interval.ElementsInside > maxCount)
{
maxCount = interval.ElementsInside;
bestIntervals.Clear();
}
// Save this interval as a maximum one if necessary
if (interval.ElementsInside == maxCount)
{
bestIntervals.AddLast(interval);
}
}
// Return the arithmetic mean of the mid points
return(bestIntervals
.Select(x => x.MidPoint)
.ToArray());
}
/// <summary>
/// Gets the unadjusted date schedule.
/// </summary>
/// <param name="effectiveDate">The effective date.</param>
/// <param name="intervalToTerminationDate">The interval to termination date.</param>
/// <param name="periodInterval">The period interval.</param>
/// <returns></returns>
public static List <DateTime> GetUnadjustedDateSchedule(DateTime effectiveDate,
Period intervalToTerminationDate, Period periodInterval)
{
Double divisor = IntervalHelper.Div(intervalToTerminationDate, periodInterval);
// The divisor has to be a whole number (i.e. the period must roll to the term date interval
if (System.Math.Abs(divisor % 1) > Tolerance)
{
throw new ArithmeticException("The period frequency will not roll to the supplied termination date interval");
}
DateTime termDate = intervalToTerminationDate.Add(effectiveDate);
var periodDates = new List <DateTime>();
//DateTime periodStartDate = effectiveDate;
int multiplier = periodInterval.GetPeriodMultiplier();
periodDates.Add(effectiveDate);
for (int i = 1; i < divisor; i++)
{
var periodEndDate = DateAdd(effectiveDate, periodInterval.period, multiplier * i);
periodDates.Add(periodEndDate);
}
periodDates.Add(termDate);
return(periodDates);
}
public static List <PaymentCalculationPeriod> GetPaymentCalculationPeriods(InterestRateStream interestRateStream,
CalculationPeriodsPrincipalExchangesAndStubs listCalculationPeriods,
IBusinessCalendar paymentCalendar)
{
var result = new List <PaymentCalculationPeriod>();
// Calculate how much calculation periods comprise one payment calculation period
//
PaymentDates paymentDates = interestRateStream.paymentDates;
Period paymentFrequency = IntervalHelper.FromFrequency(paymentDates.paymentFrequency);
Period calculationPeriodFrequency = IntervalHelper.FromFrequency(interestRateStream.calculationPeriodDates.calculationPeriodFrequency);
// If the payment frequency is less frequent than the frequency defined in the calculation period dates component
//then more than one calculation period will contribute to e payment amount.
// A payment frequency more frequent than the calculation period frequency
//or one that is not a multiple of the calculation period frequency is invalid.
if (paymentFrequency.period != calculationPeriodFrequency.period)
{
throw new NotSupportedException(
$"Payment period type ({paymentFrequency.period}) and calculation period type ({calculationPeriodFrequency.period}) are different. This is not supported.");
}
if (0 != int.Parse(paymentFrequency.periodMultiplier) % int.Parse(calculationPeriodFrequency.periodMultiplier))
{
throw new NotSupportedException(String.Format("Payment period frequency is not a multiple of the calculation period frequency. This is not supported."));
}
if (int.Parse(paymentFrequency.periodMultiplier) < int.Parse(calculationPeriodFrequency.periodMultiplier))
{
throw new NotSupportedException(String.Format("A payment frequency more frequent than the calculation period frequency. This is not supported."));
}
int calculationPeriodsInPaymentPeriod = int.Parse(paymentFrequency.periodMultiplier) / int.Parse(calculationPeriodFrequency.periodMultiplier);
IEnumerable <List <CalculationPeriod> > listOfCalculationPeriodsInSinglePayPeriod = SplitCalculationPeriodsByPaymentPeriods(listCalculationPeriods, calculationPeriodsInPaymentPeriod);
Offset paymentDaysOffset = paymentDates.paymentDaysOffset;
BusinessDayAdjustments paymentDatesBusinessDayAdjustments = paymentDates.paymentDatesAdjustments;
PayRelativeToEnum payRelativeTo = paymentDates.payRelativeTo;
//if (paymentCalendar == null)
//{
// paymentCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, paymentDatesBusinessDayAdjustments.businessCenters);
//}
// Initial stub
//
if (listCalculationPeriods.HasInitialStub)
{
var paymentCalculationPeriod = new PaymentCalculationPeriod
{
adjustedPaymentDate =
CalculatePaymentDate(paymentDates, payRelativeTo,
new List <CalculationPeriod>(
new[]
{
listCalculationPeriods.
