/// <summary>Initializes a new instance of the <see cref="BackwardDateScheduleRule"/> class.
/// </summary>
/// <param name="referenceDate">A reference date used to calculate the start date and end date of the date schedule with respect to <paramref name="startAndEndDateDescription"/>.</param>
/// <param name="startAndEndDateDescription">A description of the start date and the end date of the date schedule.</param>
/// <param name="businessDayConvention">The business day convention.</param>
/// <param name="frequency">The frequency.</param>
/// <param name="seedBusinessDayConvention">The optional seed business day convention, represents the adjustment of the
/// 'seed date' used in the main date generation loop, i.e. generates
/// <para>
/// 'adjusted seed date' + j * tenor, j=1,2,...
/// </para>
/// and adjust these dates with respect to <paramref name="businessDayConvention"/> (optional; will be ignored if <paramref name="lastRegularDate"/> is a date; if <c>null</c> <paramref name="businessDayConvention"/> will be used).
/// </param>
/// <param name="firstRegularDate">The first regular date (optional).</param>
/// <param name="lastRegularDate">The last regular date (optional).</param>
/// <remarks>The optional <paramref name="firstRegularDate"/> and <paramref name="lastRegularDate"/> are used to generated a short/long first/last stub period.</remarks>
public BackwardDateScheduleRule(DateTime referenceDate, ITimeframeDescription startAndEndDateDescription, IDateScheduleFrequency frequency, IBusinessDayConvention businessDayConvention, IBusinessDayConvention seedBusinessDayConvention = null, DateTime?firstRegularDate = null, DateTime?lastRegularDate = null)
: this(frequency, businessDayConvention, seedBusinessDayConvention, firstRegularDate, lastRegularDate)
{
if (startAndEndDateDescription == null)
{
throw new ArgumentNullException("startAndEndDateDescription");
}
m_TimeSpanDescription = startAndEndDateDescription;
m_ReferenceDate = referenceDate;
}
/// <summary>Creates a new <see cref="ITimeframeDescription"/> object, where the start date of the period is the next IMM date with respect to the reference date of the time period calculation.</summary>
/// <param name="tenor">The tenor that represents the time span.</param>
/// <param name="startDateAdjustment">A business day convention used to compute the start date of the period, i.e. the IMM date.</param>
/// <param name="endDateAdjustment">A business day convention used to compute the end date of the period.</param>
/// <returns>The specified <see cref="ITimeframeDescription"/> object.</returns>
public static ITimeframeDescription Create(TenorTimeSpan tenor, IBusinessDayConvention startDateAdjustment, IBusinessDayConvention endDateAdjustment)
{
return(new NextPeriod(tenor, startDateAdjustment, endDateAdjustment));
}
/// <summary>Initializes a new instance of the <see cref="BackwardDateScheduleRule"/> class.
/// </summary>
/// <param name="frequency">The frequency.</param>
/// <param name="businessDayConvention">The business day convention.</param>
/// <param name="seedBusinessDayConvention">The optional seed business day convention, represents the adjustment of the
/// 'seed date' used in the main date generation loop, i.e. generates
/// <para>
/// 'adjusted seed date' + j * tenor, j=1,2,...
/// </para>
/// and adjust these dates with respect to <paramref name="businessDayConvention"/> (optional; will be ignored if <paramref name="firstRegularDate"/> is a date).
/// </param>
/// <param name="firstRegularDate">The first regular date (optional).</param>
/// <param name="lastRegularDate">The last regular date (optional).</param>
/// <remarks>The optional <paramref name="firstRegularDate"/> and <paramref name="lastRegularDate"/> are used to generated a short/long first/last stub period.</remarks>
private BackwardDateScheduleRule(IDateScheduleFrequency frequency, IBusinessDayConvention businessDayConvention, IBusinessDayConvention seedBusinessDayConvention = null, DateTime?firstRegularDate = null, DateTime?lastRegularDate = null)
{
if (frequency == null)
{
throw new ArgumentNullException("frequency");
}
m_Frequency = frequency;
if (businessDayConvention == null)
{
throw new ArgumentNullException("businessDayConvention");
}
m_BusinessDayConvention = businessDayConvention;
m_ReferenceDate = DateTime.MinValue;
// the optional parameters
m_SeedBusinessDayConvention = seedBusinessDayConvention;
m_FirstRegularDate = firstRegularDate;
m_LastRegularDate = lastRegularDate;
}
/// <summary>Initializes a new instance of the <see cref="NextPeriod"/> class.
