/// <summary>
/// Initializes a new instance of the <see cref="PriceableIceBrentFuture"/> class.
/// </summary>
/// <param name="baseDate">The base date.</param>
/// <param name="nodeStruct">The nodeStruct.</param>
/// <param name="rollCalendar">THe rollCalendar.</param>
/// <param name="fixedRate"></param>
public PriceableIceBrentFuture(DateTime baseDate, CommodityFutureNodeStruct nodeStruct,
IBusinessCalendar rollCalendar, BasicQuotation fixedRate)
: base(baseDate, nodeStruct.Future, nodeStruct.BusinessDayAdjustments, fixedRate, new Offset
{
dayType = DayTypeEnum.Business, dayTypeSpecified = true, period = PeriodEnum.D, periodMultiplier = "0",
periodSpecified = true
})
{
Id = nodeStruct.Future.id;
Future = nodeStruct.Future;
PriceQuoteUnits = nodeStruct.PriceQuoteUnits;
ModelIdentifier = "CommoditiesFuturesAsset";
SettlementBasis = "EFP Delivery with an option to cash settle.";
ContractSeries = "Monthly";
var idParts = Id.Split('-');
//var exchangeCommodityName = idParts[2];
var immCode = idParts[3];
//Only the relative rolls.
if (int.TryParse(immCode, out var intResult))
{
var lastTradingDay = new FirstDayLessFifteen().GetNthLastTradingDay(baseDate, intResult);
//Do the date adjustment logic.
LastTradeDate = rollCalendar.Advance(lastTradingDay, RollOffset,
BusinessDayConventionEnum.PRECEDING);
RiskMaturityDate = LastTradeDate;
TimeToExpiry = (decimal)DayCounter.YearFraction(BaseDate, RiskMaturityDate);
}
}
/// <summary>
/// </summary>
/// <param name="discountCurve"></param>
/// <param name="tenor"></param>
/// <param name="baseDate"></param>
/// <param name="interpolatedCurve"></param>
/// <param name="paymentCalendar"></param>
/// <param name="dayCounter"></param>
/// <returns></returns>
/// <exception cref="System.Exception"></exception>
public static TermCurve ToForwardCurve(TermCurve discountCurve, Period tenor, DateTime baseDate,
InterpolatedCurve interpolatedCurve, IBusinessCalendar paymentCalendar, IDayCounter dayCounter)
{
TermCurve result = TermCurve.Create(new List <TermPoint>());
var length = discountCurve.point.Length;
var offset = new Offset
{
dayType = DayTypeEnum.Calendar,
dayTypeSpecified = true,
period = tenor.period,
periodMultiplier = tenor.periodMultiplier,
periodSpecified = true
};
if (paymentCalendar == null)
{
return(result);
}
for (int i = 0; i < length - 1; i++) //This will only go to the penultimate point. Extrapolation required for more.
{
var pointStart = discountCurve.point[i];
DateTime startDate = XsdClassesFieldResolver.TimeDimensionGetDate(pointStart.term);
var endDate = paymentCalendar.Advance(startDate, offset, BusinessDayConventionEnum.FOLLOWING);
var endPoint = new DateTimePoint1D(baseDate, endDate);
var endDF = interpolatedCurve.Value(endPoint);
double time = dayCounter.YearFraction(startDate, endDate);
var forwardRateDouble =
RateAnalytics.DiscountFactorsToForwardRate((double)pointStart.mid, endDF, time);
TermPoint forwardPoint = TermPointFactory.Create(Convert.ToDecimal(forwardRateDouble), startDate);
forwardPoint.id = tenor.id;
result.Add(forwardPoint);
}
return(result);
}
///// <summary>
///// Initializes a new instance of the <see cref="PriceableFxSpotRate"/> class.
///// </summary>
///// <param name="baseDate">The base date.</param>
///// <param name="spotDateOffset">The business day adjustments.</param>
///// <param name="fxRateAsset"></param>
///// <param name="fxForward">The forward points.</param>
//public PriceableFxTNRate(DateTime baseDate, RelativeDateOffset spotDateOffset, FxRateAsset fxRateAsset, BasicQuotation fxForward)
// : this(1.0m, baseDate, fxRateAsset,
// spotDateOffset, fxForward)
//{}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableFxSpotRate"/> class.
