public Schedule()
{
StartDate = new BusinessDate();
EndDate = new BusinessDate();
Frequency = new Frequency();
Duration = 1;
Roll = RollConvention.NONE;
Stub = Stub.NONE;
Dates = new List <BusinessDate>();
Periods = new List <Period>();
}
private void Generate(BusinessDate startDate, BusinessDate endDate,
int duration, Frequency freq, RollConvention roll, Stub stub)
{
StartDate = startDate;
EndDate = endDate;
Duration = duration;
Frequency = freq;
Roll = roll;
Stub = stub;
Dates = new List <BusinessDate>();
Periods = new List <Period>();
Create();
}
public void Create(BusinessDate startDate, BusinessDate endDate,
int duration, Frequency freq,
RollConvention roll = RollConvention.NONE, Stub stub = Stub.NONE)
{
StartDate = startDate;
EndDate = endDate;
Duration = duration;
Frequency = freq;
Roll = roll;
Stub = stub;
Dates = new List <BusinessDate>();
Periods = new List <Period>();
Create();
}
public BusinessDate AdjustEndDate(BusinessDate bd)
{
var rd = new BusinessDate(bd);
switch (Roll)
{
case RollConvention.EOM:
rd.Date = bd.Date.Last();
break;
case RollConvention.FRN:
rd.Convention = BusinessConvention.MODFOLLOWING;
rd = rd.AdjustDate();
break;
case RollConvention.IMM:
rd.Date = bd.Find(3, DayOfWeek.Wednesday);
break;
case RollConvention.IMMCAD:
rd.Date = new BusinessDate(bd.Find(3, DayOfWeek.Monday), new Calendar("GBP", "CAD"));
break;
case RollConvention.SFE:
rd.Date = bd.Find(2, DayOfWeek.Friday);
break;
case RollConvention.TBILL:
rd = new BusinessDate(bd.Next(DayOfWeek.Monday), new Calendar("USD"));
break;
case RollConvention.SUN:
case RollConvention.MON:
case RollConvention.TUE:
case RollConvention.WED:
case RollConvention.THU:
case RollConvention.FRI:
case RollConvention.SAT:
rd.Date = bd.Date.Next((DayOfWeek)Roll);
break;
}
return(rd);
}
public Schedule(BusinessDate startDate, BusinessDate endDate,
Frequency freq, RollConvention roll = RollConvention.NONE, Stub stub = Stub.NONE)
{
Create(startDate, endDate, 1, freq, roll, stub);
}
public Period(BusinessDate startDate, BusinessDate endDate)
{
StartDate = startDate;
EndDate = endDate;
}
int ISchedule.Create(BusinessDate startDate, BusinessDate endDate,
Frequency freq, RollConvention roll, Stub stub)
{
Generate(startDate, endDate, 1, freq, roll, stub);
return(Dates.Count);
}
int ISchedule.Create(BusinessDate startDate, BusinessDate endDate,
int duration, Frequency unit, RollConvention roll, Stub stub)
{
Generate(startDate, endDate, duration, unit, roll, stub);
return(Dates.Count);
}
private void Create()
{
int duration = Duration;
int sign = 1;
Del compare = (a, b) => a < b;
var ndt = new BusinessDate(StartDate);
var pdt = new BusinessDate(StartDate);
BusinessDate beginDate = StartDate;
BusinessDate endDate = EndDate;
if ((Stub == Stub.SHORT_FIRST || Stub == Stub.LONG_FIRST))
{
sign = -1;
compare = (a, b) => a > b;
ndt = new BusinessDate(EndDate);
pdt = new BusinessDate(EndDate);
beginDate = EndDate;
endDate = StartDate;
}
int n = 1;
Dates.Add(ndt);
while (compare(ndt, endDate))
{
switch (Frequency)
{
case Frequency.DAY:
ndt = beginDate.AddDays(sign * duration * n++);
break;
case Frequency.WEEK:
duration = 7;
goto case Frequency.DAY;
case Frequency.FORTNIGHT:
duration = 14;
goto case Frequency.DAY;
case Frequency.MONTH:
ndt = beginDate.AddMonths(sign * duration * n++);
break;
case Frequency.QUARTER:
duration = 3;
goto case Frequency.MONTH;
case Frequency.SEMIANNUAL:
duration = 6;
goto case Frequency.MONTH;
case Frequency.YEAR:
ndt = beginDate.AddYears(sign * duration * n++);
break;
}
Dates.Add(ndt);
Periods.Add(new Period(pdt, ndt));
pdt = ndt;
}
if ((Stub == Stub.SHORT_FIRST || Stub == Stub.LONG_FIRST))
{
Dates[0] = StartDate;
}
else if ((Stub == Stub.SHORT_LAST || Stub == Stub.LONG_LAST))
{
Dates[Dates.Count - 1] = EndDate;
}
}
