public Date SubPeriod(string period, bool modFoll)
{
Period p = new Period(period);
TenorType tenorType = p.TenorType;
DateTime dateTime = CloneDateValue();
Date output = new Date();
switch (tenorType)
{
case TenorType.D:
output = new Date(this.DateValue.AddDays(-p.Tenor));
break;
case TenorType.W:
output = new Date(this.DateValue.AddDays(-p.Tenor * 7));
break;
case TenorType.M:
output = new Date(this.DateValue.AddMonths(-p.Tenor));
break;
case TenorType.Y:
output = new Date(this.DateValue.AddYears(-p.Tenor));
break;
default:
break;
}
if (modFoll)
{
output = output.GetModifiedFollowing();
}
return(output);
}
// Method Member: subtraction "period" to my date ("nd" will add "n" days, "nm" will add "n" months, "ny" will add "n" years), modified following can be considered or not
// new implementation
public Date sub_period(string period, bool modFoll)
{
Period p = new Period(period);
TenorType T = p.tenorType;
DateTime my_date = this.DateValue;
Date outPut = new Date();
switch (T)
{
case TenorType.D:
outPut = new Date(this.DateValue.AddDays(-p.tenor));
break;
case TenorType.W:
outPut = new Date(this.DateValue.AddDays(-p.tenor * 7));
break;
case TenorType.M:
outPut = new Date(this.DateValue.AddMonths(-p.tenor));
break;
case TenorType.Y:
outPut = new Date(this.DateValue.AddYears(-p.tenor));
break;
default:
break;
}
if (modFoll)
{
outPut = outPut.mod_foll();
}
return(outPut);
}
//Add Period to this date ("nd" will add "n" days, "nm" will add "n" months, "ny" will add "n" years)
//modified following can be considered or not
public Date AddPeriod(string periodStr, bool modFoll)
{
Period period = new Period(periodStr);
TenorType tenorType = period.TenorType;
DateTime date = this.DateValue;
Date output = new Date();
switch (tenorType)
{
case TenorType.D:
output = new Date(this.DateValue.AddDays(period.Tenor));
break;
case TenorType.W:
output = new Date(this.DateValue.AddDays(period.Tenor * 7));
break;
case TenorType.M:
output = new Date(this.DateValue.AddMonths(period.Tenor));
break;
case TenorType.Y:
output = new Date(this.DateValue.AddYears(period.Tenor));
break;
}
if (modFoll)
{
output = output.GetModifiedFollowing();
}
return(output);
}
public Period(string period)
{
char maturity = period[period.Length - 1];
int nPeriods = int.Parse(period.Remove(period.Length - 1, 1));
Tenor = nPeriods;
TenorType = (TenorType)Enum.Parse(typeof(TenorType), Convert.ToString(maturity).ToUpper());
}
public Period(string period)
{
char maturity = period[period.Length - 1];
int n_periods = int.Parse(period.Remove(period.Length - 1, 1));
tenor = n_periods;
// C# 3.0 Cookbook, par 20.10
tenorType = (TenorType)Enum.Parse(typeof(TenorType), Convert.ToString(maturity).ToUpper());
}
public Tenor(int duration, TenorType tenorType)
{
TenorType = tenorType;
Duration = duration;
if (duration == 0)
{
TenorType = TenorType.CalendarDay;
}
}
// type 으로 바꿔줌
public string convToTenor(string tenor, TenorType type)
{
int len = tenor.Length;
string periodMultiplier = tenor.Substring(0, len - 1);
string period = tenor.Substring(len - 1, 1);
if (period == "D")
{
return(tenor);
}
else if (period == "M")
{
if (type == TenorType.Month)
{
return(tenor);
}
else if (type == TenorType.Year)
{
double p = Convert.ToDouble(periodMultiplier) / 12.0;
double roundP = Math.Round(p, 1);
return(roundP.ToString() + "Y");
}
}
else if (period == "Y")
{
if (type == TenorType.Month)
{
double p = Convert.ToDouble(periodMultiplier) * 12.0;
double roundP = Math.Round(p, 0);
return(roundP.ToString() + "M");
}
else if (type == TenorType.Year)
{
double p = Convert.ToDouble(periodMultiplier) / 12.0;
double roundP = Math.Round(p, 1);
return(roundP.ToString() + "Y");
}
}
else
{
throw new Exception("unknown type tenor : " + tenor);
}
return(tenor);
}
/// <summary>Initializes a new instance of the <see cref="TenorTimeSpan"/> struct.