/// </summary>
/// <param name="notionalAmount">The notional.</param>
/// <param name="baseDate">The base date.</param>
/// <param name="nodeStruct">The nodeStruct.</param>
/// <param name="fxRateAsset">The asset itself</param>
/// <param name="fixingCalendar">The fixing Calendar.</param>
/// <param name="paymentCalendar">The payment Calendar.</param>
/// <param name="fxForward">The forward points.</param>
public PriceableFxTNRate(DateTime baseDate, decimal notionalAmount, FxSpotNodeStruct nodeStruct,
FxRateAsset fxRateAsset, IBusinessCalendar fixingCalendar, IBusinessCalendar paymentCalendar, BasicQuotation fxForward)
: base(baseDate, "1D", notionalAmount, nodeStruct, fxRateAsset, fixingCalendar, paymentCalendar, fxForward)
{
AdjustedStartDate = baseDate;
//AdjustedEffectiveDate = fixingCalendar.Advance(AdjustedStartDate, OffsetHelper.FromInterval(Tenor, DayTypeEnum.Business), SpotDateOffset.businessDayConvention);
RiskMaturityDate = fixingCalendar.Advance(AdjustedStartDate, OffsetHelper.FromInterval(Tenor, DayTypeEnum.Business), SpotDateOffset.businessDayConvention);
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableCash"/> class.
/// </summary>
/// <param name="baseDate"></param>
/// <param name="cash">The deposit.</param>
/// <param name="amount">The cah amount.</param>
/// <param name="term">The term of the cash flow.</param>
/// <param name="businessDayAdjustments">The business day adjustments.</param>
/// <param name="fixedRate">The fixed rate.</param>
/// <param name="paymentCalendar">The payment Calendar.</param>
protected PriceableCash(DateTime baseDate, Asset cash, Decimal amount, Period term, IBusinessCalendar paymentCalendar,
BusinessDayAdjustments businessDayAdjustments, BasicQuotation fixedRate)
: base(cash.id, baseDate, amount, businessDayAdjustments, fixedRate)
{
Term = term;
RiskMaturityDate =
paymentCalendar.Advance(BaseDate, OffsetHelper.FromInterval(Term, DayTypeEnum.Calendar),
BusinessDayAdjustments.businessDayConvention);
YearFraction = (decimal)Actual365.Instance.YearFraction(BaseDate, RiskMaturityDate);
}
///<summary>
///</summary>
public DateTime GetSettlementDate(DateTime baseDate, IBusinessCalendar settlementCalendar, RelativeDateOffset settlementDateOffset)
{
try
{
return(settlementCalendar.Advance(baseDate, settlementDateOffset, settlementDateOffset.businessDayConvention));
}
catch (System.Exception)
{
throw new System.Exception("No settlement calendar set.");
}
}
/// <summary>
/// Advances the specified calendars.
/// </summary>
/// <param name="businessCalendar">The calendars.</param>
/// <param name="date">The date.</param>
/// <param name="dayTypeString">The day type string.</param>
/// <param name="periodInterval">The period interval.</param>
/// <param name="businessDayConvention">The business day convention.</param>
/// <returns></returns>
public static DateTime Advance(IBusinessCalendar businessCalendar, DateTime date, string dayTypeString, string periodInterval, string businessDayConvention)
{
//IBusinessCalendar calendar = GetCalendar(calendars, ruleFullFilePath);
Period interval = PeriodHelper.Parse(periodInterval);
var dayType = DayTypeEnum.Calendar;
if (dayTypeString.Length > 0)
{
dayType = (DayTypeEnum)Enum.Parse(typeof(DayTypeEnum), dayTypeString, true);
}
Offset offset = OffsetHelper.FromInterval(interval, dayType);
BusinessDayConventionEnum dayConvention = BusinessDayConventionHelper.Parse(businessDayConvention);
return(businessCalendar.Advance(date, offset, dayConvention));
}
/// <summary>
/// Converts to an adjusted date.
/// </summary>
/// <param name="referenceDate"></param>
/// <param name="relativeDateOffset"></param>
/// <param name="businessCalendar"></param>
/// <returns></returns>
public static DateTime ToAdjustedDate(IBusinessCalendar businessCalendar, DateTime referenceDate, RelativeDateOffset relativeDateOffset)
{
// handle BusinessDatConventionEnum is NONE as a special case, since there might be no business centers provided.
if (BusinessDayConventionEnum.NONE == relativeDateOffset.businessDayConvention)
{
return(referenceDate);
}
//The default day type.
if (relativeDateOffset.dayTypeSpecified == false || relativeDateOffset.businessCenters == null)
{
relativeDateOffset.dayType = DayTypeEnum.Calendar;
}
//IBusinessCalendar businessCalendar = relativeDateOffset.businessCenters == null ? new Hell() : BusinessCenterHelper.ToBusinessCalendar(cache, relativeDateOffset.businessCenters);
var interval = PeriodHelper.Parse(relativeDateOffset.periodMultiplier + relativeDateOffset.period);
var offset = OffsetHelper.FromInterval(interval, relativeDateOffset.dayType);
DateTime result = businessCalendar.Advance(referenceDate, offset, relativeDateOffset.businessDayConvention);
return(result);
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableCommodityFuturesAsset"/> class.
