/// <summary>
/// Initializes a new instance of the <see cref="PriceableCEROption"/> 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 PriceableCEROption(DateTime baseDate, CommodityFutureNodeStruct nodeStruct,
IBusinessCalendar rollCalendar, BasicQuotation fixedRate)
: base(baseDate, nodeStruct, rollCalendar, fixedRate)
{
Id = nodeStruct.Future.id;
Future = nodeStruct.Future;
ModelIdentifier = "CommoditiesFuturesOptionAsset";
var idParts = Id.Split('-');
var exchangeCommodityName = idParts[2];
var immCode = idParts[3];
int intResult;
//Catch the relative rolls.
if (int.TryParse(immCode, out intResult))
{
var tempTradingDate = LastTradingDayHelper.ParseCode(immCode);
immCode = tempTradingDate.GetNthMainCycleCode(baseDate, intResult);
}
var lastTradingDay = LastTradingDayHelper.Parse(exchangeCommodityName, immCode);
LastTradeDate = lastTradingDay.GetLastTradingDay(baseDate);
RiskMaturityDate = LastTradeDate;
OptionsExpiryDate = LastTradeDate;
TimeToExpiry = (decimal)DayCounter.YearFraction(BaseDate, RiskMaturityDate);
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableCER"/> 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 PriceableCER(DateTime baseDate, CommodityFutureNodeStruct nodeStruct,
IBusinessCalendar rollCalendar, BasicQuotation fixedRate)
: base(baseDate, nodeStruct.Future, nodeStruct.BusinessDayAdjustments, fixedRate, null)
{
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)";
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 var intResult))
{
var tempTradingDate = LastTradingDayHelper.ParseCode(commodityCode);
immCode = tempTradingDate.GetNthMainCycleCode(baseDate, intResult);
}
var lastTradingDay = LastTradingDayHelper.Parse(commodityCode, immCode);
LastTradeDate = lastTradingDay.GetLastTradingDay(baseDate);
RiskMaturityDate = LastTradeDate;
TimeToExpiry = (decimal)DayCounter.YearFraction(BaseDate, RiskMaturityDate);
}
/// <summary>
/// Gets the Last trading day by year. This takes an array of years.
/// </summary>
/// <param name="exchangeCommodityName">Name of the exchange commodity.</param>
/// <param name="yearsArray">The array of years as integers.</param>
/// <param name="mainCycle">if set to <c>true</c> [main cycle].</param>
/// <returns>A range of dates.</returns>
public object[,] LastTradingDayByYear(string exchangeCommodityName, Excel.Range yearsArray, Boolean mainCycle)
{
List <int> unqVals = DataRangeHelper.StripIntRange(yearsArray);
var dates = LastTradingDayHelper.GetLastTradingDays(exchangeCommodityName, unqVals.ToArray(), mainCycle);
var resVals = RangeHelper.ConvertArrayToRange(dates);
return(resVals);
}
/// <summary>
/// Gets the Last trading based on a given month.
/// </summary>
/// <param name="exchangeCommodityName">Name of the exchange commodity.</param>
/// <param name="monthsArray">The array of months.</param>
/// <param name="yearsArray">The array of years as integers.</param>
/// <returns></returns>
public object[,] LastTradingDayByMonth(string exchangeCommodityName, Excel.Range monthsArray, Excel.Range yearsArray)
{
List <int> unqMonths = DataRangeHelper.StripIntRange(monthsArray);
List <int> unqYears = DataRangeHelper.StripIntRange(yearsArray);
List <DateTime> dates = LastTradingDayHelper.GetLastTradingDays(exchangeCommodityName, unqMonths.ToArray(), unqYears.ToArray());
var resVals = RangeHelper.ConvertArrayToRange(dates);
return(resVals);
}
/// <summary>
/// </summary>
/// <returns></returns>
/// <param name="referenceDate">
/// if 2000, IRZ8 is futures that expires in December 2008.
/// if 2010, IRZ8 is futures that expires in December 2018.
/// </param>
public override DateTime GetLastTradingDay(DateTime referenceDate)
{
var month = (int)LastTradingDayHelper.ParseToCode(CodeAndExpiryMonth.ImmMonthCode);
DateTime unadjustedExpirationDate;
if (CodeAndExpiryMonth.Year < referenceDate.Year % 10)
{
int realYear = referenceDate.Year - (referenceDate.Year % 10) + CodeAndExpiryMonth.Year + 10;
unadjustedExpirationDate = new DateTime(realYear, month, 1).AddDays(-15);
}
else
{
int realYear = referenceDate.Year - (referenceDate.Year % 10) + CodeAndExpiryMonth.Year;
unadjustedExpirationDate = new DateTime(realYear, month, 1).AddDays(-15);
}
return(unadjustedExpirationDate);
}
/// <summary>
/// IRH7,IRZ9 (90 day futures)
///
/// IBH8,IBU9 (30 day futures)
/// </summary>
/// <returns></returns>
/// <param name="referenceDate">
/// if 2000, IRZ8 is futures that expires in December 2008.
/// if 2010, IRZ8 is futures that expires in December 2018.
