// overloaded constructors
public FuturesRateHelper(double price, Date immDate, int nMonths, Calendar calendar, BusinessDayConvention convention,
bool endOfMonth, DayCounter dayCounter, double convAdj)
: base(price)
{
convAdj_ = new Handle <Quote>(new SimpleQuote(convAdj));
if (!IMM.isIMMdate(immDate, false))
{
throw new ArgumentException(immDate + "is not a valid IMM date");
}
earliestDate_ = immDate;
latestDate_ = calendar.advance(immDate, new Period(nMonths, TimeUnit.Months), convention, endOfMonth);
yearFraction_ = dayCounter.yearFraction(earliestDate_, latestDate_);
}
public FuturesRateHelper(double price, Date immDate, IborIndex i, double convAdj)
: base(price)
{
convAdj_ = new Handle <Quote>(new SimpleQuote(convAdj));
if (!IMM.isIMMdate(immDate, false))
{
throw new ArgumentException(immDate + "is not a valid IMM date");
}
earliestDate_ = immDate;
Calendar cal = i.fixingCalendar();
latestDate_ = cal.advance(immDate, i.tenor(), i.businessDayConvention());
yearFraction_ = i.dayCounter().yearFraction(earliestDate_, latestDate_);
}
public FuturesRateHelper(Handle <Quote> price, Date immDate, int nMonths, Calendar calendar,
BusinessDayConvention convention, bool endOfMonth, DayCounter dayCounter,
Handle <Quote> convexityAdjustment)
: base(price)
{
convAdj_ = convexityAdjustment;
if (!IMM.isIMMdate(immDate, false))
{
throw new ArgumentException(immDate + "is not a valid IMM date");
}
earliestDate_ = immDate;
latestDate_ = calendar.advance(immDate, new Period(nMonths, TimeUnit.Months), convention, endOfMonth);
yearFraction_ = dayCounter.yearFraction(earliestDate_, latestDate_);
convAdj_.registerWith(update);
}
public static Date date(string immCode, Date refDate)
{
if (!isIMMcode(immCode, false))
{
throw new ArgumentException(immCode + " is not a valid IMM code");
}
Date referenceDate = (refDate ?? Settings.evaluationDate());
int m = "FGHJKMNQUVXZ".IndexOf(immCode.ToUpper()[0]) + 1;
if (m == 0)
{
throw new ArgumentException("invalid IMM month letter");
}
if (!Char.IsDigit(immCode[1]))
{
throw new ArgumentException(immCode + " is not a valid IMM code");
}
int y = immCode[1] - '0';
y += referenceDate.Year - (referenceDate.Year % 10);
/* year<10 are not valid years: to avoid a run-time
* exception in few lines below we need to add 10 years right away */
if (y == 0 && referenceDate.Year <= 1909)
{
y += 10;
}
Date result = IMM.nextDate(new Date(1, m, y), false);
if (result < referenceDate)
{
result = IMM.nextDate(new Date(1, m, y + 10), false);
}
return(result);
}
/// <summary>
/// rule based constructor
/// </summary>
/// <param name="effectiveDate"></param>
/// <param name="terminationDate"></param>
/// <param name="tenor"></param>
/// <param name="calendar"></param>
/// <param name="convention"></param>
/// <param name="terminationDateConvention"></param>
/// <param name="rule"></param>
/// <param name="endOfMonth"></param>
/// <param name="firstDate"></param>
/// <param name="nextToLastDate"></param>
public Schedule(Date effectiveDate,
Date terminationDate,
Period tenor,
Calendar calendar,
BusinessDayConvention convention,
BusinessDayConvention terminationDateConvention,
DateGeneration.Rule rule,
bool endOfMonth,
Date firstDate = null,
Date nextToLastDate = null)
{
calendar_ = calendar ?? new NullCalendar();
firstDate_ = firstDate == effectiveDate ? null : firstDate;
nextToLastDate_ = nextToLastDate == terminationDate ? null : nextToLastDate;
