/// <summary>
/// A slightly ore complicated date scheduler.
/// </summary>
/// <param name="startDate"></param>
/// <param name="endDate"></param>
/// <param name="rollsMetaSchedule"></param>
/// <param name="backwardGeneration"></param>
/// <param name="businessDayAdjustments"></param>
/// <param name="businessCalendar"></param>
/// <returns></returns>
public static List <DateTime> GetAdjustedDates3(DateTime startDate, DateTime endDate, List <MetaScheduleItem> rollsMetaSchedule,
bool backwardGeneration, BusinessDayAdjustments businessDayAdjustments, IBusinessCalendar businessCalendar)
{
var unadjustedDates = DatesMetaSchedule.GetUnadjustedDates3(startDate, endDate, rollsMetaSchedule, backwardGeneration);
return(unadjustedDates.Select(date => AdjustedDateHelper.ToAdjustedDate(businessCalendar, date, businessDayAdjustments)).ToList());
}
///<summary>
/// Gets the adjusted dates from a provided date schedule.
///</summary>
///<param name="metaScheduleDefinition"></param>
///<param name="startDate"></param>
///<param name="businessDayAdjustments"></param>
///<param name="businessCalendar"></param>
///<returns></returns>
public static List <DateTime> GetAdjustedDates(List <Triplet <Period, Period, RollConventionEnum> > metaScheduleDefinition,
DateTime startDate, BusinessDayAdjustments businessDayAdjustments, IBusinessCalendar businessCalendar)
{
var unadjustedDates = DatesMetaSchedule.GetUnadjustedDates(metaScheduleDefinition, startDate);
return(unadjustedDates.Select(date => AdjustedDateHelper.ToAdjustedDate(businessCalendar, date, businessDayAdjustments)).ToList());
}
/// <summary>
/// A simple date scheduler.
/// </summary>
/// <param name="startDate"></param>
/// <param name="endDate"></param>
/// <param name="interval"></param>
/// <param name="rollConventionEnum"></param>
/// <param name="backwardGeneration"></param>
/// <param name="businessDayAdjustments"></param>
/// <param name="businessCalendar"></param>
/// <returns></returns>
public static List <DateTime> GetAdjustedDates2(DateTime startDate, DateTime endDate, Period interval, RollConventionEnum rollConventionEnum,
bool backwardGeneration, BusinessDayAdjustments businessDayAdjustments, IBusinessCalendar businessCalendar)
{
var unadjustedDates = DatesMetaSchedule.GetUnadjustedDates2(startDate, endDate, interval, rollConventionEnum, backwardGeneration);
return(unadjustedDates.Select(date => AdjustedDateHelper.ToAdjustedDate(businessCalendar, date, businessDayAdjustments)).ToList());
}
/// <summary>
/// Gets a dates schedule.
/// </summary>
/// <param name="metaScheduleDefinitionRange"></param>
/// <param name="startDate"></param>
/// <param name="calendar"></param>
/// <param name="businessCentreAsString">This should not be blank.</param>
/// <param name="businessDayAdjustment">This should not be blank.</param>
/// <returns></returns>
public static DateTime[] GetDatesSchedule(List <ThreeStringsRangeItem> metaScheduleDefinitionRange,
DateTime startDate,
IBusinessCalendar calendar,
string businessCentreAsString,
string businessDayAdjustment)
{
var metaScheduleDefinition = metaScheduleDefinitionRange.Select(item => new Triplet <Period, Period, RollConventionEnum>(PeriodHelper.Parse(item.Value1), PeriodHelper.Parse(item.Value2), RollConventionEnumHelper.Parse(item.Value3))).ToList();
List <DateTime> resultAsListOfDates;
if (calendar == null)
{
resultAsListOfDates = DatesMetaSchedule.GetUnadjustedDates(metaScheduleDefinition, startDate);
}
if (String.IsNullOrEmpty(businessCentreAsString) | String.IsNullOrEmpty(businessDayAdjustment))
{