/// </param>
public override DateTime GetLastTradingDay(DateTime referenceDate)
{
var month = (int)LastTradingDayHelper.ParseToCode(CodeAndExpiryMonth.ImmMonthCode);
DateTime unadjustedExpirationDate;
if (CodeAndExpiryMonth.Year < referenceDate.Year % 10)
{
int realYear = referenceDate.Year - referenceDate.Year % 10 + CodeAndExpiryMonth.Year + 10;
unadjustedExpirationDate = RuleHelper.LastDayInMonth(month, realYear);
}
else
{
int realYear = referenceDate.Year - referenceDate.Year % 10 + CodeAndExpiryMonth.Year;
unadjustedExpirationDate = RuleHelper.LastDayInMonth(month, realYear);
}
return(unadjustedExpirationDate);
}
/// <summary>
///
/// IRH7,IRZ9 (90 day futures)
///
/// IBH8,IBU9 (30 day futures)
/// </summary>
/// <returns></returns>
/// <param name="referenceDate">
/// if 2000, Z8 is futures that expires in December 2008.
/// if 2010, Z8 is futures that expires in December 2018.
/// </param>
public virtual DateTime GetLastTradingDay(DateTime referenceDate)
{
var month = (int)LastTradingDayHelper.ParseToCode(CodeAndExpiryMonth.ImmMonthCode);
// Expiration - 2nd (2) Friday (4) of month.
//
DateTime unadjustedExpirationDate;
if (CodeAndExpiryMonth.Year < referenceDate.Year % 10)
{
int realYear = referenceDate.Year - (referenceDate.Year % 10) + CodeAndExpiryMonth.Year + 10;
unadjustedExpirationDate = RuleHelper.GetNthDayInMonth(month, 3, 3, realYear, 0, 0);
}
else
{
int realYear = referenceDate.Year - (referenceDate.Year % 10) + CodeAndExpiryMonth.Year;
unadjustedExpirationDate = RuleHelper.GetNthDayInMonth(month, 3, 3, realYear, 0, 0);
}
return(unadjustedExpirationDate);
}
/// <summary>
/// IRH7,IRZ9 (90 day futures)
///
/// IBH8,IBU9 (30 day futures)
/// </summary>
/// <returns></returns>
/// <param name="referenceDate">
/// if 2000, IRZ8 is futures that expires in December 2008.
/// if 2010, IRZ8 is futures that expires in December 2018.
/// </param>
public override DateTime GetLastTradingDay(DateTime referenceDate)
{
//FuturesPrefixImmMonthCodeAndYear futuresPrefixImmMonthCodeAndYear = BreakCodeIntoPrefixAndYear(futuresCode);
var month = (int)LastTradingDayHelper.ParseToCode(CodeAndExpiryMonth.ImmMonthCode);
// Expiration - 3rd (3) Wednesday (3) of month.
//
//DateTime unadjustedExpirationDate = DateHelper.nthWeekday(2, 5, month, referenceYear + futuresPrefixImmMonthCodeAndYear.Year);
DateTime unadjustedExpirationDate;
if (CodeAndExpiryMonth.Year < referenceDate.Year % 10)
{
int realYear = referenceDate.Year - (referenceDate.Year % 10) + CodeAndExpiryMonth.Year + 10;
unadjustedExpirationDate = RuleHelper.GetNthDayInMonth(month, 3, 3, realYear, 0, 0);
}
else
{
int realYear = referenceDate.Year - (referenceDate.Year % 10) + CodeAndExpiryMonth.Year;
unadjustedExpirationDate = RuleHelper.GetNthDayInMonth(month, 3, 3, realYear, 0, 0);
}
return(unadjustedExpirationDate);
}
/// <summary>
/// whether or not the given date is an IMM date
/// </summary>
/// <param name="exchangeCommodityName">Currently defined for: ED, ER, RA, BAX, L, ES, EY, HR, IR, IB and W.</param>
/// <param name="date">THe date to verify.</param>
/// <param name="mainCycle">Is the contract a main cycle type?</param>
/// <returns>true/false</returns>
public bool IsLastTradingDate(string exchangeCommodityName, DateTime date, bool mainCycle)
{
bool result = LastTradingDayHelper.IsLastTradingDate(exchangeCommodityName, date, mainCycle);
return(result);
}
/// <summary>
/// next IMM date following the given date
/// returns the 1st delivery date for next contract listed in the
/// International Money Market section of the Chicago Mercantile
/// Exchange.
/// </summary>
/// <param name="exchangeCommodityName">Name of the exchange commodity.</param>
/// <param name="refDate">THe refernce date to use.</param>
/// <param name="mainCycle">Is the contract a main cycle type.</param>
/// <returns></returns>
public DateTime GetNextLastTradingDate(string exchangeCommodityName, DateTime refDate, bool mainCycle)
{
DateTime date = LastTradingDayHelper.GetNextLastTradingDate(exchangeCommodityName, refDate, mainCycle);
return(date);
}
/// <summary>
/// returns the IMM code for next contract listed in the
/// relevant Exchange.
/// </summary>
/// <param name="exchangeCommodityName">Currently defined for: ED, ER, RA, BAX, L, ES, EY, HR, IR, IB and W.</param>
/// <param name="date">The date.</param>
/// <param name="mainCycle">Is the contract a main cycle type?</param>
/// <returns>The futures code string</returns>
public string GetNextFuturesCode(string exchangeCommodityName, DateTime date, bool mainCycle)
{
string result = LastTradingDayHelper.GetNextFuturesCode(exchangeCommodityName, date, mainCycle);
return(result);
}
