public void CoupdaysNc_ShouldReturnNumberOfDays_ActualActual()
{
var settlement = new DateTime(2016, 02, 01);
var maturity = new DateTime(2019, 5, 31);
var func = new CoupdaysncImpl(
FinancialDayFactory.Create(settlement, DayCountBasis.Actual_Actual),
FinancialDayFactory.Create(maturity, DayCountBasis.Actual_Actual),
4,
DayCountBasis.Actual_Actual
);
var result = func.Coupdaysnc();
Assert.AreEqual(28d, result.Result);
settlement = new DateTime(2016, 05, 30);
maturity = new DateTime(2019, 5, 31);
func = new CoupdaysncImpl(
FinancialDayFactory.Create(settlement, DayCountBasis.Actual_Actual),
FinancialDayFactory.Create(maturity, DayCountBasis.Actual_Actual),
4,
DayCountBasis.Actual_Actual
);
result = func.Coupdaysnc();
Assert.AreEqual(1d, result.Result);
}
public void CoupdaysNc_ShouldReturnNumberOfDays_Us_30_360()
{
var settlement = new DateTime(2016, 02, 01);
var maturity = new DateTime(2019, 5, 31);
var func = new CoupdaysncImpl(
FinancialDayFactory.Create(settlement, DayCountBasis.US_30_360),
FinancialDayFactory.Create(maturity, DayCountBasis.US_30_360),
4,
DayCountBasis.US_30_360
);
var result = func.Coupdaysnc();
Assert.AreEqual(29d, result.Result);
settlement = new DateTime(2016, 05, 30);
maturity = new DateTime(2019, 5, 31);
func = new CoupdaysncImpl(
FinancialDayFactory.Create(settlement, DayCountBasis.US_30_360),
FinancialDayFactory.Create(maturity, DayCountBasis.US_30_360),
4,
DayCountBasis.US_30_360
);
result = func.Coupdaysnc();
Assert.AreEqual(0d, result.Result);
settlement = new DateTime(2018, 08, 01);
maturity = new DateTime(2019, 03, 15);
func = new CoupdaysncImpl(
FinancialDayFactory.Create(settlement, DayCountBasis.US_30_360),
FinancialDayFactory.Create(maturity, DayCountBasis.US_30_360),
4,
DayCountBasis.US_30_360
);
result = func.Coupdaysnc();
Assert.AreEqual(44d, result.Result);
// NB! Excel returns 29 on this one. Google sheets returns 28. As far as we can see it should be
// 28, so that's how we have implemented it in EPPlus
settlement = new DateTime(2018, 08, 01);
maturity = new DateTime(2020, 02, 29);
func = new CoupdaysncImpl(
FinancialDayFactory.Create(settlement, DayCountBasis.US_30_360),
FinancialDayFactory.Create(maturity, DayCountBasis.US_30_360),
4,
DayCountBasis.US_30_360
);
result = func.Coupdaysnc();
Assert.AreEqual(28d, result.Result);
}
public void CoupdaysNc_ShouldReturnNumberOfDays_European_30_360()
{
var settlement = new DateTime(2016, 02, 01);
var maturity = new DateTime(2019, 5, 31);
var func = new CoupdaysncImpl(
FinancialDayFactory.Create(settlement, DayCountBasis.European_30_360),
FinancialDayFactory.Create(maturity, DayCountBasis.European_30_360),
4,
DayCountBasis.European_30_360
);
var result = func.Coupdaysnc();
Assert.AreEqual(28d, result.Result);
settlement = new DateTime(2016, 05, 30);
maturity = new DateTime(2019, 5, 31);
func = new CoupdaysncImpl(
FinancialDayFactory.Create(settlement, DayCountBasis.European_30_360),
FinancialDayFactory.Create(maturity, DayCountBasis.European_30_360),
4,
DayCountBasis.European_30_360
);
result = func.Coupdaysnc();
Assert.AreEqual(0d, result.Result);
settlement = new DateTime(2018, 08, 01);
maturity = new DateTime(2019, 03, 15);
func = new CoupdaysncImpl(
FinancialDayFactory.Create(settlement, DayCountBasis.European_30_360),
FinancialDayFactory.Create(maturity, DayCountBasis.European_30_360),
4,
DayCountBasis.European_30_360
);
result = func.Coupdaysnc();
Assert.AreEqual(44d, result.Result);
}
protected override FinanceCalcResult <double> ExecuteFunction(FinancialDay settlementDate, FinancialDay maturityDate, int frequency, DayCountBasis basis = DayCountBasis.US_30_360)
{
var impl = new CoupdaysncImpl(settlementDate, maturityDate, frequency, basis);
return(impl.Coupdaysnc());
}