/// </summary>
/// <param name="tenor">The tenor that represents the time span.</param>
/// <param name="startDateAdjustment">A business day convention used to compute the start date of the period, i.e. the IMM date.</param>
/// <param name="endDateAdjustment">A business day convention used to compute the end date of the period.</param>
public NextPeriod(TenorTimeSpan tenor, IBusinessDayConvention startDateAdjustment, IBusinessDayConvention endDateAdjustment)
{
Tenor = tenor;
if (startDateAdjustment == null)
{
throw new ArgumentNullException("startDateAdjustment");
}
StartDateAdjustment = startDateAdjustment;
if (endDateAdjustment == null)
{
throw new ArgumentNullException("endDateAdjustment");
}
EndDateAdjustment = endDateAdjustment;
}
/// <summary>Creates a new <see cref="ITimeframeDescription"/> object, where the start date of the period is a IMM date.</summary>
/// <param name="month">The month of the period start date in its <see cref="IMM.Month"/> representation.</param>
/// <param name="periodStartYearOffset">The number of years to add to the reference date in <c>GetStartAndEndDate(.)</c> to take into account for the calculation of the specific IMM date.</param>
/// <param name="tenor">The tenor that represents the time span.</param>
/// <param name="startDateAdjustment">A business day convention used to compute the start date of the period, i.e. the IMM date.</param>
/// <param name="endDateAdjustment">A business day convention used to compute the end date of the period.</param>
/// <returns>The specified <see cref="ITimeframeDescription"/> object.</returns>
public static ITimeframeDescription Create(Month month, int periodStartYearOffset, TenorTimeSpan tenor, IBusinessDayConvention startDateAdjustment, IBusinessDayConvention endDateAdjustment)
{
return(new SpecificPeriod(month, periodStartYearOffset, tenor, startDateAdjustment, endDateAdjustment));
}
/// <summary>Creates a new <see cref="ITimeframeDescription"/> object.
/// </summary>
/// <param name="startDateTenor">The tenor use to calculate the start date.</param>
/// <param name="tenor">The tenor that represents the time span.</param>
/// <param name="spotDateAdjustment">A business day convention used to compute the spot date (= reference date + a number of business days to settle [if <paramref name="startDateTenor"/> is regular or one business day in the case of tomorrow-next]); if <c>null</c> no adjustment will be applied.</param>
/// <param name="startDateAdjustment">A business day convention used to compute the start date of the timeframe; if <c>null</c> no adjustment will be applied.</param>
/// <param name="endDateAdjustment">A business day convention used to compute the end date of the timeframe; if <c>null</c> no adjustment will be applied.</param>
/// <param name="businessDaysToSettle">The number of business days used to calculate the spot date; this parameter will be taken into account if and only if <paramref name="startDateTenor"/> is a regular tenor (i.e. neigther overnight nor tomorrow-next).</param>
/// <returns>A <see cref="ITimeframeDescription"/> object where the implementation works in the following way:
/// <para>The implementation works in the following way:
/// <list type="number">
/// <item><description>Apply the SpotDateAdjustment to the reference date; call it spot date.</description></item>
/// <item><description>For regular tenor with a number of business days to settle [in short: BD-ToSettle] != 0 or tomorrow-next, point the spot date to the
/// next (or previous if BD-ToSettle is lesss than 0) business day and add BD-ToSettle business days. This is the final spot date.</description></item>
/// <item><description>Apply the start tenor to the spot date and apply the StartDateAdjustment. This is the start date of the period.</description></item>
/// <item><description>Add the tenor to the start date and apply the EndDateAdjustment which gives us the end date.</description></item>
/// </list></para></returns>
/// <exception cref="ArgumentException">Thrown, if <paramref name="startDateTenor"/> or <paramref name="tenor"/> represents a negative time span.</exception>
public static ITimeframeDescription Create(TenorTimeSpan startDateTenor, TenorTimeSpan tenor, IBusinessDayConvention spotDateAdjustment, IBusinessDayConvention startDateAdjustment, IBusinessDayConvention endDateAdjustment, int businessDaysToSettle = 0)
{
return(new ForwardStartingTimeframeDescription(startDateTenor, tenor, (spotDateAdjustment != null) ? spotDateAdjustment : sm_NoAdjustment, (startDateAdjustment != null) ? startDateAdjustment : sm_NoAdjustment, (endDateAdjustment != null) ? endDateAdjustment : sm_NoAdjustment, businessDaysToSettle));
}
/// <summary>Creates a new <see cref="ITimeframeDescription"/> object.
