public void CorrectlyCalculatesCLFuturesExpirationDates()
{
//Trading in the current delivery month shall cease on the third business day prior to the
//twenty-fifth calendar day of the month preceding the delivery month. If the twenty-fifth
//calendar day of the month is a non-business day, trading shall cease on the third business
//day prior to the last business day preceding the twenty-fifth calendar day.
var cl = new UnderlyingSymbol();
cl.Rule = new ExpirationRule
{
DaysBefore = 3,
DayType = DayType.Business,
ReferenceRelativeMonth = RelativeMonth.PreviousMonth,
ReferenceUsesDays = true,
ReferenceDays = 25,
ReferenceDayMustBeBusinessDay = true
};
DateTime jan14Expiration = cl.ExpirationDate(2014, 1);
Assert.AreEqual(new DateTime(2013, 12, 19), jan14Expiration);
DateTime feb14Expiration = cl.ExpirationDate(2014, 2);
Assert.AreEqual(new DateTime(2014, 1, 21), feb14Expiration);
DateTime mar14Expiration = cl.ExpirationDate(2014, 3);
Assert.AreEqual(new DateTime(2014, 2, 20), mar14Expiration);
DateTime apr14Expiration = cl.ExpirationDate(2014, 4);
Assert.AreEqual(new DateTime(2014, 3, 20), apr14Expiration);
DateTime may14Expiration = cl.ExpirationDate(2014, 5);
Assert.AreEqual(new DateTime(2014, 4, 22), may14Expiration);
}
public void CorrectlyCalculates6EFuturesExpirationDates()
{
//9:16 a.m. Central Time (CT) on the second business day immediately preceding
//the third Wednesday of the contract month (usually Monday).
var eur = new UnderlyingSymbol();
eur.Rule = new ExpirationRule
{
DaysBefore = 2,
DayType = DayType.Business,
ReferenceRelativeMonth = RelativeMonth.CurrentMonth,
ReferenceUsesDays = false,
ReferenceWeekDay = DayOfTheWeek.Wednesday,
ReferenceWeekDayCount = WeekDayCount.Third
};
DateTime dec13Expiration = eur.ExpirationDate(2013, 12);
Assert.AreEqual(new DateTime(2013, 12, 16), dec13Expiration);
DateTime mar14Expiration = eur.ExpirationDate(2014, 3);
Assert.AreEqual(new DateTime(2014, 3, 17), mar14Expiration);
DateTime jun14Expiration = eur.ExpirationDate(2014, 6);
Assert.AreEqual(new DateTime(2014, 6, 16), jun14Expiration);
DateTime sep14Expiration = eur.ExpirationDate(2014, 9);
Assert.AreEqual(new DateTime(2014, 9, 15), sep14Expiration);
DateTime dec14Expiration = eur.ExpirationDate(2014, 12);
Assert.AreEqual(new DateTime(2014, 12, 15), dec14Expiration);
}
public void CorrectlyCalculatesESFuturesExpirationDates()
{
//Trading can occur up to 8:30 a.m. on the 3rd Friday of the contract month
var es = new UnderlyingSymbol();
es.Rule = new ExpirationRule
{
DaysBefore = 0,
DayType = DayType.Calendar,
ReferenceRelativeMonth = RelativeMonth.CurrentMonth,
ReferenceUsesDays = false,
ReferenceWeekDay = DayOfTheWeek.Friday,
ReferenceWeekDayCount = WeekDayCount.Third
};
DateTime dec13Expiration = es.ExpirationDate(2013, 12);
Assert.AreEqual(new DateTime(2013, 12, 20), dec13Expiration);
DateTime mar14Expiration = es.ExpirationDate(2014, 3);
Assert.AreEqual(new DateTime(2014, 3, 21), mar14Expiration);
DateTime jun14Expiration = es.ExpirationDate(2014, 6);
Assert.AreEqual(new DateTime(2014, 6, 20), jun14Expiration);
DateTime sep14Expiration = es.ExpirationDate(2014, 9);
Assert.AreEqual(new DateTime(2014, 9, 19), sep14Expiration);
DateTime dec14Expiration = es.ExpirationDate(2014, 12);
Assert.AreEqual(new DateTime(2014, 12, 19), dec14Expiration);
}
public void CorrectlyCalculatesVIXFuturesExpirationDates()
{
//The Wednesday that is thirty days prior to the third Friday of the calendar month
//immediately following the month in which the contract expires ("Final Settlement Date").
