public void testIMMDates()
{
// ("Testing IMM dates...");
string[] IMMcodes = new string[] {
"F0", "G0", "H0", "J0", "K0", "M0", "N0", "Q0", "U0", "V0", "X0", "Z0",
"F1", "G1", "H1", "J1", "K1", "M1", "N1", "Q1", "U1", "V1", "X1", "Z1",
"F2", "G2", "H2", "J2", "K2", "M2", "N2", "Q2", "U2", "V2", "X2", "Z2",
"F3", "G3", "H3", "J3", "K3", "M3", "N3", "Q3", "U3", "V3", "X3", "Z3",
"F4", "G4", "H4", "J4", "K4", "M4", "N4", "Q4", "U4", "V4", "X4", "Z4",
"F5", "G5", "H5", "J5", "K5", "M5", "N5", "Q5", "U5", "V5", "X5", "Z5",
"F6", "G6", "H6", "J6", "K6", "M6", "N6", "Q6", "U6", "V6", "X6", "Z6",
"F7", "G7", "H7", "J7", "K7", "M7", "N7", "Q7", "U7", "V7", "X7", "Z7",
"F8", "G8", "H8", "J8", "K8", "M8", "N8", "Q8", "U8", "V8", "X8", "Z8",
"F9", "G9", "H9", "J9", "K9", "M9", "N9", "Q9", "U9", "V9", "X9", "Z9"
};
Date counter = Date.minDate();
// 10 years of futures must not exceed Date::maxDate
Date last = Date.maxDate() - new Period(121, TimeUnit.Months);
Date imm;
while (counter <= last)
{
imm = IMM.nextDate(counter, false);
// check that imm is greater than counter
if (imm <= counter)
{
QAssert.Fail(imm.DayOfWeek + " " + imm
+ " is not greater than "
+ counter.DayOfWeek + " " + counter);
}
// check that imm is an IMM date
if (!IMM.isIMMdate(imm, false))
{
QAssert.Fail(imm.DayOfWeek + " " + imm
+ " is not an IMM date (calculated from "
+ counter.DayOfWeek + " " + counter + ")");
}
// check that imm is <= to the next IMM date in the main cycle
if (imm > IMM.nextDate(counter, true))
{
QAssert.Fail(imm.DayOfWeek + " " + imm
+ " is not less than or equal to the next future in the main cycle "
+ IMM.nextDate(counter, true));
}
//// check that if counter is an IMM date, then imm==counter
//if (IMM::isIMMdate(counter, false) && (imm!=counter))
// BOOST_FAIL("\n "
// << counter.weekday() << " " << counter
// << " is already an IMM date, while nextIMM() returns "
// << imm.weekday() << " " << imm);
// check that for every date IMMdate is the inverse of IMMcode
if (IMM.date(IMM.code(imm), counter) != imm)
{
QAssert.Fail(IMM.code(imm)
+ " at calendar day " + counter
+ " is not the IMM code matching " + imm);
}
// check that for every date the 120 IMM codes refer to future dates
for (int i = 0; i < 40; ++i)
{
if (IMM.date(IMMcodes[i], counter) < counter)
{
QAssert.Fail(IMM.date(IMMcodes[i], counter)
+ " is wrong for " + IMMcodes[i]
+ " at reference date " + counter);
}
}
counter = counter + 1;
}
}
public FuturesRateHelper(Handle <Quote> price,
Date iborStartDate,
Date iborEndDate,
DayCounter dayCounter,
Handle <Quote> convAdj = null,
Futures.Type type = Futures.Type.IMM)
: base(price)
{
convAdj_ = convAdj ?? new Handle <Quote>();
switch (type)
{
case Futures.Type.IMM:
Utils.QL_REQUIRE(IMM.isIMMdate(iborStartDate, false), () =>
iborStartDate + " is not a valid IMM date");
if (iborEndDate == null)
{
// advance 3 months
maturityDate_ = IMM.nextDate(iborStartDate, false);
maturityDate_ = IMM.nextDate(maturityDate_, false);
maturityDate_ = IMM.nextDate(maturityDate_, false);
}
else
{
Utils.QL_REQUIRE(iborEndDate > iborStartDate, () =>
"end date (" + iborEndDate +
") must be greater than start date (" +
iborStartDate + ")");
maturityDate_ = iborEndDate;
}
break;
case QLNet.Futures.Type.ASX:
Utils.QL_REQUIRE(ASX.isASXdate(iborStartDate, false), () =>
iborStartDate + " is not a valid ASX date");
if (iborEndDate == null)
{
// advance 3 months
maturityDate_ = ASX.nextDate(iborStartDate, false);
maturityDate_ = ASX.nextDate(maturityDate_, false);
maturityDate_ = ASX.nextDate(maturityDate_, false);
}
else
{
Utils.QL_REQUIRE(iborEndDate > iborStartDate, () =>
"end date (" + iborEndDate +
") must be greater than start date (" +
iborStartDate + ")");
maturityDate_ = iborEndDate;
}
break;
default:
Utils.QL_FAIL("unknown futures type (" + type + ")");
break;
}
earliestDate_ = iborStartDate;
yearFraction_ = dayCounter.yearFraction(earliestDate_, maturityDate_);
pillarDate_ = latestDate_ = latestRelevantDate_ = maturityDate_;
convAdj_.registerWith(update);
}