/// <summary>
/// Gets the adjusted calculation period start dates.
/// </summary>
/// <param name="effectiveDate">The effective date.</param>
/// <param name="terminationDate">The termination date.</param>
/// <param name="periodInterval">The period interval.</param>
/// <param name="rollConvention">The roll convention.</param>
/// <param name="firstRegularPeriodDate">The first regular period date.</param>
/// <param name="stubPeriodType">Type of the stub period.</param>
/// <param name="businessCalendar">The businessCalendar.</param>
/// <param name="businessDayConvention">The business day convention.</param>
/// <returns>A vertical range of dates.</returns>
public static DateTime[] GetAdjustedCalculationPeriodDates(DateTime effectiveDate, DateTime terminationDate,
string periodInterval, string rollConvention, DateTime firstRegularPeriodDate, string stubPeriodType,
IBusinessCalendar businessCalendar, string businessDayConvention)
{
const string dateToReturn = "unadjustedStartDate";
StubPeriodTypeEnum?stubType = null;
if (!string.IsNullOrEmpty(stubPeriodType))
{
stubType = (StubPeriodTypeEnum)Enum.Parse(typeof(StubPeriodTypeEnum), stubPeriodType, true);
}
var periods = CalculationPeriodHelper.GenerateUnadjustedCalculationDates(effectiveDate, terminationDate, firstRegularPeriodDate, PeriodHelper.Parse(periodInterval), RollConventionEnumHelper.Parse(rollConvention), stubType);
var dates = CalculationPeriodHelper.GetCalculationPeriodsProperty <DateTime>(periods, dateToReturn);
var newDates = new DateTime[dates.Count];
var index = 0;
foreach (var date in dates)
{
var newDate = BusinessCalendarHelper.Advance(businessCalendar, date, "Calendar", "0D", businessDayConvention);
newDates[index] = newDate;
index++;
}
var result = newDates;
return(result);
}
/// <summary>
/// Returns the unadjusted the calculation dates
/// </summary>
/// <param name="effectiveDate">The effective date.</param>
/// <param name="terminationDate">The termination date.</param>
/// <param name="intervalToFirstRegularPeriodStart">The interval to first regular period start.</param>
/// <param name="periodInterval">The period interval.</param>
/// <param name="rollConvention">The roll convention.</param>
/// <param name="stubPeriodType">Type of the stub period.</param>
/// <returns></returns>
public static DateTime[] UnadjustedCalculationDatesFromFirstRegularInterval(DateTime effectiveDate, DateTime terminationDate, string intervalToFirstRegularPeriodStart, string periodInterval, string rollConvention, string stubPeriodType)
{
const string dateToReturn = "unadjustedStartDate";
StubPeriodTypeEnum?stubType = null;
if (!string.IsNullOrEmpty(stubPeriodType))
{
stubType = (StubPeriodTypeEnum)Enum.Parse(typeof(StubPeriodTypeEnum), stubPeriodType, true);
}
var periods = CalculationPeriodHelper.GenerateUnadjustedCalculationDates(effectiveDate, terminationDate, PeriodHelper.Parse(periodInterval), PeriodHelper.Parse(intervalToFirstRegularPeriodStart), RollConventionEnumHelper.Parse(rollConvention), stubType);
var dates = CalculationPeriodHelper.GetCalculationPeriodsProperty <DateTime>(periods, dateToReturn);
var result = dates.ToArray();
return(result);
}
public void RegularPeriodIntervalUnadjustedDates()
{
Boolean bFailureSet = false;
List <CalculationPeriod> unadjustedCalcPeriods;
try
{
// 5 year 3 month cash flow
DateTime startDate = new DateTime(2007, 01, 5);
Period intervalToMaturity = PeriodHelper.Parse("5Y");
Period periodInterval = PeriodHelper.Parse("3M");
CalculationPeriodSchedule cps = new CalculationPeriodSchedule();
