public static void DayCompoundingTest()
{
DateTime AsOf = new DateTime(2017, 1, 15);
DateTime Start = new DateTime(2017, 1, 31);
DateTime End = new DateTime(2017, 2, 19);
DayRule DayRule = DayRule.F;
DayCount DayCount = DayCount.ACT360;
DateTime Temp = Start;
double Compound = 1;
while (Temp < End)
{
double Rate = 0.1;
DateTime NewDate = DateHandling.AddTenorAdjust(Temp, "1B", DayRule);
double Days = NewDate.Subtract(Temp).TotalDays;
Console.WriteLine("Day: " + Temp.DayOfWeek + " to " + NewDate.DayOfWeek + ". Days: " + Days);
Temp = NewDate;
Compound *= (1 + Rate * Days / 365);
Console.Write(" .. Compound: " + Compound + " . ");
}
Compound = (Compound - 1) / (DateHandling.Cvg(Start, End, DayCount));
Console.WriteLine("Compound: " + Compound);
DateTime End2 = DateHandling.AddTenorAdjust(Start, "68M");
SwapSchedule SwapSchedule = new SwapSchedule(AsOf, Start, End2, DayCount.ACT360, DayRule.MF, CurveTenor.Fwd6M, StubPlacement.Beginning);
SwapSchedule.Print();
SwapSchedule SwapSchedule2 = new SwapSchedule(AsOf, Start, End2, DayCount.ACT360, DayRule.MF, CurveTenor.Fwd6M, StubPlacement.End);
SwapSchedule2.Print();
}
public static void DateTest()
{
Console.WriteLine("--------- Day roll test");
DateTime MyDate = new DateTime(2017, 1, 27);
DateTime MyDate2 = new DateTime(2025, 3, 27);
Console.WriteLine("MyDate: " + DateHandling.AddTenorAdjust(MyDate, "5b", DayRule.F));
Console.WriteLine("MyDate: " + DateHandling.AddTenorAdjust(MyDate, "5b", DayRule.MF));
Console.WriteLine("MyDate: " + DateHandling.AddTenorAdjust(MyDate, "5b", DayRule.P));
Console.WriteLine("--------- Coverage test");
Console.WriteLine("ACT/360: " + DateHandling.Cvg(MyDate, MyDate2, DayCount.ACT360));
Console.WriteLine("30/360: " + DateHandling.Cvg(MyDate, MyDate2, DayCount.THIRTY360));
SwapSchedule MySchedule = new SwapSchedule(DateTime.Now, MyDate, MyDate2, DayCount.ACT360, DayRule.MF, CurveTenor.Fwd6M);
MySchedule.Print();
MySchedule = new SwapSchedule(DateTime.Now, MyDate, MyDate2, DayCount.THIRTY360, DayRule.MF, CurveTenor.Fwd6M);
MySchedule.Print();
SwapSchedule MySchedule2 = new SwapSchedule(DateTime.Now, MyDate, MyDate2, DayCount.THIRTY360, DayRule.MF, CurveTenor.Fwd1Y);
MySchedule2.Print();
}