InitialStubCalculationPeriod
}), paymentDaysOffset,
paymentDatesBusinessDayAdjustments, paymentCalendar),
adjustedPaymentDateSpecified = true
};
XsdClassesFieldResolver.SetPaymentCalculationPeriodCalculationPeriodArray(paymentCalculationPeriod, new[] { listCalculationPeriods.InitialStubCalculationPeriod });
result.Add(paymentCalculationPeriod);
}
// Regular periods
//
foreach (List <CalculationPeriod> calculationPeriodsInPamentPeriod in listOfCalculationPeriodsInSinglePayPeriod)
{
var paymentCalculationPeriod = new PaymentCalculationPeriod
{
adjustedPaymentDate =
CalculatePaymentDate(paymentDates, payRelativeTo,
calculationPeriodsInPamentPeriod,
paymentDaysOffset,
paymentDatesBusinessDayAdjustments, paymentCalendar),
adjustedPaymentDateSpecified = true
};
XsdClassesFieldResolver.SetPaymentCalculationPeriodCalculationPeriodArray(paymentCalculationPeriod, calculationPeriodsInPamentPeriod.ToArray());
result.Add(paymentCalculationPeriod);
}
// Final stub
//
if (listCalculationPeriods.HasFinalStub)
{
var paymentCalculationPeriod = new PaymentCalculationPeriod
{
adjustedPaymentDate =
CalculatePaymentDate(paymentDates, payRelativeTo,
new List <CalculationPeriod>(
new[]
{
listCalculationPeriods.
FinalStubCalculationPeriod
}), paymentDaysOffset,
paymentDatesBusinessDayAdjustments, paymentCalendar),
adjustedPaymentDateSpecified = true
};
XsdClassesFieldResolver.SetPaymentCalculationPeriodCalculationPeriodArray(paymentCalculationPeriod, new[] { listCalculationPeriods.FinalStubCalculationPeriod });
result.Add(paymentCalculationPeriod);
}
return(result);
}
public static void GeneratePeriods(DateTime unadjustedStartDate,
DateTime unadjustedTerminationDate,
DateTime?firstUnadjustedRegularPeriodStartDate,
DateTime?lastUnadjustedRegularPeriodEndDate,
//StubPeriodTypeEnum? initialStubType,
//StubPeriodTypeEnum? finalStubType,
CalculationPeriodFrequency frequency,
BusinessDayAdjustments calculationPeriodDatesAdjustments,
CalculationPeriodsPrincipalExchangesAndStubs result,
IBusinessCalendar paymentCalendar)
{
DateTime periodEndDate = unadjustedTerminationDate;
DateTime periodStartDate;
bool isInitialStub = firstUnadjustedRegularPeriodStartDate != null;
var startDate = unadjustedStartDate;
if (isInitialStub)
{
startDate = (DateTime)firstUnadjustedRegularPeriodStartDate;
}
var isFinalStub = lastUnadjustedRegularPeriodEndDate != null;
if (isFinalStub)
{
periodStartDate = (DateTime)lastUnadjustedRegularPeriodEndDate;
}
else
{
periodStartDate = AddPeriod(periodEndDate, IntervalHelper.FromFrequency(frequency), -1);
}
var isFirstPeriod = true;
do
{
var calculationPeriod = Create(periodStartDate, periodEndDate, frequency,
calculationPeriodDatesAdjustments, paymentCalendar, isFirstPeriod);
isFirstPeriod = false;
//adjust for roll convention.
periodStartDate = calculationPeriod.unadjustedStartDate;
periodEndDate = calculationPeriod.unadjustedEndDate;
if (isFinalStub)//Always at least one period.
