//! returns whether or not the given date is an ASX date
public static bool isASXdate(Date date, bool mainCycle = true)
{
if (date.weekday() != (int)DayOfWeek.Friday + 1)
{
return(false);
}
int d = date.Day;
if (d < 8 || d > 14)
{
return(false);
}
if (!mainCycle)
{
return(true);
}
switch ((Month)date.month())
{
case Month.March:
case Month.June:
case Month.September:
case Month.December:
return(true);
default:
return(false);
}
}
public static Date previousWednesday(Date date)
{
int w = date.weekday();
if (w >= 4) // roll back w-4 days
{
return(date - new Period((w - 4), TimeUnit.Days));
}
else // roll forward 4-w days and back one week
{
return(date + new Period((4 - w - 7), TimeUnit.Days));
}
}
protected override void initializeDates()
{
earliestDate_ = calendar_.advance(evaluationDate_, new Period(settlementDays_, TimeUnit.Days),
BusinessDayConvention.Following);
Date maturity = earliestDate_ + tenor_;
// dummy BMA index with curve/swap arguments
BMAIndex clonedIndex = new BMAIndex(termStructureHandle_);
Schedule bmaSchedule = new MakeSchedule().from(earliestDate_).to(maturity)
.withTenor(bmaPeriod_)
.withCalendar(bmaIndex_.fixingCalendar())
.withConvention(bmaConvention_)
.backwards()
.value();
Schedule liborSchedule = new MakeSchedule().from(earliestDate_).to(maturity)
.withTenor(iborIndex_.tenor())
.withCalendar(iborIndex_.fixingCalendar())
.withConvention(iborIndex_.businessDayConvention())
.endOfMonth(iborIndex_.endOfMonth())
.backwards()
.value();
swap_ = new BMASwap(BMASwap.Type.Payer, 100.0, liborSchedule, 0.75, // arbitrary
0.0, iborIndex_, iborIndex_.dayCounter(), bmaSchedule, clonedIndex, bmaDayCount_);
swap_.setPricingEngine(new DiscountingSwapEngine(iborIndex_.forwardingTermStructure()));
Date d = calendar_.adjust(swap_.maturityDate(), BusinessDayConvention.Following);
int w = d.weekday();
Date nextWednesday = (w >= 4) ? d + new Period((11 - w), TimeUnit.Days) :
d + new Period((4 - w), TimeUnit.Days);
latestDate_ = clonedIndex.valueDate(clonedIndex.fixingCalendar().adjust(nextWednesday));
}
public void testConsistency()
{
//("Testing dates...");
int minDate = Date.minDate().serialNumber() + 1,
maxDate = Date.maxDate().serialNumber();
int dyold = new Date(minDate - 1).DayOfYear,
dold = new Date(minDate - 1).Day,
mold = new Date(minDate - 1).Month,
yold = new Date(minDate - 1).Year,
wdold = new Date(minDate - 1).weekday();
for (int i = minDate; i <= maxDate; i++)
{
Date t = new Date(i);
int serial = t.serialNumber();
// check serial number consistency
if (serial != i)
Assert.Fail("inconsistent serial number:\n"
+ " original: " + i + "\n"
+ " date: " + t + "\n"
+ " serial number: " + serial);
int dy = t.DayOfYear,
d = t.Day,
m = t.Month,
y = t.Year,
wd = t.weekday();
// check if skipping any date
if (!((dy == dyold + 1) ||
(dy == 1 && dyold == 365 && !Date.IsLeapYear(yold)) ||
(dy == 1 && dyold == 366 && Date.IsLeapYear(yold))))
Assert.Fail("wrong day of year increment: \n"
+ " date: " + t + "\n"
+ " day of year: " + dy + "\n"
+ " previous: " + dyold);
dyold = dy;
if (!((d == dold + 1 && m == mold && y == yold) ||
(d == 1 && m == mold + 1 && y == yold) ||
(d == 1 && m == 1 && y == yold + 1)))
Assert.Fail("wrong day,month,year increment: \n"
+ " date: " + t + "\n"
+ " day,month,year: "
+ d + "," + m + "," + y + "\n"
+ " previous: "
+ dold + "," + mold + "," + yold);
dold = d; mold = m; yold = y;
// check month definition
if (m < 1 || m > 12)
Assert.Fail("invalid month: \n"
+ " date: " + t + "\n"
+ " month: " + m);
// check day definition
if (d < 1)
Assert.Fail("invalid day of month: \n"
+ " date: " + t + "\n"
+ " day: " + d);
if (!((m == 1 && d <= 31) ||
(m == 2 && d <= 28) ||
(m == 2 && d == 29 && Date.IsLeapYear(y)) ||
(m == 3 && d <= 31) ||
(m == 4 && d <= 30) ||
(m == 5 && d <= 31) ||
(m == 6 && d <= 30) ||
(m == 7 && d <= 31) ||
(m == 8 && d <= 31) ||
(m == 9 && d <= 30) ||
(m == 10 && d <= 31) ||
(m == 11 && d <= 30) ||
(m == 12 && d <= 31)))
Assert.Fail("invalid day of month: \n"
+ " date: " + t + "\n"
+ " day: " + d);
// check weekday definition
if (!((wd == wdold + 1) ||
(wd == 1 && wdold == 7)))
Assert.Fail("invalid weekday: \n"
+ " date: " + t + "\n"
+ " weekday: " + wd + "\n"
+ " previous: " + wdold);
wdold = wd;
// create the same date with a different constructor
Date s = new Date(d, m, y);
// check serial number consistency
serial = s.serialNumber();
if (serial != i)
Assert.Fail("inconsistent serial number:\n"
+ " date: " + t + "\n"
+ " serial number: " + i + "\n"
+ " cloned date: " + s + "\n"
+ " serial number: " + serial);
}
}
public static Date previousWednesday(Date date) {
int w = date.weekday();
if (w >= 4) // roll back w-4 days
return date - new Period((w - 4), TimeUnit.Days);
else // roll forward 4-w days and back one week
return date + new Period((4 - w - 7), TimeUnit.Days);
}
