private static CalculationPeriod Create(DateTime periodStartDate, DateTime periodEndDate
, CalculationPeriodFrequency frequency, BusinessDayAdjustments dateAdjustments
, IBusinessCalendar paymentCalendar, bool isFirstPeriodCreated)
{
var calculationPeriod = new CalculationPeriod();
// Apply ROLL CONVENTION (NOT A BUSINESS DAY CONVENTION!) to unadjusted period start and end dates.
//
DateTime rollConventionPeriodStartDate = periodStartDate;
DateTime rollConventionPeriodEndDate = periodEndDate;
var frequencyPeriod = EnumHelper.Parse <PeriodEnum>(frequency.period, true);
if (frequencyPeriod != PeriodEnum.D)//adjust if the frequency is NOT expressed in days
{
rollConventionPeriodStartDate = RollConventionEnumHelper.AdjustDate(frequency.rollConvention, periodStartDate);
rollConventionPeriodEndDate = RollConventionEnumHelper.AdjustDate(frequency.rollConvention, periodEndDate);
}
CalculationPeriodHelper.SetUnadjustedDates(calculationPeriod, rollConventionPeriodStartDate, rollConventionPeriodEndDate);
// Set adjusted period dates
//
DateTime adjustedPeriodStartDate = AdjustedDateHelper.ToAdjustedDate(paymentCalendar, rollConventionPeriodStartDate, dateAdjustments);
DateTime adjustedPeriodEndDate = AdjustedDateHelper.ToAdjustedDate(paymentCalendar, rollConventionPeriodEndDate, dateAdjustments);
if (isFirstPeriodCreated)
{
adjustedPeriodEndDate = periodEndDate;
}
CalculationPeriodHelper.SetAdjustedDates(calculationPeriod, adjustedPeriodStartDate, adjustedPeriodEndDate);
return(calculationPeriod);
}
private static void GeneratePeriodsBackward(DateTime firstRollDate, CalculationPeriodFrequency frequency,
BusinessDayAdjustments calculationPeriodDatesAdjustments,
CalculationPeriodsPrincipalExchangesAndStubs result,
DateTime adjustedEffectiveDate, StubPeriodTypeEnum?initialStubType
, IBusinessCalendar paymentCalendar)
{
DateTime periodEndDate = firstRollDate;
DateTime periodStartDate = AddPeriod(periodEndDate, IntervalHelper.FromFrequency(frequency), -1);
bool encounteredShortInitialStub = false;
//if (paymentCalendar == null)
//{
// paymentCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, calculationPeriodDatesAdjustments.businessCenters);
//}
do
{
var calculationPeriod = new CalculationPeriod();
// Apply ROLL CONVENTION (NOT A BUSINESS DAY CONVENTION!) to unadjusted period start and end dates.
//
DateTime rollConventionAdjustedPeriodStartDate = periodStartDate;
DateTime rollConventionAdjustedPeriodEndDate = periodEndDate;
var frequencyPeriod = EnumHelper.Parse <PeriodEnum>(frequency.period, true);
if (frequencyPeriod != PeriodEnum.D)//adjust if the frequency is NOT expressed in days
{
rollConventionAdjustedPeriodStartDate = RollConventionEnumHelper.AdjustDate(frequency.rollConvention, periodStartDate);
rollConventionAdjustedPeriodEndDate = RollConventionEnumHelper.AdjustDate(frequency.rollConvention, periodEndDate);
}
CalculationPeriodHelper.SetUnadjustedDates(calculationPeriod, rollConventionAdjustedPeriodStartDate, rollConventionAdjustedPeriodEndDate);
// Set adjusted period dates
//
DateTime adjustedPeriodStartDate = AdjustedDateHelper.ToAdjustedDate(paymentCalendar, rollConventionAdjustedPeriodStartDate, calculationPeriodDatesAdjustments);
DateTime adjustedPeriodEndDate = AdjustedDateHelper.ToAdjustedDate(paymentCalendar, rollConventionAdjustedPeriodEndDate, calculationPeriodDatesAdjustments);
CalculationPeriodHelper.SetAdjustedDates(calculationPeriod, adjustedPeriodStartDate, adjustedPeriodEndDate);
//if (calculationPeriod.unadjustedStartDate > adjustedEffectiveDate)
if (calculationPeriod.adjustedStartDate > adjustedEffectiveDate)
{
result.InsertFirst(calculationPeriod);
periodEndDate = periodStartDate;
periodStartDate = AddPeriod(periodEndDate, IntervalHelper.FromFrequency(frequency), -1);
}
//else if (calculationPeriod.unadjustedStartDate == adjustedEffectiveDate)//first period - not stub
else if (calculationPeriod.adjustedStartDate == adjustedEffectiveDate)//first period - not stub
{
result.InsertFirst(calculationPeriod);
break;
}
else//first period - short stub (merge with next period if a long stub specified)
{
encounteredShortInitialStub = true;
//calculationPeriod.unadjustedStartDate = adjustedEffectiveDate;
calculationPeriod.adjustedStartDate = adjustedEffectiveDate;
result.InitialStubCalculationPeriod = calculationPeriod;
break;
}
} while (true);
if (encounteredShortInitialStub && initialStubType == StubPeriodTypeEnum.LongInitial)
{
result.CreateLongInitialStub();
}
}
private static CalculationPeriod CreateStub(DateTime periodStartDate, DateTime periodEndDate
, BusinessDayAdjustments dateAdjustments, IBusinessCalendar paymentCalendar)
{
var calculationPeriod = new CalculationPeriod();
// Apply ROLL CONVENTION (NOT A BUSINESS DAY CONVENTION!) to unadjusted period start and end dates.
//
CalculationPeriodHelper.SetUnadjustedDates(calculationPeriod, periodStartDate, periodEndDate);
// Set adjusted period dates
//
DateTime adjustedPeriodStartDate = AdjustedDateHelper.ToAdjustedDate(paymentCalendar, periodStartDate, dateAdjustments);
DateTime adjustedPeriodEndDate = AdjustedDateHelper.ToAdjustedDate(paymentCalendar, periodEndDate, dateAdjustments);
CalculationPeriodHelper.SetAdjustedDates(calculationPeriod, adjustedPeriodStartDate, adjustedPeriodEndDate);
return(calculationPeriod);
}
