/// <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);
}