{
result.FinalStubCalculationPeriod = calculationPeriod;
periodEndDate = periodStartDate;
periodStartDate = AddPeriod(periodEndDate, IntervalHelper.FromFrequency(frequency), -1);
isFinalStub = false;
}
else if (calculationPeriod.unadjustedStartDate.Date >= startDate.Date)
{
result.Add(calculationPeriod);
periodEndDate = periodStartDate;
periodStartDate = AddPeriod(periodEndDate, IntervalHelper.FromFrequency(frequency), -1);
}
else if (calculationPeriod.unadjustedStartDate.Date == startDate.Date)//first period - not stub
{
result.Add(calculationPeriod);
break;
}
else if (calculationPeriod.unadjustedStartDate.Date < startDate.Date)//first period - not stub
{
var number = result.CalculationPeriods.Count;
result.CalculationPeriods[number - 1].unadjustedStartDate = startDate.Date;
result.CalculationPeriods[number - 1].adjustedStartDate = startDate.Date;
break;
}
if (calculationPeriod.unadjustedEndDate.Date <= startDate.Date)//first period - not stub
{
break;
}
} while (true);
if (isInitialStub)//TODO -Fix the unadjustedstartdate which is affected by the roll convention.
{
var calculationPeriod = CreateStub(unadjustedStartDate, startDate.Date,
calculationPeriodDatesAdjustments, paymentCalendar);
result.InitialStubCalculationPeriod = calculationPeriod;
}
}
//<Interval, Interval, RollConventionEnum>
/// <summary>
/// With custom roll schedule
/// </summary>
/// <param name="startDate"></param>
/// <param name="endDate"></param>
/// <param name="rollsMetaSchedule"></param>
/// <param name="backwardGeneration"></param>
/// <returns></returns>
public static List <DateTime> GetUnadjustedDates3(DateTime startDate, DateTime endDate,
List <MetaScheduleItem> rollsMetaSchedule,
bool backwardGeneration)
{
var results = new List <DateTime>();
if (backwardGeneration)//from end date to start date
{
// reverse the meta schedule
//
var reversedRollsMetaScheduleParam = new List <MetaScheduleItem>(rollsMetaSchedule);
reversedRollsMetaScheduleParam.Reverse();
var offsetFromPrevScheduleItem = 0;
foreach (var metaScheduleItem in reversedRollsMetaScheduleParam)
{
var numberOfRolls = (int)IntervalHelper.Div(metaScheduleItem.Period, metaScheduleItem.RollFrequency);
if (metaScheduleItem.RollFrequency.period != PeriodEnum.M)
{
throw new System.Exception("Month periods are the only ones supported.");
}
var rollsEveryNMonths = int.Parse(metaScheduleItem.RollFrequency.periodMultiplier);
var rollNumber = 1;
var offsetInMonths = 0;
while (numberOfRolls-- > 0)
{
offsetInMonths = rollNumber * rollsEveryNMonths;
var rollDateUnadjusted = endDate.AddMonths(-offsetInMonths + offsetFromPrevScheduleItem);
var rollDateRollAdjusted = RollConventionEnumHelper.AdjustDate(metaScheduleItem.RollConvention, rollDateUnadjusted);
results.Insert(0, rollDateRollAdjusted);
++rollNumber;
}
offsetFromPrevScheduleItem -= offsetInMonths;
}
results.Insert(0, startDate);
results.Add(endDate);
}
else//from start date to end date.