/// </summary>
/// <param name="startDateTenor">The tenor use to calculate the start date.</param>
/// <param name="tenor">The tenor that represents the time span.</param>
/// <param name="businessDayConvention">The business day convention used to compute the spot date, start date as well as the end date of the timeframe.</param>
/// <param name="businessDaysToSettle">The number of business days used to calculate the spot date; this parameter will be taken into account if and only if <paramref name="startDateTenor"/> is a regular tenor (i.e. neigther overnight nor tomorrow-next).</param>
/// <returns>A <see cref="ITimeframeDescription"/> object where the implementation works in the following way:
/// <para>The implementation works in the following way:
/// <list type="number">
/// <item><description>Apply the SpotDateAdjustment to the reference date; call it spot date.</description></item>
/// <item><description>For regular tenor with a number of business days to settle [in short: BD-ToSettle] != 0 or tomorrow-next, point the spot date to the
/// next (or previous if BD-ToSettle is lesss than 0) business day and add BD-ToSettle business days. This is the final spot date.</description></item>
/// <item><description>Apply the start tenor to the spot date and apply the StartDateAdjustment. This is the start date of the period.</description></item>
/// <item><description>Add the tenor to the start date and apply the EndDateAdjustment which gives us the end date.</description></item>
/// </list></para></returns>
/// <exception cref="ArgumentException">Thrown, if <paramref name="startDateTenor"/> or <paramref name="tenor"/> represents a negative time span.</exception>
/// <exception cref="ArgumentNullException">Thrown, if <paramref name="businessDayConvention"/> is <c>null</c>.</exception>
public static ITimeframeDescription Create(TenorTimeSpan startDateTenor, TenorTimeSpan tenor, IBusinessDayConvention businessDayConvention, int businessDaysToSettle = 0)
{
if (businessDayConvention == null)
{
throw new ArgumentNullException("businessDayConvention");
}
return(new ForwardStartingTimeframeDescription(startDateTenor, tenor, businessDayConvention, businessDayConvention, businessDayConvention, businessDaysToSettle));
}
/// <summary>Initializes a new instance of the <see cref="SpecificPeriod"/> class.
/// </summary>
/// <param name="month">The month of the period start date in its <see cref="IMM.Month"/> representation.</param>
/// <param name="periodStartYearOffset">The number of years to add to the reference date in <c>GetStartAndEndDate(.)</c> to take into account for the calculation of the specific IMM date.</param>
/// <param name="tenor">The tenor that represents the time span.</param>
/// <param name="startDateAdjustment">A business day convention used to compute the start date of the period, i.e. the IMM date.</param>
/// <param name="endDateAdjustment">A business day convention used to compute the end date of the period.</param>
public SpecificPeriod(Month month, int periodStartYearOffset, TenorTimeSpan tenor, IBusinessDayConvention startDateAdjustment, IBusinessDayConvention endDateAdjustment)
{
Tenor = tenor;
PeriodStartMonth = month;
PeriodStartYearOffset = periodStartYearOffset;
if (startDateAdjustment == null)
{
throw new ArgumentNullException("startDateAdjustment");
}
StartDateAdjustment = startDateAdjustment;
if (endDateAdjustment == null)
{
throw new ArgumentNullException("endDateAdjustment");
}
EndDateAdjustment = endDateAdjustment;
}
/// <summary>Creates a new <see cref="ITimeframeDescription"/> object.