/// </summary>
/// <param name="years">The years.</param>
/// <param name="months">The months.</param>
/// <param name="days">The days.</param>
/// <remarks><see cref="TenorType"/> is set to <see cref="Dodoni.Finance.TenorType.RegularTenor"/>.</remarks>
/// <exception cref="ArgumentException">Thrown, if some argument is positiv and another is negative.</exception>
public TenorTimeSpan(int years, int months, int days)
{
if (((years >= 0) && (months >= 0) && (days >= 0)) || ((years <= 0) && (months <= 0) && (days <= 0)))
{
// normalize the number of months and years:
Years = years + months / 12; // the sign '+' is correct in any case
Months = months % 12;
Days = days;
}
else
{
throw new ArgumentException();
}
TenorType = TenorType.RegularTenor;
}
/// <summary>Initializes a new instance of the <see cref="TenorTimeSpan"/> struct.
/// </summary>
/// <param name="tenorType">The tenor type.</param>
/// <remarks>
/// <para>
/// This constructor will be used from the static constructor only.
/// </para>
/// The number of years and months will be set to <c>0</c>, the number of days is set to 1 ('ON') or 2 ('TN').</remarks>
/// <exception cref="ArgumentException">Thrown if <paramref name="tenorType"/> is not equal to <see cref="Dodoni.Finance.TenorType.TomorrowNext"/> or <see cref="Dodoni.Finance.TenorType.Overnight"/>
/// </exception>
private TenorTimeSpan(TenorType tenorType)
{
Years = 0;
Months = 0;
if (tenorType == TenorType.TomorrowNext)
{
Days = 2;
}
else if (tenorType == TenorType.Overnight)
{
Days = 1;
}
else
{
throw new ArgumentException("tenorType");
}
TenorType = tenorType;
}
public TenorType tenorType; // tenor type
// Constructors
public Period(int tenor, TenorType tenorType)
{
this.tenor = tenor;
this.tenorType = tenorType;
}
// type 으로 바꿔줌
public string convToTenor(string tenor,TenorType type)
{
int len = tenor.Length;
string periodMultiplier = tenor.Substring(0, len - 1);
string period = tenor.Substring(len - 1, 1);
if (period == "D")
{
return tenor;
}
else if (period == "M")
{
if (type == TenorType.Month)
{
return tenor;
}
else if (type == TenorType.Year)
{
double p = Convert.ToDouble(periodMultiplier) / 12.0;
double roundP = Math.Round(p, 1);
return roundP.ToString() + "Y";
}
}
else if (period == "Y")
{
if (type == TenorType.Month)
{
double p = Convert.ToDouble(periodMultiplier) * 12.0;
double roundP = Math.Round(p, 0);
return roundP.ToString() + "M";
}
else if (type == TenorType.Year)
{
double p = Convert.ToDouble(periodMultiplier) / 12.0;
double roundP = Math.Round(p, 1);
return roundP.ToString() + "Y";
}
}
else
{
throw new Exception("unknown type tenor : " + tenor);
}
return tenor;
}
/// <summary>Converts a string given in a tenor format, i.e. "6m", "1y6m" etc. to a number of
/// years, months and days.