tenor_ = tenor;
convention_ = convention;
terminationDateConvention_ = terminationDateConvention;
rule_ = rule;
endOfMonth_ = allowsEndOfMonth(tenor) && endOfMonth;
// sanity checks
Utils.QL_REQUIRE(terminationDate != null, () => "null termination date");
// in many cases (e.g. non-expired bonds) the effective date is not
// really necessary. In these cases a decent placeholder is enough
if (effectiveDate == null && firstDate == null && rule == DateGeneration.Rule.Backward)
{
Date evalDate = Settings.evaluationDate();
Utils.QL_REQUIRE(evalDate < terminationDate, () => "null effective date", QLNetExceptionEnum.NullEffectiveDate);
int y;
if (nextToLastDate != null)
{
y = (nextToLastDate - evalDate) / 366 + 1;
effectiveDate = nextToLastDate - new Period(y, TimeUnit.Years);
}
else
{
y = (terminationDate - evalDate) / 366 + 1;
effectiveDate = terminationDate - new Period(y, TimeUnit.Years);
}
// More accurate , is the previous coupon date
if (effectiveDate > evalDate)
{
effectiveDate = effectiveDate - new Period(tenor_.length(), TimeUnit.Months);
}
else if (effectiveDate + new Period(tenor_.length(), TimeUnit.Months) < evalDate)
{
effectiveDate = effectiveDate + new Period(tenor_.length(), TimeUnit.Months);
}
}
else
{
Utils.QL_REQUIRE(effectiveDate != null, () => "null effective date", QLNetExceptionEnum.NullEffectiveDate);
}
Utils.QL_REQUIRE(effectiveDate < terminationDate, () =>
"effective date (" + effectiveDate +
") later than or equal to termination date (" +
terminationDate + ")"
);
if (tenor_.length() == 0)
{
rule_ = DateGeneration.Rule.Zero;
}
else
{
Utils.QL_REQUIRE(tenor.length() > 0, () => "non positive tenor (" + tenor + ") not allowed");
}
if (firstDate_ != null)
{
switch (rule_.Value)
{
case DateGeneration.Rule.Backward:
case DateGeneration.Rule.Forward:
Utils.QL_REQUIRE(firstDate_ > effectiveDate &&
firstDate_ < terminationDate, () =>
"first date (" + firstDate_ + ") out of effective-termination date range [" +
effectiveDate + ", " + terminationDate + ")");
// we should ensure that the above condition is still verified after adjustment
break;
case DateGeneration.Rule.ThirdWednesday:
Utils.QL_REQUIRE(IMM.isIMMdate(firstDate_, false), () => "first date (" + firstDate_ + ") is not an IMM date");
break;
case DateGeneration.Rule.Zero:
case DateGeneration.Rule.Twentieth:
case DateGeneration.Rule.TwentiethIMM:
case DateGeneration.Rule.OldCDS:
case DateGeneration.Rule.CDS:
case DateGeneration.Rule.CDS2015:
Utils.QL_FAIL("first date incompatible with " + rule_.Value + " date generation rule");
break;
default:
Utils.QL_FAIL("unknown rule (" + rule_.Value + ")");
break;
}
}
if (nextToLastDate_ != null)
{
switch (rule_.Value)
{
case DateGeneration.Rule.Backward:
case DateGeneration.Rule.Forward:
Utils.QL_REQUIRE(nextToLastDate_ > effectiveDate && nextToLastDate_ < terminationDate, () =>
"next to last date (" + nextToLastDate_ + ") out of effective-termination date range (" +
effectiveDate + ", " + terminationDate + "]");
// we should ensure that the above condition is still verified after adjustment
break;
case DateGeneration.Rule.ThirdWednesday:
Utils.QL_REQUIRE(IMM.isIMMdate(nextToLastDate_, false), () => "next-to-last date (" + nextToLastDate_ +
") is not an IMM date");
break;
case DateGeneration.Rule.Zero:
case DateGeneration.Rule.Twentieth:
case DateGeneration.Rule.TwentiethIMM:
