/// <summary>Gets an adjusted date with respect to a specific <see cref="System.DateTime"/> object.
/// </summary>
/// <param name="date">The date.</param>
/// <param name="holidayCalendar">The holiday calendar.</param>
/// <returns>The <see cref="System.DateTime"/> object that is given by <paramref name="date"/> taken into account the business day
/// convention represented by the current instance.
/// </returns>
/// <remarks>Perhaps the return value is not a business day, for example in the case of some end-of-month adjustment or 'no adjustment'.</remarks>
public DateTime GetAdjustedDate(DateTime date, IHolidayCalendar holidayCalendar)
{
switch (date.Month)
{
case 1:
case 2:
case 3:
var endOfQ1Date = new DateTime(date.Year, 3, 31);
return(holidayCalendar.GetPreviousAdjustedBusinessDay(endOfQ1Date));
case 4:
case 5:
case 6:
var endOfQ2Date = new DateTime(date.Year, 6, 30);
return(holidayCalendar.GetPreviousAdjustedBusinessDay(endOfQ2Date));
case 7:
case 8:
case 9:
var endOfQ3Date = new DateTime(date.Year, 9, 30);
return(holidayCalendar.GetPreviousAdjustedBusinessDay(endOfQ3Date));
default:
var endOfQ4Date = new DateTime(date.Year, 12, 31);
return(holidayCalendar.GetPreviousAdjustedBusinessDay(endOfQ4Date));
}
}
/// <summary>Gets an adjusted date with respect to a specific <see cref="System.DateTime"/> object.
/// </summary>
/// <param name="date">The date.</param>
/// <param name="holidayCalendar">The holiday calendar.</param>
/// <returns>The <see cref="System.DateTime"/> object that is given by <paramref name="date"/> taken into account the business day
/// convention represented by the current instance.
/// </returns>
/// <remarks>Perhaps the return value is not a business day, for example in the case of some end-of-month adjustment or 'no adjustment'.</remarks>
public DateTime GetAdjustedDate(DateTime date, IHolidayCalendar holidayCalendar)
{
DateTime nextBusinessDay = holidayCalendar.GetForwardAdjustedBusinessDay(date);
if (nextBusinessDay.Month == date.Month)
{
return(nextBusinessDay);
}
return(holidayCalendar.GetPreviousAdjustedBusinessDay(date));
}
/// <summary>Gets the start and end date of the timeframe.
/// </summary>
/// <param name="referenceDate">A reference date (can be a business day or a holiday).</param>
/// <param name="holidayCalendar">The (settlement) holiday calendar.</param>
/// <param name="startDate">The start date of the time span with respect to <paramref name="referenceDate" /> (output).</param>
/// <param name="endDate">The end date of the time span with respect to <paramref name="referenceDate" /> (output).</param>
/// <param name="logger">An optional logger.</param>
public void GetStartAndEndDate(DateTime referenceDate, IHolidayCalendar holidayCalendar, out DateTime startDate, out DateTime endDate, ILogger logger = null)
{
DateTime adjReferenceDate = SpotDateAdjustment.GetAdjustedDate(referenceDate, holidayCalendar);
if ((logger != null) && (adjReferenceDate != referenceDate))
{
logger.LogInformation("Reference date {0} has been adjusted to {1}.", referenceDate.ToShortDateString(), adjReferenceDate.ToShortDateString());
}
DateTime spotDate = adjReferenceDate;
switch (Tenor.TenorType)
{
case TenorType.Overnight:
startDate = StartDateAdjustment.GetAdjustedDate(spotDate, holidayCalendar);
endDate = EndDateAdjustment.GetAdjustedDate(startDate.AddDays(1), holidayCalendar);
break;
case TenorType.TomorrowNext:
if ((SpotDateAdjustment.AdjustmentType != BusinessDayAdjustmentType.AdjustmentToBusinessDay) && (holidayCalendar.IsBusinessDay(spotDate) == false))
{
spotDate = holidayCalendar.GetForwardAdjustedBusinessDay(spotDate);
}
startDate = StartDateAdjustment.GetAdjustedDate(holidayCalendar.AddBusinessDays(spotDate, 1), holidayCalendar);
endDate = EndDateAdjustment.GetAdjustedDate(startDate.AddDays(1), holidayCalendar);
break;
case TenorType.RegularTenor:
if ((SpotDateAdjustment.AdjustmentType != BusinessDayAdjustmentType.AdjustmentToBusinessDay) && (holidayCalendar.IsBusinessDay(spotDate) == false))
{
if (BusinessDaysToSettle > 0)
{
spotDate = holidayCalendar.GetForwardAdjustedBusinessDay(spotDate);
}
else if (BusinessDaysToSettle < 0)
{
spotDate = holidayCalendar.GetPreviousAdjustedBusinessDay(spotDate);
}
}
if (BusinessDaysToSettle != 0)
{
startDate = StartDateAdjustment.GetAdjustedDate(holidayCalendar.AddBusinessDays(spotDate, BusinessDaysToSettle), holidayCalendar);
}
else
{
startDate = StartDateAdjustment.GetAdjustedDate(spotDate, holidayCalendar);
}
endDate = EndDateAdjustment.GetAdjustedDate(startDate.AddTenorTimeSpan(Tenor), holidayCalendar);
break;
default:
throw new NotImplementedException();
}
}
/// <summary>Gets an adjusted date with respect to a specific <see cref="System.DateTime"/> object.
