public override CompileResult Execute(IEnumerable <FunctionArgument> arguments, ParsingContext context)
{
ValidateArguments(arguments, 6);
var settlementDate = System.DateTime.FromOADate(ArgToInt(arguments, 0));
var maturityDate = System.DateTime.FromOADate(ArgToInt(arguments, 1));
var rate = ArgToDecimal(arguments, 2);
var yield = ArgToDecimal(arguments, 3);
var redemption = ArgToDecimal(arguments, 4);
var frequency = ArgToInt(arguments, 5);
var basis = 0;
if (arguments.Count() >= 7)
{
basis = ArgToInt(arguments, 6);
}
// validate input
if ((settlementDate > maturityDate) || rate < 0 || yield < 0 || redemption <= 0 || (frequency != 1 && frequency != 2 && frequency != 4) || (basis < 0 || basis > 4))
{
return(CreateResult(eErrorType.Num));
}
var result = PriceImpl.GetPrice(FinancialDayFactory.Create(settlementDate, (DayCountBasis)basis), FinancialDayFactory.Create(maturityDate, (DayCountBasis)basis), rate, yield, redemption, frequency, (DayCountBasis)basis);
if (result.HasError)
{
return(CreateResult(result.ExcelErrorType));
}
return(CreateResult(result.Result, DataType.Decimal));
}
public void Couppcd_ShouldReturnCorrectDate_ActualActual()
{
// No need for tests per DayCountBasis here.
var settlement = new DateTime(2017, 05, 30);
var maturity = new DateTime(2020, 05, 31);
var func = new CouppcdImpl(
FinancialDayFactory.Create(settlement, DayCountBasis.Actual_Actual),
FinancialDayFactory.Create(maturity, DayCountBasis.Actual_Actual),
4,
DayCountBasis.Actual_Actual
);
var result = func.GetCouppcd();
Assert.AreEqual(new System.DateTime(2017, 2, 28), result.Result);
settlement = new DateTime(2016, 02, 01);
maturity = new DateTime(2019, 5, 31);
func = new CouppcdImpl(
FinancialDayFactory.Create(settlement, DayCountBasis.Actual_Actual),
FinancialDayFactory.Create(maturity, DayCountBasis.Actual_Actual),
4,
DayCountBasis.Actual_Actual
);
result = func.GetCouppcd();
Assert.AreEqual(new System.DateTime(2015, 11, 30), result.Result);
}
public override CompileResult Execute(IEnumerable <FunctionArgument> arguments, ParsingContext context)
{
ValidateArguments(arguments, 3);
var settlementDate = System.DateTime.FromOADate(ArgToInt(arguments, 0));
var maturityDate = System.DateTime.FromOADate(ArgToInt(arguments, 1));
var frequency = ArgToInt(arguments, 2);
var basis = 0;
if (arguments.Count() >= 4)
{
basis = ArgToInt(arguments, 3);
}
// validate input
if ((settlementDate > maturityDate) || (frequency != 1 && frequency != 2 && frequency != 4) || (basis < 0 || basis > 4))
{
return(CreateResult(eErrorType.Num));
}
var result = ExecuteFunction(FinancialDayFactory.Create(settlementDate, (DayCountBasis)basis), FinancialDayFactory.Create(maturityDate, (DayCountBasis)basis), frequency, (DayCountBasis)basis);
if (result.HasError)
{
return(CreateResult(result.ExcelErrorType));
}
if (typeof(T) == typeof(System.DateTime))
{
return(CreateResult(Convert.ToDateTime(result.Result).ToOADate(), DataType.Date));
}
return(CreateResult(result.Result, result.DataType));
}
public void Coupdaybs_ShouldReturnCorrectResult_Actual_360()
{
var settlement = new DateTime(2018, 12, 01);
var maturity = new DateTime(2019, 3, 15);
var func = new CoupdaybsImpl(
FinancialDayFactory.Create(settlement, DayCountBasis.Actual_360),
FinancialDayFactory.Create(maturity, DayCountBasis.Actual_360),
4,
DayCountBasis.Actual_360
);
var result = func.Coupdaybs();
Assert.AreEqual(77, result.Result);
settlement = new DateTime(2016, 02, 01);
maturity = new DateTime(2019, 05, 31);
func = new CoupdaybsImpl(
FinancialDayFactory.Create(settlement, DayCountBasis.Actual_360),
FinancialDayFactory.Create(maturity, DayCountBasis.Actual_360),
2,
DayCountBasis.Actual_360
);
result = func.Coupdaybs();
Assert.AreEqual(63, result.Result);
}
public void Coupnum_ShouldReturnNumberOfDays_ActualActual()
{
// No need for tests per DayCountBasis here.
var settlement = new DateTime(2016, 02, 01);
var maturity = new DateTime(2019, 3, 15);
var func = new CoupnumImpl(
FinancialDayFactory.Create(settlement, DayCountBasis.Actual_Actual),
FinancialDayFactory.Create(maturity, DayCountBasis.Actual_Actual),
4,
DayCountBasis.Actual_Actual
);
var result = func.GetCoupnum();
Assert.AreEqual(13d, result.Result);
settlement = new DateTime(2018, 12, 01);
maturity = new DateTime(2019, 5, 31);
func = new CoupnumImpl(
FinancialDayFactory.Create(settlement, DayCountBasis.Actual_Actual),
FinancialDayFactory.Create(maturity, DayCountBasis.Actual_Actual),
2,
DayCountBasis.Actual_Actual
);
result = func.GetCoupnum();
Assert.AreEqual(1d, result.Result);
}
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 Coupdays_ShouldReturnNumberOfDays_European_Actual_360()
{
var settlement = new DateTime(2012, 2, 29);
var maturity = new DateTime(2019, 3, 15);
var func = new CoupdaysImpl(
FinancialDayFactory.Create(settlement, DayCountBasis.European_30_360),
FinancialDayFactory.Create(maturity, DayCountBasis.European_30_360),
4,
DayCountBasis.European_30_360
);
var result = func.GetCoupdays();
Assert.AreEqual(90d, result.Result);
settlement = new DateTime(2017, 2, 1);
maturity = new DateTime(2019, 5, 31);
func = new CoupdaysImpl(
FinancialDayFactory.Create(settlement, DayCountBasis.European_30_360),
FinancialDayFactory.Create(maturity, DayCountBasis.European_30_360),
4,
DayCountBasis.European_30_360
);
result = func.GetCoupdays();
Assert.AreEqual(90d, result.Result);
}
public double GetPrice(System.DateTime settlement, System.DateTime maturity, double rate, double yield, double redemption, int frequency, DayCountBasis basis = DayCountBasis.US_30_360)
{
return(PriceImpl.GetPrice(
FinancialDayFactory.Create(settlement, basis),
FinancialDayFactory.Create(maturity, basis),
rate,
yield,
redemption,
frequency,
basis).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);
}
public double GetCoupdaybs(System.DateTime settlement, System.DateTime maturity, int frequency, DayCountBasis basis)
{
var func = new CoupdaybsImpl(FinancialDayFactory.Create(settlement, basis), FinancialDayFactory.Create(maturity, basis), frequency, basis);
return(func.Coupdaybs().Result);
}