/// </summary>
/// <param name="endDate">The end date of the timeframe.</param>
/// <param name="spotDateAdjustment">A business day convention used to compute the spot date (= reference date + a number of business days to settle; if <c>null</c> no adjustment will be applied.</param>
/// <param name="startDateAdjustment">A business day convention used to compute the start date of the timeframe; if <c>null</c> no adjustment will be applied.</param>
/// <param name="endDateAdjustment">A business day convention used to compute the end date of the timeframe; if <c>null</c> no adjustment will be applied.</param>
/// <param name="businessDaysToSettle">The number of business days used to calculate the spot date.</param>
/// <returns>A <see cref="ITimeframeDescription"/> object where the implementation works in the following way:
/// <list type="number">
/// <item><description>Apply the SpotDateAdjustment to the reference date; call it spot date.</description></item>
/// <item><description>Point the spot date to the next business day if the number of business days to settle is strictly greater than 0 or to the previous business day if
/// the number of business days to settle is strictly less than 0. Add the number of business days to settle which defines the final spot date.</description></item>
/// <item><description>Apply the StartDateAdjustment to the spot date. This is the start date of the period.</description></item>
/// <item><description>Apply the EndDateAdjustment to the specified end date; this is the end date of the timeframe.</description></item>
/// </list></returns>
public static ITimeframeDescription Create(DateTime endDate, IBusinessDayConvention spotDateAdjustment = null, IBusinessDayConvention startDateAdjustment = null, IBusinessDayConvention endDateAdjustment = null, int businessDaysToSettle = 0)
{
return(new DateTimeTimeframeDescription(endDate, (spotDateAdjustment != null) ? spotDateAdjustment : sm_NoAdjustment, (startDateAdjustment != null) ? startDateAdjustment : sm_NoAdjustment, (endDateAdjustment != null) ? endDateAdjustment : sm_NoAdjustment, businessDaysToSettle));
}
/// <summary>Initializes a new instance of the <see cref="DateTimeTimeframeDescription"/> class.
/// </summary>
/// <param name="endDate">The end date of the timeframe.</param>
/// <param name="spotDateAdjustment">A business day convention used to compute the spot date (= reference date + a number of business days to settle).</param>
/// <param name="startDateAdjustment">A business day convention used to compute the start date of the period.</param>
/// <param name="endDateAdjustment">A business day convention used to compute the end date of the period.</param>
/// <param name="businessDaysToSettle">The number of business days used to calculate the spot date.</param>
/// <exception cref="ArgumentNullException">Thrown, if one of the <see cref="IBusinessDayConvention"/> arguments is <c>null</c>.</exception>
public DateTimeTimeframeDescription(DateTime endDate, IBusinessDayConvention spotDateAdjustment, IBusinessDayConvention startDateAdjustment, IBusinessDayConvention endDateAdjustment, int businessDaysToSettle = 0)
{
EndDate = endDate;
if (spotDateAdjustment == null)
{
throw new ArgumentNullException("spotDateAdjustment");
}
SpotDateAdjustment = spotDateAdjustment;
if (startDateAdjustment == null)
{
throw new ArgumentNullException("startDateAdjustment");
}
StartDateAdjustment = startDateAdjustment;
if (endDateAdjustment == null)
{
throw new ArgumentNullException("endDateAdjustment");
}
EndDateAdjustment = endDateAdjustment;
BusinessDaysToSettle = businessDaysToSettle;
}
/// <summary>Initializes a new instance of the <see cref="ForwardStartingTimeframeDescription"/> class.