resultAsListOfDates = DatesMetaSchedule.GetUnadjustedDates(metaScheduleDefinition, startDate);
}
else
{
var businessDayAdjustments = BusinessDayAdjustmentsHelper.Create(businessDayAdjustment, businessCentreAsString);
resultAsListOfDates = GetAdjustedDates(metaScheduleDefinition, startDate, businessDayAdjustments, calendar);
}
var result = resultAsListOfDates.ToArray();
return(result);
}
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);
}
public void GetUnadjustedDates()
{
DateTime startDate = DateTime.Today;
Debug.Print("Start date: {0}", startDate);
List<DateTime> unadjustedDates = DatesMetaSchedule.GetUnadjustedDates(DatesScheduleGeneratorTests.GetMetaScheduleDefinition(), startDate);
PrintListOfDates(unadjustedDates);
}
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 GetUnadjustedDatesfromStartToEndDate()
{
DateTime startDate = DateTime.Today;
DateTime endDate = new DateTime(startDate.Year + 15, startDate.Month, startDate.Day);
Debug.Print("Start date: {0}", startDate);
Debug.Print("End date: {0}", endDate);
DateTime[] unadjustedDates = DatesMetaSchedule.GetUnadjustedDates(GetMetaScheduleDefinition2(), startDate, endDate, PeriodHelper.Parse("1Y"), RollConventionEnumHelper.Parse("17"), true);
PrintListOfDates(new List<DateTime>(unadjustedDates));
}
///<summary>
///</summary>
///<param name="termsRange"></param>
///<param name="metaScheduleDefinitionRange"></param>
///<param name="paymentCalendar"></param>
///<returns></returns>
public static List <AmortisingResultItem> GenerateCashflowSchedule(BillsSwapPricer2TermsRange termsRange,
List <MetaScheduleRangeItem> metaScheduleDefinitionRange, IBusinessCalendar paymentCalendar)
{
RollConventionEnum rollConventionEnum = RollConventionEnumHelper.Parse(termsRange.RollDay);
BusinessDayAdjustments businessDayAdjustments = BusinessDayAdjustmentsHelper.Create(termsRange.DateRollConvention, termsRange.Calendar);
bool backwardGeneration = (termsRange.BuildDates.ToLower() == "backward");
List <DateTime> adjustedDatesResult;
List <DateTime> unadjustedDatesResult;
if (termsRange.RollFrequency.ToLower().Contains("custom"))
{
var rollsMetaSchedule = metaScheduleDefinitionRange.Select(item => new MetaScheduleItem
{
RollFrequency = PeriodHelper.Parse(item.RollFrequency), Period = PeriodHelper.Parse(item.Period), RollConvention = RollConventionEnumHelper.Parse(item.RollConvention)
}).ToList();
unadjustedDatesResult = DatesMetaSchedule.GetUnadjustedDates3(termsRange.StartDate, termsRange.EndDate,
rollsMetaSchedule, backwardGeneration);
adjustedDatesResult = AdjustedDatesMetaSchedule.GetAdjustedDates3(termsRange.StartDate, termsRange.EndDate,
rollsMetaSchedule, backwardGeneration, businessDayAdjustments, paymentCalendar);
}
else
{
Period interval = PeriodHelper.Parse(termsRange.RollFrequency);
unadjustedDatesResult = DatesMetaSchedule.GetUnadjustedDates2(termsRange.StartDate, termsRange.EndDate,
interval, rollConventionEnum, backwardGeneration);
adjustedDatesResult = AdjustedDatesMetaSchedule.GetAdjustedDates2(termsRange.StartDate, termsRange.EndDate,
interval, rollConventionEnum, backwardGeneration, businessDayAdjustments, paymentCalendar);
}
var result = new List <AmortisingResultItem>();
for (int i = 0; i < adjustedDatesResult.Count; i++)
{
DateTime adjustedTime = adjustedDatesResult[i];
DateTime unadjustedTime = unadjustedDatesResult[i];
var amortisingResultItem = new AmortisingResultItem
{
WasRolled = (adjustedTime == unadjustedTime) ? "No" : "Yes",
RollDate = adjustedTime,
AmortisingAmount = 0,
OutstandingValue = termsRange.FaceValue
};
result.Add(amortisingResultItem);
}
return(result);
}