case DateGeneration.Rule.OldCDS:
case DateGeneration.Rule.CDS:
case DateGeneration.Rule.CDS2015:
Utils.QL_FAIL("next to last date incompatible with " + rule_.Value + " date generation rule");
break;
default:
Utils.QL_FAIL("unknown rule (" + rule_.Value + ")");
break;
}
}
// calendar needed for endOfMonth adjustment
Calendar nullCalendar = new NullCalendar();
int periods = 1;
Date seed = new Date(), exitDate = new Date();
switch (rule_.Value)
{
case DateGeneration.Rule.Zero:
tenor_ = new Period(0, TimeUnit.Years);
dates_.Add(effectiveDate);
dates_.Add(terminationDate);
isRegular_.Add(true);
break;
case DateGeneration.Rule.Backward:
dates_.Add(terminationDate);
seed = terminationDate;
if (nextToLastDate_ != null)
{
dates_.Insert(0, nextToLastDate_);
Date temp = nullCalendar.advance(seed, -periods * tenor_, convention_, endOfMonth_.Value);
if (temp != nextToLastDate_)
{
isRegular_.Insert(0, false);
}
else
{
isRegular_.Insert(0, true);
}
seed = nextToLastDate_;
}
exitDate = effectiveDate;
if (firstDate_ != null)
{
exitDate = firstDate_;
}
while (true)
{
Date temp = nullCalendar.advance(seed, -periods * tenor_, convention_, endOfMonth_.Value);
if (temp < exitDate)
{
if (firstDate_ != null && (calendar_.adjust(dates_.First(), convention_) !=
calendar_.adjust(firstDate_, convention_)))
{
dates_.Insert(0, firstDate_);
isRegular_.Insert(0, false);
}
break;
}
else
{
// skip dates that would result in duplicates
// after adjustment
if (calendar_.adjust(dates_.First(), convention_) != calendar_.adjust(temp, convention_))
{
dates_.Insert(0, temp);
isRegular_.Insert(0, true);
}
++periods;
}
}
if (calendar_.adjust(dates_.First(), convention) != calendar_.adjust(effectiveDate, convention))
{
dates_.Insert(0, effectiveDate);
isRegular_.Insert(0, false);
}
break;
case DateGeneration.Rule.Twentieth:
case DateGeneration.Rule.TwentiethIMM:
case DateGeneration.Rule.ThirdWednesday:
case DateGeneration.Rule.OldCDS:
case DateGeneration.Rule.CDS:
case DateGeneration.Rule.CDS2015:
Utils.QL_REQUIRE(!endOfMonth, () => "endOfMonth convention incompatible with " + rule_.Value + " date generation rule");
goto case DateGeneration.Rule.Forward; // fall through
case DateGeneration.Rule.Forward:
if (rule_.Value == DateGeneration.Rule.CDS ||
rule_.Value == DateGeneration.Rule.CDS2015)
{
dates_.Add(previousTwentieth(effectiveDate, rule_.Value));
}
else
{
dates_.Add(effectiveDate);
}
seed = dates_.Last();
if (firstDate_ != null)
{
dates_.Add(firstDate_);
Date temp = nullCalendar.advance(seed, periods * tenor_, convention_, endOfMonth_.Value);
if (temp != firstDate_)
{
isRegular_.Add(false);
}
else
{
isRegular_.Add(true);
}
seed = firstDate_;
}
else if (rule_.Value == DateGeneration.Rule.Twentieth ||
rule_.Value == DateGeneration.Rule.TwentiethIMM ||
rule_.Value == DateGeneration.Rule.OldCDS ||
rule_.Value == DateGeneration.Rule.CDS ||
rule_.Value == DateGeneration.Rule.CDS2015)
{
Date next20th = nextTwentieth(effectiveDate, rule_.Value);
if (rule_ == DateGeneration.Rule.OldCDS)
{
// distance rule inforced in natural days
long stubDays = 30;
if (next20th - effectiveDate < stubDays)
{
// +1 will skip this one and get the next
next20th = nextTwentieth(next20th + 1, rule_.Value);
}
}
if (next20th != effectiveDate)
{
dates_.Add(next20th);
isRegular_.Add(false);
seed = next20th;
}
}
exitDate = terminationDate;
if (nextToLastDate_ != null)
{
exitDate = nextToLastDate_;
}