/// </summary>
/// <param name="startDateTenor">The tenor use to calculate the start date.</param>
/// <param name="tenor">The tenor that represents the time span.</param>
/// <param name="spotDateAdjustment">A business day convention used to compute the spot date, i.e. reference date + a number of business days to settle (if <paramref name="startDateTenor"/> is regular).</param>
/// <param name="startDateAdjustment">A business day convention used to compute the start date of the period.</param>
/// <param name="endDateAdjustment">A business day convention used to compute the end date of the period.</param>
/// <param name="businessDaysToSettle">The number of business days used to calculate the spot date; this parameter will be taken into if and only if <paramref name="startDateTenor"/> is a regular tenor (i.e. neigther overnight nor tomorrow-next).</param>
/// <exception cref="ArgumentException">Thrown, if <paramref name="startDateTenor"/> or <paramref name="tenor"/> represents a negative time span or <paramref name="tenor"/> does not represents a regular tenor (<see cref="TenorType.RegularTenor"/>).</exception>
/// <exception cref="ArgumentNullException">Thrown, if one of the <see cref="IBusinessDayConvention"/> arguments is <c>null</c>.</exception>
public ForwardStartingTimeframeDescription(TenorTimeSpan startDateTenor, TenorTimeSpan tenor, IBusinessDayConvention spotDateAdjustment, IBusinessDayConvention startDateAdjustment, IBusinessDayConvention endDateAdjustment, int businessDaysToSettle = 0)
{
if (startDateTenor.IsPositive == false)
{
throw new ArgumentException(String.Format(ExceptionMessages.ArgumentIsInvalid, startDateTenor.ToString()), "startDateTenor");
}
StartDateTenor = startDateTenor;
if ((tenor.IsPositive == false) || (tenor.TenorType != TenorType.RegularTenor)) // ON, TN are not allowed
{
throw new ArgumentException(String.Format(ExceptionMessages.ArgumentIsInvalid, tenor.ToString()), "tenor");
}
Tenor = tenor;
if (spotDateAdjustment == null)
{
throw new ArgumentNullException("spotDateAdjustment");
}
SpotDateAdjustment = spotDateAdjustment;
if (startDateAdjustment == null)
{
throw new ArgumentNullException("startDateAdjustment");
}
StartDateAdjustment = startDateAdjustment;
if (endDateAdjustment == null)
{
throw new ArgumentNullException("endDateAdjustment");
}
EndDateAdjustment = endDateAdjustment;
BusinessDaysToSettle = businessDaysToSettle;
}
/// <summary>Initializes a new instance of the <see cref="TenorTimeframeDescription"/> class.
/// </summary>
/// <param name="tenor">The tenor that represents the time span.</param>
/// <param name="spotDateAdjustment">A business day convention used to compute the spot date, i.e. reference date + a number of business days to settle (if <paramref name="tenor"/> is regular).</param>
/// <param name="startDateAdjustment">A business day convention used to compute the start date of the period.</param>
/// <param name="endDateAdjustment">A business day convention used to compute the end date of the period.</param>
/// <param name="businessDaysToSettle">The number of business days used to calculate the spot date; this parameter will be taken into if and only if <paramref name="tenor"/> is a regular tenor (i.e. neigther overnight nor tomorrow-next).</param>
/// <exception cref="ArgumentException">Thrown, if <paramref name="tenor"/> represents a negative time span.</exception>
/// <exception cref="ArgumentNullException">Thrown, if one of the <see cref="IBusinessDayConvention"/> arguments is <c>null</c>.</exception>
public TenorTimeframeDescription(TenorTimeSpan tenor, IBusinessDayConvention spotDateAdjustment, IBusinessDayConvention startDateAdjustment, IBusinessDayConvention endDateAdjustment, int businessDaysToSettle = 0)
{
if (tenor.IsPositive == false)
{
throw new ArgumentException(String.Format(ExceptionMessages.ArgumentIsInvalid, tenor.ToString()), "tenor");
}
Tenor = tenor;
if (spotDateAdjustment == null)
{
throw new ArgumentNullException("spotDateAdjustment");
}
SpotDateAdjustment = spotDateAdjustment;
if (startDateAdjustment == null)
{
throw new ArgumentNullException("startDateAdjustment");
}
StartDateAdjustment = startDateAdjustment;
if (endDateAdjustment == null)
{
throw new ArgumentNullException("endDateAdjustment");
}
EndDateAdjustment = endDateAdjustment;
BusinessDaysToSettle = businessDaysToSettle;
}
/// <summary>Initializes a new instance of the <see cref="DateScheduleRuleDescription "/> class.
