Пример #1
0
        public void CoupdaysNc_ShouldReturnNumberOfDays_ActualActual()
        {
            var settlement = new DateTime(2016, 02, 01);
            var maturity   = new DateTime(2019, 5, 31);

            var func = new CoupdaysncImpl(
                FinancialDayFactory.Create(settlement, DayCountBasis.Actual_Actual),
                FinancialDayFactory.Create(maturity, DayCountBasis.Actual_Actual),
                4,
                DayCountBasis.Actual_Actual
                );
            var result = func.Coupdaysnc();

            Assert.AreEqual(28d, result.Result);

            settlement = new DateTime(2016, 05, 30);
            maturity   = new DateTime(2019, 5, 31);

            func = new CoupdaysncImpl(
                FinancialDayFactory.Create(settlement, DayCountBasis.Actual_Actual),
                FinancialDayFactory.Create(maturity, DayCountBasis.Actual_Actual),
                4,
                DayCountBasis.Actual_Actual
                );
            result = func.Coupdaysnc();
            Assert.AreEqual(1d, result.Result);
        }
Пример #2
0
        public void CoupdaysNc_ShouldReturnNumberOfDays_Us_30_360()
        {
            var settlement = new DateTime(2016, 02, 01);
            var maturity   = new DateTime(2019, 5, 31);

            var func = new CoupdaysncImpl(
                FinancialDayFactory.Create(settlement, DayCountBasis.US_30_360),
                FinancialDayFactory.Create(maturity, DayCountBasis.US_30_360),
                4,
                DayCountBasis.US_30_360
                );
            var result = func.Coupdaysnc();

            Assert.AreEqual(29d, result.Result);

            settlement = new DateTime(2016, 05, 30);
            maturity   = new DateTime(2019, 5, 31);

            func = new CoupdaysncImpl(
                FinancialDayFactory.Create(settlement, DayCountBasis.US_30_360),
                FinancialDayFactory.Create(maturity, DayCountBasis.US_30_360),
                4,
                DayCountBasis.US_30_360
                );
            result = func.Coupdaysnc();
            Assert.AreEqual(0d, result.Result);

            settlement = new DateTime(2018, 08, 01);
            maturity   = new DateTime(2019, 03, 15);

            func = new CoupdaysncImpl(
                FinancialDayFactory.Create(settlement, DayCountBasis.US_30_360),
                FinancialDayFactory.Create(maturity, DayCountBasis.US_30_360),
                4,
                DayCountBasis.US_30_360
                );
            result = func.Coupdaysnc();
            Assert.AreEqual(44d, result.Result);

            // NB! Excel returns 29 on this one. Google sheets returns 28. As far as we can see it should be
            // 28, so that's how we have implemented it in EPPlus
            settlement = new DateTime(2018, 08, 01);
            maturity   = new DateTime(2020, 02, 29);

            func = new CoupdaysncImpl(
                FinancialDayFactory.Create(settlement, DayCountBasis.US_30_360),
                FinancialDayFactory.Create(maturity, DayCountBasis.US_30_360),
                4,
                DayCountBasis.US_30_360
                );
            result = func.Coupdaysnc();
            Assert.AreEqual(28d, result.Result);
        }
Пример #3
0
        public void CoupdaysNc_ShouldReturnNumberOfDays_European_30_360()
        {
            var settlement = new DateTime(2016, 02, 01);
            var maturity   = new DateTime(2019, 5, 31);

            var func = new CoupdaysncImpl(
                FinancialDayFactory.Create(settlement, DayCountBasis.European_30_360),
                FinancialDayFactory.Create(maturity, DayCountBasis.European_30_360),
                4,
                DayCountBasis.European_30_360
                );
            var result = func.Coupdaysnc();

            Assert.AreEqual(28d, result.Result);

            settlement = new DateTime(2016, 05, 30);
            maturity   = new DateTime(2019, 5, 31);

            func = new CoupdaysncImpl(
                FinancialDayFactory.Create(settlement, DayCountBasis.European_30_360),
                FinancialDayFactory.Create(maturity, DayCountBasis.European_30_360),
                4,
                DayCountBasis.European_30_360
                );
            result = func.Coupdaysnc();
            Assert.AreEqual(0d, result.Result);

            settlement = new DateTime(2018, 08, 01);
            maturity   = new DateTime(2019, 03, 15);

            func = new CoupdaysncImpl(
                FinancialDayFactory.Create(settlement, DayCountBasis.European_30_360),
                FinancialDayFactory.Create(maturity, DayCountBasis.European_30_360),
                4,
                DayCountBasis.European_30_360
                );
            result = func.Coupdaysnc();
            Assert.AreEqual(44d, result.Result);
        }
Пример #4
0
        protected override FinanceCalcResult <double> ExecuteFunction(FinancialDay settlementDate, FinancialDay maturityDate, int frequency, DayCountBasis basis = DayCountBasis.US_30_360)
        {
            var impl = new CoupdaysncImpl(settlementDate, maturityDate, frequency, basis);

            return(impl.Coupdaysnc());
        }