/// </summary>
/// <param name="baseDate">The base date.</param>
/// <param name="nodeStruct">The nodeStruct.</param>
/// <param name="rollCalendar">THe rollCalendar.</param>
/// <param name="fixedRate"></param>
public PriceableWheatFuture(DateTime baseDate, CommodityFutureNodeStruct nodeStruct,
IBusinessCalendar rollCalendar, BasicQuotation fixedRate)
: base(baseDate, nodeStruct.Future, nodeStruct.BusinessDayAdjustments, fixedRate, new Offset
{
dayType = DayTypeEnum.Business,
dayTypeSpecified = true,
period = PeriodEnum.D,
periodMultiplier = "0",
periodSpecified = true
})
{
Id = nodeStruct.Future.id;
Future = nodeStruct.Future;
PriceQuoteUnits = nodeStruct.PriceQuoteUnits;
ModelIdentifier = "CommoditiesFuturesAsset";
SettlementBasis = "The business day prior to the 15th calendar day of the contract month";
ContractMonthPeriod = nodeStruct.ContractMonthPeriod;
ContractSeries = "March (H), May (K), July (N), September (U) & December (Z)";
ExchangeIdentifier = nodeStruct.Future.exchangeId.Value;
var idParts = Id.Split('-');
var exchangeCommodityNames = idParts[2].Split('.');
var commodityCode = exchangeCommodityNames[0];
if (exchangeCommodityNames.Length > 1)
{
commodityCode = exchangeCommodityNames[1];
}
var immCode = idParts[3];
//Catch the relative rolls.
if (int.TryParse(immCode, out int intResult))
{
var tempTradingDate = LastTradingDayHelper.ParseCode(commodityCode);
immCode = tempTradingDate.GetNthMainCycleCode(baseDate, intResult);
}
var lastTradingDay = LastTradingDayHelper.Parse(commodityCode, immCode);
LastTradeDate = rollCalendar.Advance(lastTradingDay.GetLastTradingDay(baseDate), RollOffset, BusinessDayConventionEnum.PRECEDING);
RiskMaturityDate = LastTradeDate;
TimeToExpiry = (decimal)DayCounter.YearFraction(BaseDate, RiskMaturityDate);
}
/// <summary>
/// Gets the forward spot date.
/// </summary>
/// <returns></returns>
protected DateTime GetForwardDate(DateTime spotDate, IBusinessCalendar paymentCalendar, Period tenor, BusinessDayConventionEnum businessDayConvention)
{
return(paymentCalendar.Advance(spotDate, OffsetHelper.FromInterval(tenor, DayTypeEnum.Calendar), businessDayConvention));
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableLMEFuture"/> class.
/// </summary>
/// <param name="baseDate">The base date.</param>
/// <param name="nodeStruct">The nodeStruct.</param>
/// <param name="rollCalendar">THe rollCalendar.</param>
/// <param name="fixedRate"></param>
public PriceableLMEFuture(DateTime baseDate, CommodityFutureNodeStruct nodeStruct,
IBusinessCalendar rollCalendar, BasicQuotation fixedRate)
: base(baseDate, nodeStruct.Future, nodeStruct.BusinessDayAdjustments, fixedRate, new Offset
{
dayType = DayTypeEnum.Business, dayTypeSpecified = true, period = PeriodEnum.D, periodMultiplier = "0",
periodSpecified = true
})
{
Id = nodeStruct.Future.id;
CommodityType = Future.description;
Future = nodeStruct.Future;
PriceQuoteUnits = nodeStruct.PriceQuoteUnits;
ModelIdentifier = "CommoditiesFuturesAsset";
SettlementBasis = "EFP Delivery with an option to cash settle.";
ContractMonthPeriod = nodeStruct.ContractMonthPeriod;
ContractSeries = "Daily:3M/Weekly:6M/Monthly:" + ContractMonthPeriod.ToString();
ExchangeIdentifier = nodeStruct.Future.exchangeId.Value;
var idParts = Id.Split('-');
var immCode = idParts[3];
if (int.TryParse(immCode, out int intResult))
{
//If the roll is less that 3M then daily roll.
//Less the number of business days in the next 3 months i.e. approximately 60.