if (rule_ == DateGeneration.Rule.CDS2015 &&
nextTwentieth(terminationDate, rule_.Value) == terminationDate &&
terminationDate.month() % 2 == 1)
{
exitDate = nextTwentieth(terminationDate + 1, rule_.Value);
}
while (true)
{
Date temp = nullCalendar.advance(seed, periods * tenor_, convention_, endOfMonth_.Value);
if (temp > exitDate)
{
if (nextToLastDate_ != null &&
(calendar_.adjust(dates_.Last(), convention_) != calendar_.adjust(nextToLastDate_, convention_)))
{
dates_.Add(nextToLastDate_);
isRegular_.Add(false);
}
break;
}
else
{
// skip dates that would result in duplicates
// after adjustment
if (calendar_.adjust(dates_.Last(), convention_) != calendar_.adjust(temp, convention_))
{
dates_.Add(temp);
isRegular_.Add(true);
}
++periods;
}
}
if (calendar_.adjust(dates_.Last(), terminationDateConvention_.Value) !=
calendar_.adjust(terminationDate, terminationDateConvention_.Value))
{
if (rule_.Value == DateGeneration.Rule.Twentieth ||
rule_.Value == DateGeneration.Rule.TwentiethIMM ||
rule_.Value == DateGeneration.Rule.OldCDS ||
rule_.Value == DateGeneration.Rule.CDS)
{
dates_.Add(nextTwentieth(terminationDate, rule_.Value));
isRegular_.Add(true);
}
else if (rule_ == DateGeneration.Rule.CDS2015)
{
Date tentativeTerminationDate = nextTwentieth(terminationDate, rule_.Value);
if (tentativeTerminationDate.month() % 2 == 0)
{
dates_.Add(tentativeTerminationDate);
isRegular_.Add(true);
}
}
else
{
dates_.Add(terminationDate);
isRegular_.Add(false);
}
}
break;
default:
Utils.QL_FAIL("unknown rule (" + rule_.Value + ")");
break;
}
// adjustments
if (rule_ == DateGeneration.Rule.ThirdWednesday)
{
for (int i = 1; i < dates_.Count - 1; ++i)
{
dates_[i] = Date.nthWeekday(3, DayOfWeek.Wednesday, dates_[i].Month, dates_[i].Year);
}
}
if (endOfMonth && calendar_.isEndOfMonth(seed))
{
// adjust to end of month
if (convention_ == BusinessDayConvention.Unadjusted)
{
for (int i = 1; i < dates_.Count - 1; ++i)
{
dates_[i] = Date.endOfMonth(dates_[i]);
}
}
else
{
for (int i = 1; i < dates_.Count - 1; ++i)
{
dates_[i] = calendar_.endOfMonth(dates_[i]);
}
}
if (terminationDateConvention_ != BusinessDayConvention.Unadjusted)
{
dates_[0] = calendar_.endOfMonth(dates_.First());
dates_[dates_.Count - 1] = calendar_.endOfMonth(dates_.Last());
}
else
{
// the termination date is the first if going backwards,
// the last otherwise.
if (rule_ == DateGeneration.Rule.Backward)
{
dates_[dates_.Count - 1] = Date.endOfMonth(dates_.Last());
}
else
{
dates_[0] = Date.endOfMonth(dates_.First());
}
}
}
else
{
// first date not adjusted for CDS schedules
if (rule_ != DateGeneration.Rule.OldCDS)
{
dates_[0] = calendar_.adjust(dates_[0], convention_);
}
for (int i = 1; i < dates_.Count - 1; ++i)
{
dates_[i] = calendar_.adjust(dates_[i], convention_);
}
// termination date is NOT adjusted as per ISDA specifications, unless otherwise specified in the
// confirmation of the deal or unless we're creating a CDS schedule
if (terminationDateConvention_.Value != BusinessDayConvention.Unadjusted &&
rule_.Value != DateGeneration.Rule.CDS &&
rule_.Value != DateGeneration.Rule.CDS2015)
{
dates_[dates_.Count - 1] = calendar_.adjust(dates_.Last(), terminationDateConvention_.Value);
}
}
// Final safety checks to remove extra next-to-last date, if
// necessary. It can happen to be equal or later than the end
// date due to EOM adjustments (see the Schedule test suite
// for an example).