{
//DateTime rollDate = startDate;
results.Add(startDate);
var offsetFromPrevScheduleItem = 0;
foreach (var metaScheduleItem in rollsMetaSchedule)
{
var numberOfRolls = (int)IntervalHelper.Div(metaScheduleItem.Period, metaScheduleItem.RollFrequency);
if (metaScheduleItem.RollFrequency.period != PeriodEnum.M)
{
throw new System.Exception("Month periods are the only ones supported.");
}
var rollsEveryNMonths = int.Parse(metaScheduleItem.RollFrequency.periodMultiplier);
var rollNumber = 1;
var offsetInMonths = 0;
while (numberOfRolls-- > 0)
{
offsetInMonths = rollNumber * rollsEveryNMonths;
var rollDateUnadjusted = startDate.AddMonths(offsetInMonths + +offsetFromPrevScheduleItem);
var rollDateRollAdjusted = RollConventionEnumHelper.AdjustDate(metaScheduleItem.RollConvention, rollDateUnadjusted);
results.Add(rollDateRollAdjusted);
++rollNumber;
}
offsetFromPrevScheduleItem += offsetInMonths;
}
results.Add(endDate);
}
return(RemoveDuplicates(results));
}
/// <summary>
/// Gets the unadjusted dates.
/// </summary>
/// <param name="metaScheduleDefinition">The meta schedule definition.</param>
/// <param name="startDate">The start date.</param>
/// <param name="endDate">The end date.</param>
/// <param name="defaultInterval">The default interval.</param>
/// <param name="defaultRollConvention">The default roll convention.</param>
/// <param name="fromStartDate">if set to <c>true</c> [from start date].</param>
/// <returns></returns>
public static DateTime[] GetUnadjustedDates
(List <Triplet <Period, Period, RollConventionEnum> > metaScheduleDefinition
, DateTime startDate
, DateTime endDate
, Period defaultInterval
, RollConventionEnum defaultRollConvention
, Boolean fromStartDate
)
{
DateTime firstReg;
DateTime lastReg;
var result = new List <DateTime>();
List <DateTime> additionalDates;
DateTime fromDate = startDate;
DateTime toDate = endDate;
int intervalMulitplier = 1;
if (!fromStartDate)
{
fromDate = endDate;
toDate = startDate;
intervalMulitplier = intervalMulitplier * -1;
}
var offsetsFromStartDateForRollPeriods = new List <Pair <Period, RollConventionEnum> >();
foreach (var metaScheduleEntry in metaScheduleDefinition)
{
var numberOfRolls = (int)IntervalHelper.Div(metaScheduleEntry.Second, metaScheduleEntry.First);
if (numberOfRolls == 0)
{
throw new System.Exception("Invalid period interval specified. The period interval is greater than the duration interval");
}
if (!fromStartDate)
{
metaScheduleEntry.First.periodMultiplier = (Convert.ToInt32(metaScheduleEntry.First.periodMultiplier) * intervalMulitplier).ToString(CultureInfo.InvariantCulture);
}
while (numberOfRolls-- > 0)
{
offsetsFromStartDateForRollPeriods.Add(new Pair <Period, RollConventionEnum>(metaScheduleEntry.First, metaScheduleEntry.Third));
}
}
if (offsetsFromStartDateForRollPeriods.Count > 0)
{
// Generates dates from a list of intervals expressed as offsets.