//TODO This hsould be all moved to configuration!
var dailyCutoverOffset = new Offset
{
dayType = DayTypeEnum.Calendar,
dayTypeSpecified = true,
period = PeriodEnum.M,
periodMultiplier = "3",
periodSpecified = true
};
var dailyCutoverDate = rollCalendar.Advance(BaseDate, dailyCutoverOffset, BusinessDayConventionEnum.MODFOLLOWING);
var businessDays = rollCalendar.BusinessDaysBetweenDates(BaseDate, dailyCutoverDate);
if (intResult <= businessDays.Count)
{
LastTradeDate = businessDays[intResult];
}
//TODO
//If the roll is greater than 3M and less than 6M then weekly on a Wednesday.
//Less the number of weeks in the following 3 months i.e. approximately 12
//
else
{
//Remember thefirst expiry is after the 3 motn cutover!
//TODO this should be the 6 ContractMonthPeriod.
var rollDate = baseDate.AddMonths(intResult - businessDays.Count + 3);
var lastTradingDay = new LastTradingDate().GetLastTradingDay(rollDate.Month, rollDate.Year);
//Do the date adjustment logic.
LastTradeDate = rollCalendar.Advance(lastTradingDay, RollOffset,
BusinessDayConventionEnum.PRECEDING);
}
}
//This means that the value should be a period.
else
{
var term = PeriodHelper.Parse(immCode);
LastTradeDate = GetEffectiveDate(BaseDate, rollCalendar, term, nodeStruct.BusinessDayAdjustments.businessDayConvention);
}
RiskMaturityDate = LastTradeDate;
TimeToExpiry = (decimal)DayCounter.YearFraction(BaseDate, RiskMaturityDate);
}
/// <summary>
/// Calcs the date.
/// </summary>
/// <param name="xdt">The XDT.</param>
/// <param name="nextCoupDate">The next coup date.</param>
/// <param name="calendar">The calendar.</param>
/// <returns></returns>
public DateTime CalcDate(ExDividendEnum xdt, DateTime nextCoupDate, IBusinessCalendar calendar)
{
switch (xdt)
{
case ExDividendEnum.XD_7d: return(nextCoupDate.AddDays(-7));
case ExDividendEnum.XD_9d: return(nextCoupDate.AddDays(-9));
case ExDividendEnum.XD_14d: return(nextCoupDate.AddDays(-14));
case ExDividendEnum.XD_30d: return(nextCoupDate.AddDays(-30));
case ExDividendEnum.XD_1m: return(nextCoupDate.AddMonths(-1));
case ExDividendEnum.XD_4bd:
{
var minusFourDayInterval = new Offset
{
dayType = DayTypeEnum.Business,
period = PeriodEnum.D,
periodMultiplier = "-4"
};
return(calendar.Advance(nextCoupDate, minusFourDayInterval, BusinessDayConventionEnum.PRECEDING));
}
case ExDividendEnum.XD_6bd:
{
var minusSixDayInterval = new Offset
{
dayType = DayTypeEnum.Business,
period = PeriodEnum.D,
periodMultiplier = "-6"
};
return(calendar.Advance(nextCoupDate, minusSixDayInterval, BusinessDayConventionEnum.PRECEDING));
}
case ExDividendEnum.XD_10bd:
{
var minusTenDayInterval = new Offset
{
dayType = DayTypeEnum.Business,
period = PeriodEnum.D,
periodMultiplier = "-10"
};
return(calendar.Advance(nextCoupDate, minusTenDayInterval, BusinessDayConventionEnum.PRECEDING));
}
case ExDividendEnum.XD_Austria:
throw new NotImplementedException("ExDividendEnum.XD_Austria");
//if (nextCoupDate.Day >= 10 && nextCoupDate.Day <= 24) return nextCoupDate.AddDays(Convert.ToDouble(9 - new DateTime(nextCoupDate.Year, nextCoupDate.Month, 1).DayOfWeek));
//return new DateTime(nextCoupDate.Year, nextCoupDate.Month, 22 - Convert.ToInt32(new DateTime(nextCoupDate.Year, nextCoupDate.Month - ((nextCoupDate.Day < 10)?0:1), 14).DayOfWeek));
case ExDividendEnum.XD_eurobond:
int y = nextCoupDate.Year, m = nextCoupDate.Day, d = nextCoupDate.Day;
if (d < 3)
{
d = 16; m--;
}
else if (d < 17)
{
d = 1;
}
else
{
d = 16;
}
return(new DateTime(y, m, d));
case ExDividendEnum.XD_Ireland:
throw new NotImplementedException("ExDividendEnum.XD_Ireland");
//return nextCoupDate.AddDays(Convert.ToDouble(-17-nextCoupDate.AddDays(1).DayOfWeek));
default: return(nextCoupDate);
}
}