unadjustedCalcPeriods = cps.GetUnadjustedCalculationDateSchedule(startDate, intervalToMaturity, periodInterval);
List <DateTime> dates = CalculationPeriodHelper.GetCalculationPeriodsProperty <DateTime>(unadjustedCalcPeriods, "unadjustedStartDate");
Assert.AreEqual(unadjustedCalcPeriods.Count, 20);
Assert.IsFalse(cps.HasInitialStub);
Assert.IsFalse(cps.HasFinalStub);
// 3 year 6 month cash flow
startDate = new DateTime(2010, 12, 3);
intervalToMaturity = PeriodHelper.Parse("3Y");
periodInterval = PeriodHelper.Parse("6M");
cps = new CalculationPeriodSchedule();
unadjustedCalcPeriods = cps.GetUnadjustedCalculationDateSchedule(startDate, intervalToMaturity, periodInterval);
dates = CalculationPeriodHelper.GetCalculationPeriodsProperty <DateTime>(unadjustedCalcPeriods, "unadjustedStartDate");
Assert.AreEqual(unadjustedCalcPeriods.Count, 6);
Assert.IsFalse(cps.HasInitialStub);
Assert.IsFalse(cps.HasFinalStub);
// This should generate an excpetion
startDate = new DateTime(2010, 12, 3);
intervalToMaturity = PeriodHelper.Parse("3Y");
periodInterval = PeriodHelper.Parse("7M");
cps = new CalculationPeriodSchedule();
unadjustedCalcPeriods = cps.GetUnadjustedCalculationDateSchedule(startDate, intervalToMaturity, periodInterval);
dates = CalculationPeriodHelper.GetCalculationPeriodsProperty <DateTime>(unadjustedCalcPeriods, "unadjustedStartDate");
Assert.AreEqual(unadjustedCalcPeriods.Count, 6);
Assert.IsFalse(cps.HasInitialStub);
Assert.IsFalse(cps.HasFinalStub);
Assert.IsTrue(!bFailureSet);
}
catch (Exception ex)
{
bFailureSet = true;
Console.WriteLine("RegularPeriodIntervalUnadjustedDates: " + ex.Message);
}
}
public void ShortFinalStubSpecified()
{
DateTime startDate = new DateTime(2007, 01, 5);
DateTime endDate = new DateTime(2012, 01, 5);
RollConventionEnum rollConvention = RollConventionEnum.Item26;
CalculationPeriodFrequency periodFrequency = CalculationPeriodFrequencyHelper.Parse("3M", rollConvention.ToString());
DateTime firstRegularPeriodDate = new DateTime(2007, 1, 26);
CalculationPeriodSchedule cps = new CalculationPeriodSchedule();
List <CalculationPeriod> unadjustedCalcPeriods = cps.GetUnadjustedCalculationDateSchedule(startDate, endDate, firstRegularPeriodDate, periodFrequency, StubPeriodTypeEnum.ShortFinal);
List <DateTime> dates = CalculationPeriodHelper.GetCalculationPeriodsProperty <DateTime>(unadjustedCalcPeriods, "unadjustedStartDate");
Assert.AreEqual(unadjustedCalcPeriods.Count, 21);
Assert.IsTrue(cps.HasFinalStub);
Assert.IsTrue(cps.HasInitialStub);
Assert.IsTrue(CalculationPeriodHelper.IsShortStub(unadjustedCalcPeriods[unadjustedCalcPeriods.Count - 1], cps.PeriodInterval));
}
public void RegularPeriodFrequencyUnadjustedDates()
{
// 5 year 3 month cash flow
DateTime startDate = new DateTime(2007, 01, 5);
RollConventionEnum rollConvention = RollConventionEnum.Item26;
CalculationPeriodFrequency frequencyToMaturity = CalculationPeriodFrequencyHelper.Parse("5Y", rollConvention.ToString());
CalculationPeriodFrequency periodFrequency = CalculationPeriodFrequencyHelper.Parse("3M", rollConvention.ToString());
CalculationPeriodSchedule cps = new CalculationPeriodSchedule();
List <CalculationPeriod> unadjustedCalcPeriods = cps.GetUnadjustedCalculationDateSchedule(startDate, frequencyToMaturity, periodFrequency);
List <DateTime> dates = CalculationPeriodHelper.GetCalculationPeriodsProperty <DateTime>(unadjustedCalcPeriods, "unadjustedStartDate");
Assert.AreEqual(unadjustedCalcPeriods.Count, 20);
Assert.IsFalse(cps.HasInitialStub);
Assert.IsFalse(cps.HasFinalStub);
}