DateTime referenceDate = fromDate;
foreach (var offset in offsetsFromStartDateForRollPeriods)
{
if (referenceDate == fromDate)
{
result.Add(fromDate);
}
DateTime rollDateUnadjusted = offset.First.Add(referenceDate);
DateTime rollConventionDate = DateScheduler.ApplyRollConventionToDate(offset.Second, rollDateUnadjusted);
if ((fromStartDate && rollConventionDate > toDate) || (!fromStartDate && rollConventionDate < toDate))
{
result.Add(toDate);
break;
}
result.Add(rollConventionDate);
referenceDate = rollDateUnadjusted;
}
// if end date falls after the meta data schedule provided use the defaults
if (result.Count > 0)
{
if ((fromStartDate && result[result.Count - 1] < toDate) || (!fromStartDate && result[result.Count - 1] > toDate))
{
if (result[result.Count - 1] < endDate)
{
additionalDates = fromStartDate ? new List <DateTime>(DateScheduler.GetUnadjustedDatesFromEffectiveDate(result[result.Count - 1], toDate, defaultInterval, defaultRollConvention, out firstReg, out lastReg)) : new List <DateTime>(DateScheduler.GetUnadjustedDatesFromTerminationDate(toDate, result[result.Count - 1], defaultInterval, defaultRollConvention, out firstReg, out lastReg));
result.AddRange(additionalDates);
result.Sort();
}
}
}
}
else
{
additionalDates = fromStartDate ? new List <DateTime>(DateScheduler.GetUnadjustedDatesFromEffectiveDate(startDate, toDate, defaultInterval, defaultRollConvention, out firstReg, out lastReg)) : new List <DateTime>(DateScheduler.GetUnadjustedDatesFromTerminationDate(startDate, toDate, defaultInterval, defaultRollConvention, out firstReg, out lastReg));
result.AddRange(additionalDates);
}
result = RemoveDuplicates(result);
result.Sort();
return(result.ToArray());
}
public static CalculationPeriodsPrincipalExchangesAndStubs GenerateCalculationPeriodsPrincipalExchangesAndStubs(
InterestRateStream interestRateStream, IBusinessCalendar fixingCalendar, IBusinessCalendar paymentCalendar)
{
CalculationPeriodDates calculationPeriodDates = interestRateStream.calculationPeriodDates;
AdjustableDate adjustableEffectiveDate = XsdClassesFieldResolver.CalculationPeriodDatesGetEffectiveDate(calculationPeriodDates);
AdjustableDate adjustableTerminationDate = XsdClassesFieldResolver.CalculationPeriodDatesGetTerminationDate(calculationPeriodDates);
AdjustableDate adjustableFirstPeriodDate = adjustableEffectiveDate;
DateTime?firstRegularPeriodStartDate =
XsdClassesFieldResolver.CalculationPeriodDatesGetFirstRegularPeriodStartDate(calculationPeriodDates);
var tempDate = XsdClassesFieldResolver.CalculationPeriodDatesGetFirstPeriodStartDate(calculationPeriodDates);
if (tempDate != null && firstRegularPeriodStartDate != null)
{
adjustableFirstPeriodDate = tempDate;
Frequency frequency = calculationPeriodDates.calculationPeriodFrequency;
var startDate = CalculationPeriodGenerator.AddPeriod((DateTime)firstRegularPeriodStartDate, IntervalHelper.FromFrequency(frequency), -1);
adjustableFirstPeriodDate.unadjustedDate = IdentifiedDateHelper.Create(startDate);
}
DateTime?lastRegularPeriodEndDate =
XsdClassesFieldResolver.CalculationPeriodDatesGetLastRegularPeriodEndDate(calculationPeriodDates);
// This assumes automatic adjustment of calculationperiods.
CalculationPeriodsPrincipalExchangesAndStubs result = CalculationPeriodGenerator.GenerateAdjustedCalculationPeriods(
adjustableFirstPeriodDate.unadjustedDate.Value,
adjustableTerminationDate.unadjustedDate.Value,
firstRegularPeriodStartDate,
lastRegularPeriodEndDate,
calculationPeriodDates.calculationPeriodFrequency,
calculationPeriodDates.calculationPeriodDatesAdjustments,
paymentCalendar);
//Determine whether the reset dates must be calcuated.
Calculation calculation = XsdClassesFieldResolver.CalculationPeriodAmountGetCalculation(interestRateStream.calculationPeriodAmount);
// Add principle exchanges if this need is defined in parametric representation of the interest rate steam.