/// </summary>
/// <param name="startAndEndDateDescription">The description of the start and of the end date of the date schedule.</param>
/// <param name="frequency">The frequency.</param>
/// <param name="businessDayConvention">The business day convention.</param>
/// <param name="seedBusinessDayConvention">The optional seed business day convention, represents the adjustment of the
/// 'seed date' used in the main date generation loop, i.e. generates
/// <para>
/// 'adjusted seed date' + j * tenor, j=1,2,...
/// </para>
/// and adjust these dates with respect to <paramref name="businessDayConvention"/> (optional; will be ignored if <paramref name="firstRegularDate"/> is a date).
/// </param>
/// <param name="firstRegularDate">The first regular date (optional).</param>
/// <param name="lastRegularDate">The last regular date (optional).</param>
/// <remarks>The optional <paramref name="firstRegularDate"/> and <paramref name="lastRegularDate"/> are used to generated a short/long first/last stub period.</remarks>
public DateScheduleRuleDescription(ITimeframeDescription startAndEndDateDescription, IDateScheduleFrequency frequency, IBusinessDayConvention businessDayConvention, IBusinessDayConvention seedBusinessDayConvention, DateTime?firstRegularDate = null, DateTime?lastRegularDate = null)
{
m_DateScheduleRule = new ForwardDateScheduleRule(startAndEndDateDescription, frequency, businessDayConvention, seedBusinessDayConvention, firstRegularDate, lastRegularDate);
}
/// <summary>Creates a <see cref="IDateScheduleRuleDescription"/> wrapper for <see cref="ForwardDateScheduleRule"/> objects.
/// </summary>
/// <param name="startAndEndDatePeriodDescription">A description of the start date and the end date of the date schedule.</param>
/// <param name="businessDayConvention">The business day convention.</param>
/// <param name="frequency">The frequency.</param>
/// <param name="seedBusinessDayConvention">The optional seed business day convention, represents the adjustment of the
/// 'seed date' used in the main date generation loop, i.e. generates
/// <para>
/// 'adjusted seed date' + j * tenor, j=1,2,...
/// </para>
/// and adjust these dates with respect to <paramref name="businessDayConvention"/> (optional; will be ignored if <paramref name="firstRegularDate"/> is a date; if <c>null</c> <paramref name="businessDayConvention"/> will be used).
/// </param>
/// <param name="firstRegularDate">The first regular date (optional).</param>
/// <param name="lastRegularDate">The last regular date (optional).</param>
/// <returns>A <see cref="IDateScheduleRuleDescription"/> object that encapsulate a <see cref="ForwardDateScheduleRule"/> object.</returns>
/// <remarks>The optional <paramref name="firstRegularDate"/> and <paramref name="lastRegularDate"/> are used to generated a short/long first/last stub period.</remarks>
public static IDateScheduleRuleDescription CreateDescriptor(ITimeframeDescription startAndEndDatePeriodDescription, IDateScheduleFrequency frequency, IBusinessDayConvention businessDayConvention, IBusinessDayConvention seedBusinessDayConvention = null, DateTime?firstRegularDate = null, DateTime?lastRegularDate = null)
{
return(new DateScheduleRuleDescription(startAndEndDatePeriodDescription, frequency, businessDayConvention, seedBusinessDayConvention, firstRegularDate, lastRegularDate));
}