if (dates_.Count >= 2 && dates_[dates_.Count - 2] >= dates_.Last())
{
isRegular_[isRegular_.Count - 2] = (dates_[dates_.Count - 2] == dates_.Last());
dates_[dates_.Count - 2] = dates_.Last();
dates_.RemoveAt(dates_.Count - 1);
isRegular_.RemoveAt(isRegular_.Count - 1);
}
if (dates_.Count >= 2 && dates_[1] <= dates_.First())
{
isRegular_[1] = (dates_[1] == dates_.First());
dates_[1] = dates_.First();
dates_.RemoveAt(0);
isRegular_.RemoveAt(0);
}
Utils.QL_REQUIRE(dates_.Count > 1,
() => "degenerate single date (" + dates_[0] + ") schedule" +
"\n seed date: " + seed +
"\n exit date: " + exitDate +
"\n effective date: " + effectiveDate +
"\n first date: " + firstDate +
"\n next to last date: " + nextToLastDate +
"\n termination date: " + terminationDate +
"\n generation rule: " + rule_.Value +
"\n end of month: " + endOfMonth_.Value);
}
public Schedule(Date effectiveDate, Date terminationDate, Period tenor, Calendar calendar,
BusinessDayConvention convention, BusinessDayConvention terminationDateConvention,
DateGeneration.Rule rule, bool endOfMonth, Date firstDate, Date nextToLastDate)
{
// first save the properties
fullInterface_ = true;
tenor_ = tenor;
calendar_ = calendar;
convention_ = convention;
terminationDateConvention_ = terminationDateConvention;
rule_ = rule;
endOfMonth_ = endOfMonth;
if (firstDate == effectiveDate)
{
firstDate_ = null;
}
else
{
firstDate_ = firstDate;
}
if (nextToLastDate == terminationDate)
{
nextToLastDate_ = null;
}
else
{
nextToLastDate_ = nextToLastDate;
}
// sanity checks
Utils.QL_REQUIRE(terminationDate != null, "null termination date");
// in many cases (e.g. non-expired bonds) the effective date is not
// really necessary. In these cases a decent placeholder is enough
if (effectiveDate == null && firstDate == null && rule == DateGeneration.Rule.Backward)
{
Date evalDate = Settings.evaluationDate();
Utils.QL_REQUIRE(evalDate < terminationDate, "null effective date");
int y;
if (nextToLastDate != null)
{
y = (nextToLastDate - evalDate) / 366 + 1;
effectiveDate = nextToLastDate - new Period(y, TimeUnit.Years);
}
else
{
y = (terminationDate - evalDate) / 366 + 1;
effectiveDate = terminationDate - new Period(y, TimeUnit.Years);
}
}
else
{
Utils.QL_REQUIRE(effectiveDate != null, "null effective date");
}
if (tenor_.length() == 0)
{
rule_ = DateGeneration.Rule.Zero;
}
else
{
Utils.QL_REQUIRE(tenor.length() > 0, "non positive tenor (" + tenor + ") not allowed");
}
if (firstDate_ != null)
{
switch (rule_)
{
case DateGeneration.Rule.Backward:
case DateGeneration.Rule.Forward:
Utils.QL_REQUIRE(firstDate_ > effectiveDate &&
firstDate_ < terminationDate,
"first date (" + firstDate_ + ") out of effective-termination date range [" +
effectiveDate + ", " + terminationDate + ")");
// we should ensure that the above condition is still verified after adjustment
break;
case DateGeneration.Rule.ThirdWednesday:
Utils.QL_REQUIRE(IMM.isIMMdate(firstDate_, false), "first date (" + firstDate_ + ") is not an IMM date");
break;
case DateGeneration.Rule.Zero:
case DateGeneration.Rule.Twentieth:
case DateGeneration.Rule.TwentiethIMM:
case DateGeneration.Rule.OldCDS:
case DateGeneration.Rule.CDS:
Utils.QL_FAIL("first date incompatible with " + rule_ + " date generation rule");
break;
default:
Utils.QL_FAIL("unknown rule (" + rule_ + ")");
break;
}
}
if (nextToLastDate_ != null)
{
switch (rule_)
{
case DateGeneration.Rule.Backward:
case DateGeneration.Rule.Forward:
Utils.QL_REQUIRE(nextToLastDate_ > effectiveDate && nextToLastDate_ < terminationDate,
"next to last date (" + nextToLastDate_ + ") out of effective-termination date range (" +
effectiveDate + ", " + terminationDate + "]");
// we should ensure that the above condition is still verified after adjustment
break;
case DateGeneration.Rule.ThirdWednesday:
Utils.QL_REQUIRE(IMM.isIMMdate(nextToLastDate_, false), "next-to-last date (" + nextToLastDate_ +
") is not an IMM date");
break;
case DateGeneration.Rule.Zero:
case DateGeneration.Rule.Twentieth:
case DateGeneration.Rule.TwentiethIMM:
case DateGeneration.Rule.OldCDS:
case DateGeneration.Rule.CDS:
Utils.QL_FAIL("next to last date incompatible with " + rule_ + " date generation rule");
break;
default:
Utils.QL_FAIL("unknown rule (" + rule_ + ")");
break;
}
}
// calendar needed for endOfMonth adjustment
Calendar nullCalendar = new NullCalendar();
int periods = 1;
Date seed = new Date(), exitDate;
switch (rule_)
{
case DateGeneration.Rule.Zero:
tenor_ = new Period(0, TimeUnit.Years);
dates_.Add(effectiveDate);
dates_.Add(terminationDate);
isRegular_.Add(true);
break;
case DateGeneration.Rule.Backward:
dates_.Add(terminationDate);
seed = terminationDate;
if (nextToLastDate_ != null)
{
dates_.Insert(0, nextToLastDate_);
Date temp = nullCalendar.advance(seed, -periods * tenor_, convention_, endOfMonth_);
if (temp != nextToLastDate_)
{
isRegular_.Insert(0, false);
}
else
{
isRegular_.Insert(0, true);
}
seed = nextToLastDate_;
}
exitDate = effectiveDate;
if (firstDate_ != null)
{
exitDate = firstDate_;
}
while (true)
{
Date temp = nullCalendar.advance(seed, -periods * tenor_, convention_, endOfMonth_);
if (temp < exitDate)
{
if (firstDate_ != null && (calendar_.adjust(dates_.First(), convention_) !=
calendar_.adjust(firstDate_, convention_)))
{
dates_.Insert(0, firstDate_);
isRegular_.Insert(0, false);
}
break;
}
else
{
// skip dates that would result in duplicates
// after adjustment
if (calendar_.adjust(dates_.First(), convention_) != calendar_.adjust(temp, convention_))
{
dates_.Insert(0, temp);
isRegular_.Insert(0, true);
}
++periods;
}
}
if (calendar_.adjust(dates_.First(), convention) != calendar_.adjust(effectiveDate, convention))
{
dates_.Insert(0, effectiveDate);
isRegular_.Insert(0, false);
}
break;
case DateGeneration.Rule.Twentieth:
case DateGeneration.Rule.TwentiethIMM:
case DateGeneration.Rule.ThirdWednesday:
case DateGeneration.Rule.OldCDS:
case DateGeneration.Rule.CDS:
Utils.QL_REQUIRE(!endOfMonth, "endOfMonth convention incompatible with " + rule_ + " date generation rule");
goto case DateGeneration.Rule.Forward; // fall through
case DateGeneration.Rule.Forward:
if (rule_ == DateGeneration.Rule.CDS)
{
dates_.Add(previousTwentieth(effectiveDate, DateGeneration.Rule.CDS));