//
if (null != interestRateStream.principalExchanges)
{
//if (paymentCalendar == null)
//{
// paymentCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, adjustableEffectiveDate.dateAdjustments.businessCenters);
//}
// Initial PE
//
if (interestRateStream.principalExchanges.initialExchange)
{
PrincipalExchange initialExchange = PrincipalExchangeHelper.Create(AdjustedDateHelper.ToAdjustedDate(paymentCalendar, adjustableEffectiveDate));
result.InitialPrincipalExchange = initialExchange;
}
// intermediatory PE
//
if (interestRateStream.principalExchanges.intermediateExchange)
{
// Generate a list of intermediatory PE exchanges
//
Notional notionalSchedule = XsdClassesFieldResolver.CalculationGetNotionalSchedule(calculation);
if (null != notionalSchedule.notionalStepSchedule.step)//there should be steps - otherwise NO interm. exchanges.
{
foreach (DateTime stepDate in ScheduleHelper.GetStepDates(notionalSchedule.notionalStepSchedule))
{
PrincipalExchange intermediatoryExchange = PrincipalExchangeHelper.Create(stepDate);
result.Add(intermediatoryExchange);
}
}
}
// Final PE
// Assume the same calendar is used for the termination date as well!
if (interestRateStream.principalExchanges.finalExchange)
{
PrincipalExchange finalExchange = PrincipalExchangeHelper.Create(AdjustedDateHelper.ToAdjustedDate(paymentCalendar, adjustableTerminationDate));
result.FinalPrincipalExchange = finalExchange;
}
}
//Only does upfront resetRelativeTo start date.
if (interestRateStream.resetDates != null && calculation.Items[0].GetType() == typeof(FloatingRateCalculation))
{
//Get the fixing date convention.
var fixingDateConvention = interestRateStream.resetDates.resetDatesAdjustments;
//if (fixingCalendar == null)
//{
// fixingCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, fixingDateConvention.businessCenters);
//}
foreach (var calculationPeriod in result.CalculationPeriods)
{
if (calculationPeriod.adjustedStartDateSpecified)
{
//Set the adjusted fixing date.
var adjustedFixingDate = AdjustedDateHelper.ToAdjustedDate(fixingCalendar, calculationPeriod.adjustedStartDate,
fixingDateConvention);
var floatingRateDefinition = new FloatingRateDefinition();
var rateObservation = new RateObservation
{
observedRateSpecified = false,
adjustedFixingDateSpecified = true,
adjustedFixingDate = adjustedFixingDate
};
floatingRateDefinition.rateObservation = new[] { rateObservation };
calculationPeriod.Item1 = floatingRateDefinition;
}
}
//The initial stub period.
if (result.InitialStubCalculationPeriod != null)
{
if (result.InitialStubCalculationPeriod.adjustedStartDateSpecified)
{
//Set the adjusted fixing date.
var adjustedFixingDate = AdjustedDateHelper.ToAdjustedDate(fixingCalendar, result.InitialStubCalculationPeriod.adjustedStartDate,
fixingDateConvention);
var floatingRateDefinition = new FloatingRateDefinition();
var rateObservation = new RateObservation
{
observedRateSpecified = false,
adjustedFixingDateSpecified = true,
adjustedFixingDate = adjustedFixingDate
};
floatingRateDefinition.rateObservation = new[] { rateObservation };
result.InitialStubCalculationPeriod.Item1 = floatingRateDefinition;
}
}
//The final stub period
if (result.FinalStubCalculationPeriod != null)
{
if (result.FinalStubCalculationPeriod.adjustedStartDateSpecified)
{
//Set the adjusted fixing date.
var adjustedFixingDate = AdjustedDateHelper.ToAdjustedDate(fixingCalendar, result.FinalStubCalculationPeriod.adjustedStartDate,
fixingDateConvention);
var floatingRateDefinition = new FloatingRateDefinition();
var rateObservation = new RateObservation
{
observedRateSpecified = false,
adjustedFixingDateSpecified = true,
adjustedFixingDate = adjustedFixingDate
};
floatingRateDefinition.rateObservation = new[] { rateObservation };
result.FinalStubCalculationPeriod.Item1 = floatingRateDefinition;
}
}
}
return(result);
}