/// </summary>
/// <param name="date">The date.</param>
/// <param name="holidayCalendar">The holiday calendar.</param>
/// <returns>The <see cref="System.DateTime"/> object that is given by <paramref name="date"/> taken into account the business day
/// convention represented by the current instance.
/// </returns>
/// <remarks>Perhaps the return value is not a business day, for example in the case of some end-of-month adjustment or 'no adjustment'.</remarks>
public DateTime GetAdjustedDate(DateTime date, IHolidayCalendar holidayCalendar)
{
DateTime FirstDayOfMonth = new DateTime(date.Year, date.Month, 1);
int wednesdayIndex = ((10 - ((int)FirstDayOfMonth.DayOfWeek)) % 7 + 1) + 14;
/* if the wednesday is a business day, we go two business days back, otherwise one
* business day. In general in both cases the 'monday' will be returned: */
DateTime previousBusinessDay = holidayCalendar.GetPreviousAdjustedBusinessDay(new DateTime(date.Year, date.Month, wednesdayIndex));
if (previousBusinessDay.DayOfWeek == DayOfWeek.Wednesday) // wednesday is some business day
{
return(holidayCalendar.AddBusinessDays(previousBusinessDay, -2));
}
return(holidayCalendar.AddBusinessDays(previousBusinessDay, -1));
}
/// <summary>Gets the start and end date of the timeframe.
/// </summary>
/// <param name="referenceDate">A reference date (can be a business day or a holiday).</param>
/// <param name="holidayCalendar">The (settlement) holiday calendar.</param>
/// <param name="startDate">The start date of the time span with respect to <paramref name="referenceDate" /> (output).</param>
/// <param name="endDate">The end date of the time span with respect to <paramref name="referenceDate" /> (output).</param>
/// <param name="logger">An optional logger.</param>
public void GetStartAndEndDate(DateTime referenceDate, IHolidayCalendar holidayCalendar, out DateTime startDate, out DateTime endDate, ILogger logger = null)
{
DateTime adjReferenceDate = SpotDateAdjustment.GetAdjustedDate(referenceDate, holidayCalendar);
if ((logger != null) && (adjReferenceDate != referenceDate))
{
logger.LogInformation("Reference date {0} has been adjusted to {1}.", referenceDate.ToShortDateString(), adjReferenceDate.ToShortDateString());
}
DateTime spotDate = adjReferenceDate;
if ((SpotDateAdjustment.AdjustmentType != BusinessDayAdjustmentType.AdjustmentToBusinessDay) && (holidayCalendar.IsBusinessDay(spotDate) == false))
{
if (BusinessDaysToSettle > 0)
{
spotDate = holidayCalendar.GetForwardAdjustedBusinessDay(spotDate);
}
else if (BusinessDaysToSettle < 0)
{
spotDate = holidayCalendar.GetPreviousAdjustedBusinessDay(spotDate);
}
}
if (BusinessDaysToSettle != 0)
{
startDate = StartDateAdjustment.GetAdjustedDate(holidayCalendar.AddBusinessDays(spotDate, BusinessDaysToSettle), holidayCalendar);
}
else
{
startDate = StartDateAdjustment.GetAdjustedDate(spotDate, holidayCalendar);
}
endDate = EndDateAdjustment.GetAdjustedDate(EndDate, holidayCalendar);
if ((logger != null) && (endDate != EndDate))
{
logger.LogInformation("End date {0} has been adjusted to {1}.", EndDate.ToShortDateString(), endDate.ToShortDateString());
}
}
/// <summary>Gets an adjusted date with respect to a specific <see cref="System.DateTime"/> object.
/// </summary>
/// <param name="date">The date.</param>
/// <param name="holidayCalendar">The holiday calendar.</param>
/// <returns>The <see cref="System.DateTime"/> object that is given by <paramref name="date"/> taken into account the business day
/// convention represented by the current instance.
/// </returns>
/// <remarks>Perhaps the return value is not a business day, for example in the case of some end-of-month adjustment or 'no adjustment'.</remarks>
public DateTime GetAdjustedDate(DateTime date, IHolidayCalendar holidayCalendar)
{
return(holidayCalendar.GetPreviousAdjustedBusinessDay(date));
}
/// <summary>Gets an adjusted date with respect to a specific <see cref="System.DateTime"/> object.
/// </summary>
/// <param name="date">The date.</param>
/// <param name="holidayCalendar">The holiday calendar.</param>
/// <returns>The <see cref="System.DateTime"/> object that is given by <paramref name="date"/> taken into account the business day
/// convention represented by the current instance.
/// </returns>
/// <remarks>Perhaps the return value is not a business day, for example in the case of some end-of-month adjustment or 'no adjustment'.</remarks>
public DateTime GetAdjustedDate(DateTime date, IHolidayCalendar holidayCalendar)
{
DateTime lastDayOfMonth = new DateTime(date.Year, date.Month, DateTime.DaysInMonth(date.Year, date.Month));
return(holidayCalendar.GetPreviousAdjustedBusinessDay(lastDayOfMonth));
}