///<summary>
///</summary>
///<param name="baseDate"></param>
///<param name="frequency"></param>
///<param name="dayCountFraction"></param>
///<returns></returns>
///<exception cref="NotImplementedException"></exception>
public static decimal PeriodFractionFromCompoundingFrequency(DateTime baseDate, CompoundingFrequencyEnum frequency, DayCountFraction dayCountFraction)
{
switch (frequency)
{
case CompoundingFrequencyEnum.Continuous:
return(0.0m);
case CompoundingFrequencyEnum.Daily:
IDayCounter dc = DayCounterHelper.Parse(dayCountFraction.Value);
return((decimal)dc.YearFraction(baseDate, baseDate.AddDays(1.0d)));
case CompoundingFrequencyEnum.Weekly:
return((decimal)1 / 52);
case CompoundingFrequencyEnum.Monthly:
return((decimal)1 / 12);
case CompoundingFrequencyEnum.Quarterly:
return((decimal)1 / 4);
case CompoundingFrequencyEnum.SemiAnnual:
return((decimal)1 / 2);
case CompoundingFrequencyEnum.Annual:
return(1.0m);
default:
throw new NotImplementedException();
}
}
/// <summary>
/// Gets the year fraction.
/// </summary>
/// <returns></returns>
public decimal[] GetYearFractions()
{
return
(new[]
{
(decimal)
DayCounterHelper.Parse(Deposit.dayCountFraction.Value).YearFraction(
AdjustedEffectiveDate, GetRiskMaturityDate())
});
}
private void SetDayCounter(ICoreCache cache, string nameSpace, string currency)
{
Instrument instrument = InstrumentDataHelper.GetInstrumentConfigurationData(cache, nameSpace, currency, "ZeroRate");
if (instrument.InstrumentNodeItem is ZeroRateNodeStruct zeroRateNode)
{
DayCounter = DayCounterHelper.Parse(zeroRateNode.DayCountFraction.Value);
}
if (DayCounter == null)
{
throw new InvalidOperationException($"DayCounter is invalid for '{currency}'");
}
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableSimpleFra"/> class.
/// </summary>
/// <param name="baseDate">The base date.</param>
/// <param name="nodeStruct"></param>
/// <param name="fixingCalendar"></param>
/// <param name="paymentCalendar"></param>
/// <param name="fixedRate">The fixed rate.</param>
public PriceableSimpleRevenueInflationSwap(DateTime baseDate, SimpleIRSwapNodeStruct nodeStruct,
IBusinessCalendar fixingCalendar, IBusinessCalendar paymentCalendar, BasicQuotation fixedRate)
: base(baseDate, nodeStruct.DateAdjustments, fixedRate)
{
Id = nodeStruct.SimpleIRSwap.id;
SimpleInflationSwap = nodeStruct.SimpleIRSwap;
SpotDateOffset = nodeStruct.SpotDate;
Calculation = nodeStruct.Calculation;
UnderlyingRateIndex = nodeStruct.UnderlyingRateIndex;
AdjustedStartDate = GetSpotDate(baseDate, fixingCalendar, SpotDateOffset);
DayCounter = DayCounterHelper.Parse(Calculation.dayCountFraction.Value);
List <DateTime> unadjustedDateSchedule = DateScheduler.GetUnadjustedDateSchedule(AdjustedStartDate, SimpleInflationSwap.term, SimpleInflationSwap.paymentFrequency);
AdjustedPeriodDates = AdjustedDateScheduler.GetAdjustedDateSchedule(unadjustedDateSchedule, nodeStruct.DateAdjustments.businessDayConvention, paymentCalendar);
}
/// <summary>
/// Gets the year fractions for dates.
/// </summary>
/// <param name="periodDates">The period dates.</param>
/// <param name="dayCountFraction">The day count fraction.</param>
/// <returns></returns>
private static decimal[] GetYearFractionsForDates(IList <DateTime> periodDates, DayCountFraction dayCountFraction)
{
var yearFractions = new List <decimal>();
int index = 0;
int periodDatesLastIndex = periodDates.Count - 1;
foreach (DateTime periodDate in periodDates)
{
if (index == periodDatesLastIndex)
{
break;
}
var yearFraction = (decimal)DayCounterHelper.Parse(dayCountFraction.Value).YearFraction(periodDate, periodDates[index + 1]);
yearFractions.Add(yearFraction);
index++;
}
return(yearFractions.ToArray());
}
/// <summary>
/// Gets the year fraction to maturity.
/// </summary>
/// <returns></returns>
public decimal GetTimeToMaturity(DateTime baseDate, DateTime maturityDate)
{
return((decimal)DayCounterHelper.ToDayCounter(DayCountFractionEnum.ACT_365_FIXED).YearFraction(baseDate, maturityDate));
}