}
else
{
dates_.Add(effectiveDate);
}
seed = dates_.Last();
if (firstDate_ != null)
{
dates_.Add(firstDate_);
Date temp = nullCalendar.advance(seed, periods * tenor_, convention_, endOfMonth_);
if (temp != firstDate_)
{
isRegular_.Add(false);
}
else
{
isRegular_.Add(true);
}
seed = firstDate_;
}
else if (rule_ == DateGeneration.Rule.Twentieth ||
rule_ == DateGeneration.Rule.TwentiethIMM ||
rule_ == DateGeneration.Rule.OldCDS ||
rule_ == DateGeneration.Rule.CDS)
{
Date next20th = nextTwentieth(effectiveDate, rule_);
if (rule_ == DateGeneration.Rule.OldCDS)
{
// distance rule inforced in natural days
long stubDays = 30;
if (next20th - effectiveDate < stubDays)
{
// +1 will skip this one and get the next
next20th = nextTwentieth(next20th + 1, rule_);
}
}
if (next20th != effectiveDate)
{
dates_.Add(next20th);
isRegular_.Add(false);
seed = next20th;
}
}
exitDate = terminationDate;
if (nextToLastDate_ != null)
{
exitDate = nextToLastDate_;
}
while (true)
{
Date temp = nullCalendar.advance(seed, periods * tenor_, convention_, endOfMonth_);
if (temp > exitDate)
{
if (nextToLastDate_ != null &&
(calendar_.adjust(dates_.Last(), convention_) != calendar_.adjust(nextToLastDate_, convention_)))
{
dates_.Add(nextToLastDate_);
isRegular_.Add(false);
}
break;
}
else
{
// skip dates that would result in duplicates
// after adjustment
if (calendar_.adjust(dates_.Last(), convention_) != calendar_.adjust(temp, convention_))
{
dates_.Add(temp);
isRegular_.Add(true);
}
++periods;
}
}
if (calendar_.adjust(dates_.Last(), terminationDateConvention_) !=
calendar_.adjust(terminationDate, terminationDateConvention_))
{
if (rule_ == DateGeneration.Rule.Twentieth ||
rule_ == DateGeneration.Rule.TwentiethIMM ||
rule_ == DateGeneration.Rule.OldCDS ||
rule_ == DateGeneration.Rule.CDS)
{
dates_.Add(nextTwentieth(terminationDate, rule_));
isRegular_.Add(true);
}
else
{
dates_.Add(terminationDate);
isRegular_.Add(false);
}
}
break;
default:
Utils.QL_FAIL("unknown rule (" + rule_ + ")");
break;
}
// adjustments
if (rule_ == DateGeneration.Rule.ThirdWednesday)
{
for (int i = 1; i < dates_.Count - 1; ++i)
{
dates_[i] = Date.nthWeekday(3, DayOfWeek.Wednesday, dates_[i].Month, dates_[i].Year);
}
}
if (endOfMonth && calendar_.isEndOfMonth(seed))
{
// adjust to end of month
if (convention_ == BusinessDayConvention.Unadjusted)
{
for (int i = 0; i < dates_.Count - 1; ++i)
{
dates_[i] = Date.endOfMonth(dates_[i]);
}
}
else
{
for (int i = 0; i < dates_.Count - 1; ++i)
{
dates_[i] = calendar_.endOfMonth(dates_[i]);
}
}
if (terminationDateConvention_ != BusinessDayConvention.Unadjusted)
{
dates_[dates_.Count - 1] = calendar_.endOfMonth(dates_.Last());
}
}
else
{
// first date not adjusted for CDS schedules
if (rule_ != DateGeneration.Rule.OldCDS)
{
dates_[0] = calendar_.adjust(dates_[0], convention_);
}
for (int i = 1; i < dates_.Count - 1; ++i)
{
dates_[i] = calendar_.adjust(dates_[i], convention_);
}
// termination date is NOT adjusted as per ISDA specifications, unless otherwise specified in the
// confirmation of the deal or unless we're creating a CDS schedule
