public FinancialPeriod GetCouponPeriod(FinancialDay settlementDay, FinancialDay maturityDay, int frequency)
{
var periods = new List <FinancialPeriod>();
var settlementDate = settlementDay.ToDateTime();
var tmpDay = maturityDay;
var lastDay = tmpDay;
while (tmpDay.ToDateTime() > settlementDate)
{
switch (frequency)
{
case 1:
tmpDay = tmpDay.SubtractYears(1);
break;
case 2:
tmpDay = tmpDay.SubtractMonths(6, maturityDay.Day);
break;
case 4:
tmpDay = tmpDay.SubtractMonths(3, maturityDay.Day);
break;
default:
throw new ArgumentException("frequency");
}
if (tmpDay > settlementDay)
{
lastDay = tmpDay;
}
}
return(new FinancialPeriod(tmpDay, lastDay));
}
public int GetNumberOfCouponPeriods(FinancialDay settlementDay, FinancialDay maturityDay, int frequency)
{
var settlementDate = settlementDay.ToDateTime();
var tmpDay = maturityDay;
var lastDay = tmpDay;
var nPeriods = 0;
while (tmpDay.ToDateTime() > settlementDate)
{
switch (frequency)
{
case 1:
tmpDay = tmpDay.SubtractYears(1);
break;
case 2:
tmpDay = tmpDay.SubtractMonths(6, maturityDay.Day);
break;
case 4:
tmpDay = tmpDay.SubtractMonths(3, maturityDay.Day);
break;
default:
throw new ArgumentException("frequency");
}
nPeriods++;
}
return(nPeriods);
}
public int CompareTo(FinancialDay other)
{
if (other is null)
{
return(1);
}
if (Year == other.Year && Month == other.Month && Day == other.Day)
{
return(0);
}
return(ToDateTime().CompareTo(other.ToDateTime()));
}
public double GetDaysBetweenDates(FinancialDay startDate, FinancialDay endDate)
{
if (startDate.Day == 31)
{
startDate.Day = 30;
}
if (endDate.Day == 31)
{
endDate.Day = 30;
}
return(GetDaysBetweenDates(startDate, endDate, 360));
}
protected double ActualDaysInLeapYear(FinancialDay start, FinancialDay end)
{
var daysInLeapYear = 0d;
for (var year = start.Year; year <= end.Year; year++)
{
if (System.DateTime.IsLeapYear(year))
{
if (year == start.Year)
{
daysInLeapYear += new System.DateTime(year + 1, 1, 1).Subtract(start.ToDateTime()).TotalDays;
}
else if (year == end.Year)
{
daysInLeapYear += end.ToDateTime().Subtract(new System.DateTime(year, 1, 1)).TotalDays;
}
else
{
daysInLeapYear += 366d;
}
}
}
return(daysInLeapYear);
}
public double GetDaysBetweenDates(FinancialDay startDate, FinancialDay endDate)
{
if (endDate.IsLastDayOfFebruary)
{
if (startDate.IsLastDayOfFebruary)
{
endDate.Day = 30;
startDate.Day = 30;
}
else
{
endDate.Day = 30;
}
}
if (endDate.Day == 31 && (startDate.Day == 30 || startDate.Day == 31))
{
endDate.Day = 30;
}
if (startDate.Day == 31)
{
startDate.Day = 30;
}
return(GetDaysBetweenDates(startDate, endDate, 360));
}
protected virtual double GetDaysBetweenDates(FinancialDay start, FinancialDay end, int basis)
{
return(basis * (end.Year - start.Year) + 30 * (end.Month - start.Month) + ((end.Day > 30 ? 30 : end.Day) - (start.Day > 30 ? 30 : start.Day)));
}
public FinancialPeriod(FinancialDay start, FinancialDay end)
{
Start = start;
End = end;
}
/// <summary>
/// Number of days between two <see cref="FinancialDay"/>s
/// </summary>
/// <param name="day">The other day</param>
/// <returns>Number of days according to the <see cref="DayCountBasis"/> of this day</returns>
public double SubtractDays(FinancialDay day)
{
var financialDays = FinancialDaysFactory.Create(Basis);
return(financialDays.GetDaysBetweenDates(this.ToDateTime(), day.ToDateTime()));
}
public double GetCoupdays(FinancialDay start, FinancialDay end, int frequency)
{
return(360d / frequency);
}
protected override double GetDaysBetweenDates(FinancialDay start, FinancialDay end, int basis)
{
return(end.ToDateTime().Subtract(start.ToDateTime()).TotalDays);
}
public double GetDaysBetweenDates(FinancialDay startDate, FinancialDay endDate)
{
return(GetDaysBetweenDates(startDate, endDate, 360));
}
public double GetCoupdays(FinancialDay start, FinancialDay end, int frequency)
{
return(GetDaysBetweenDates(start, end));
}