//If the third Friday of the month subsequent to expiration of the applicable VIX futures
//contract is a CBOE holiday, the Final Settlement Date for the contract shall be thirty days
//prior to the CBOE business day immediately preceding that Friday.
var vix = new UnderlyingSymbol();
vix.Rule = new ExpirationRule
{
DaysBefore = 30,
DayType = DayType.Calendar,
ReferenceRelativeMonth = RelativeMonth.NextMonth,
ReferenceUsesDays = false,
ReferenceWeekDay = DayOfTheWeek.Friday,
ReferenceWeekDayCount = WeekDayCount.Third,
ReferenceDayMustBeBusinessDay = true
};
DateTime dec13Expiration = vix.ExpirationDate(2013, 12);
Assert.AreEqual(new DateTime(2013, 12, 18), dec13Expiration);
DateTime jan14Expiration = vix.ExpirationDate(2014, 1);
Assert.AreEqual(new DateTime(2014, 1, 22), jan14Expiration);
DateTime feb14Expiration = vix.ExpirationDate(2014, 2);
Assert.AreEqual(new DateTime(2014, 2, 19), feb14Expiration);
DateTime mar14Expiration = vix.ExpirationDate(2014, 3);
Assert.AreEqual(new DateTime(2014, 3, 18), mar14Expiration);
DateTime apr14Expiration = vix.ExpirationDate(2014, 4);
Assert.AreEqual(new DateTime(2014, 4, 16), apr14Expiration);
DateTime may14Expiration = vix.ExpirationDate(2014, 5);
Assert.AreEqual(new DateTime(2014, 5, 21), may14Expiration);
}
public void CorrectlyCalculatesCMEWheatFuturesExpirationDates()
{
//The business day prior to the 15th calendar day of the contract month.
var zw = new UnderlyingSymbol();
zw.Rule = new ExpirationRule
{
DaysBefore = 1,
DayType = DayType.Business,
ReferenceRelativeMonth = RelativeMonth.CurrentMonth,
ReferenceUsesDays = true,
ReferenceDays = 15
};
DateTime dec13Expiration = zw.ExpirationDate(2013, 12);
Assert.AreEqual(new DateTime(2013, 12, 13), dec13Expiration);
DateTime mar14Expiration = zw.ExpirationDate(2014, 3);
Assert.AreEqual(new DateTime(2014, 3, 14), mar14Expiration);
DateTime may14Expiration = zw.ExpirationDate(2014, 5);
Assert.AreEqual(new DateTime(2014, 5, 14), may14Expiration);
DateTime jul14Expiration = zw.ExpirationDate(2014, 7);
Assert.AreEqual(new DateTime(2014, 7, 14), jul14Expiration);
DateTime sep14Expiration = zw.ExpirationDate(2014, 9);
Assert.AreEqual(new DateTime(2014, 9, 12), sep14Expiration);
DateTime dec14Expiration = zw.ExpirationDate(2014, 12);
Assert.AreEqual(new DateTime(2014, 12, 12), dec14Expiration);
}
public void CorrectlyCalculatesUltraTBondFuturesExpirationDates()
{
//Seventh business day preceding the last business day of the delivery month.
//Trading in expiring contracts closes at 12:01 p.m. on the last trading day.
var ub = new UnderlyingSymbol();
ub.Rule = new ExpirationRule
{
DaysBefore = 7,
DayType = DayType.Business,
ReferenceRelativeMonth = RelativeMonth.CurrentMonth,
ReferenceUsesDays = false,
ReferenceDayIsLastBusinessDayOfMonth = true
};
DateTime dec13Expiration = ub.ExpirationDate(2013, 12);
Assert.AreEqual(new DateTime(2013, 12, 19), dec13Expiration);
DateTime mar14Expiration = ub.ExpirationDate(2014, 3);
Assert.AreEqual(new DateTime(2014, 3, 20), mar14Expiration);
DateTime jun14Expiration = ub.ExpirationDate(2014, 6);
Assert.AreEqual(new DateTime(2014, 6, 19), jun14Expiration);
DateTime sep14Expiration = ub.ExpirationDate(2014, 9);
Assert.AreEqual(new DateTime(2014, 9, 19), sep14Expiration);
}
public void CorrectlyCalculatesGCFuturesExpirationDates()
{
//Trading terminates on the third last business day of the delivery month.
var ub = new UnderlyingSymbol();
ub.Rule = new ExpirationRule
{
DaysBefore = 2,
DayType = DayType.Business,
ReferenceRelativeMonth = RelativeMonth.CurrentMonth,
ReferenceUsesDays = false,
ReferenceDayIsLastBusinessDayOfMonth = true
};
DateTime dec13Expiration = ub.ExpirationDate(2013, 12);
Assert.AreEqual(new DateTime(2013, 12, 27), dec13Expiration);
DateTime jan14Expiration = ub.ExpirationDate(2014, 1);
Assert.AreEqual(new DateTime(2014, 1, 29), jan14Expiration);
DateTime feb14Expiration = ub.ExpirationDate(2014, 2);
Assert.AreEqual(new DateTime(2014, 2, 26), feb14Expiration);
DateTime mar14Expiration = ub.ExpirationDate(2014, 3);
Assert.AreEqual(new DateTime(2014, 3, 27), mar14Expiration);
DateTime apr14Expiration = ub.ExpirationDate(2014, 4);
Assert.AreEqual(new DateTime(2014, 4, 28), apr14Expiration);
}