/// </summary>
/// <param name="tenorString">The tenor string.</param>
/// <param name="years">The number of years (output).</param>
/// <param name="months">The number of months (output).</param>
/// <param name="days">The number of days (output).</param>
/// <param name="tenorType">The type of the tenor (output).</param>
/// <returns>Returns an instance of <see cref="TenorTimeSpan"/> with the number of years,
/// months and days according to <paramref name="tenorString"/> or null if
/// the given string could not be converted.</returns>
/// <remarks>Also overnight or tomorrow next will be converted from a string.</remarks>
/// <exception cref=" ArgumentNullException">Thrown, if <paramref name="tenorString"/> is <c>null</c>.</exception>
internal static bool TryParse(string tenorString, out int years, out int months, out int days, out TenorType tenorType)
{
years = months = days = 0;
tenorType = TenorType.RegularTenor;
if (tenorString == null)
{
throw new ArgumentNullException("tenorString");
}
tenorString = tenorString.Replace(" ", String.Empty);
if (((tenorString.Length == 1) && (tenorString[0] == '0')) || (tenorString.ToIDString() == sm_NullTenorIdentifierStringRepresentation.IDString)) // special: '0' and "<null>" will be interpreted as 'null'
{
years = months = days = 0;
tenorType = TenorType.RegularTenor;
return(true);
}
if (sm_TenorRegularExpression.IsMatch(tenorString))
{
int sign = 1;
MatchCollection matchCollection;
if (tenorString[0] == '-')
{
sign = -1;
matchCollection = sm_TenorSubRegularExpression.Matches(tenorString, 1);
}
else
{
matchCollection = sm_TenorSubRegularExpression.Matches(tenorString);
}
foreach (Match match in matchCollection)
{
/* mach is of the form '5y', '7m' etc., i.e. the last character is the unitiy:*/
char unityAsChar = match.Value[match.Length - 1];
int number = Int32.Parse(match.Value.Remove(match.Length - 1));
switch (unityAsChar)
{
case 'Y':
case 'y':
years += sign * number;
break;
case 'M':
case 'm':
months += sign * number;
break;
case 'W':
case 'w':
days += sign * 7 * number;
break;
case 'D':
case 'd':
days += sign * number;
break;
}
}
return(true);
}
else /* maybe it is overnight or tomorrow next */
{
days = 1;
tenorString = tenorString.ToUpper();
if (tenorString == OvernightTenorStringRepresentation)
{
tenorType = TenorType.Overnight;
return(true);
}
else if (tenorString == TomorrowNextTenorStringRepresentation)
{
tenorType = TenorType.TomorrowNext;
return(true);
}
}
return(false);
}
public void Parse_TestCaseException(string tenorString, int expectedYears, int expectedMonths, int expectedDays, bool expectedIsPositive, TenorType expectedTenorType, Type expectedException)
{
Assert.Throws(expectedException, () =>
{
TenorTimeSpan actualTenor = TenorTimeSpan.Parse(tenorString);
Assert.That(actualTenor.Years, Is.EqualTo(expectedYears), "Years component");
Assert.That(actualTenor.Months, Is.EqualTo(expectedMonths), "Months component");
Assert.That(actualTenor.Days, Is.EqualTo(expectedDays), "Days component");
Assert.That(actualTenor.TenorType, Is.EqualTo(expectedTenorType), "Tenor type component");
Assert.That(actualTenor.IsPositive, Is.EqualTo(expectedIsPositive), "IsPositive component");
});
}
public TenorType TenorType; //tenor type
public Period(int tenor, TenorType tenorType)
{
Tenor = tenor;
TenorType = tenorType;
}
public static string TenorTypeString(TenorType tenorType)
{
switch (tenorType)
{
case TenorType.CalendarDay:
return "d";
case TenorType.BusinessDay:
return "b";
case TenorType.Week:
return "w";
case TenorType.Month:
return "m";
case TenorType.Year:
return "y";
default:
return "?";
}
}