if (terminationDateConvention_ != BusinessDayConvention.Unadjusted ||
rule_ == DateGeneration.Rule.Twentieth ||
rule_ == DateGeneration.Rule.TwentiethIMM ||
rule_ == DateGeneration.Rule.OldCDS ||
rule_ == DateGeneration.Rule.CDS)
{
dates_[dates_.Count - 1] = calendar_.adjust(dates_.Last(), terminationDateConvention_);
}
}
// final safety check to remove duplicated last dates, if any
// it can happen if EOM is applied to two near dates
if (dates_.Count >= 2 && dates_[dates_.Count - 2] >= dates_.Last())
{
isRegular_[dates_.Count() - 2] = (dates_[dates_.Count() - 2] == dates_.Last());
dates_[dates_.Count() - 2] = dates_.Last();
dates_.RemoveAt(dates_.Count - 1);
isRegular_.RemoveAt(isRegular_.Count - 1);
}
}
public Schedule(Date effectiveDate__, Date terminationDate__, Period tenor__, Calendar calendar__,
BusinessDayConvention convention__, BusinessDayConvention terminationDateConvention__,
DateGeneration.Rule rule__, bool endOfMonth__,
Date firstDate__, Date nextToLastDate__)
{
// first save the properties
fullInterface_ = true;
tenor_ = tenor__;
calendar_ = calendar__;
convention_ = convention__;
terminationDateConvention_ = terminationDateConvention__;
rule_ = rule__;
endOfMonth_ = endOfMonth__;
firstDate_ = firstDate__;
nextToLastDate_ = nextToLastDate__;
// sanity checks
if (effectiveDate__ == null)
{
throw new ArgumentException("Null effective date");
}
if (terminationDate__ == null)
{
throw new ArgumentException("Null termination date");
}
if (effectiveDate__ >= terminationDate__)
{
throw new ArgumentException("Effective date (" + effectiveDate__ +
") is later than or equal to termination date (" + terminationDate__ + ")");
}
if (tenor_.length() == 0)
{
rule_ = DateGeneration.Rule.Zero;
}
else if (tenor_.length() < 0)
{
throw new ArgumentException("Non positive tenor (" + tenor_ + ") is not allowed");
}
if (firstDate_ != null)
{
switch (rule_)
{
case DateGeneration.Rule.Backward:
case DateGeneration.Rule.Forward:
if (!(firstDate_ > effectiveDate__ && firstDate_ < terminationDate__))
{
throw new ArgumentException("First date (" + firstDate_ + ") is out of range [effective date (" + effectiveDate__
+ "), termination date (" + terminationDate__ + ")]");
}
// we should ensure that the above condition is still verified after adjustment
break;
case DateGeneration.Rule.ThirdWednesday:
if (!IMM.isIMMdate(firstDate_, false))
{
throw new ArgumentException("first date (" + firstDate_ + ") is not an IMM date");
}
break;
case DateGeneration.Rule.Zero:
case DateGeneration.Rule.Twentieth:
case DateGeneration.Rule.TwentiethIMM:
case DateGeneration.Rule.OldCDS:
case DateGeneration.Rule.CDS:
throw new ArgumentException("First date is incompatible with " + rule_ + " date generation rule");
default:
throw new ArgumentException("Unknown DateGeneration rule: " + rule_);
}
}
if (nextToLastDate_ != null)
{
switch (rule_)
{
case DateGeneration.Rule.Backward:
case DateGeneration.Rule.Forward:
if (!(nextToLastDate_ > effectiveDate__ && nextToLastDate_ < terminationDate__))
{
throw new ArgumentException("Next to last date (" + nextToLastDate_ + ") out of range [effective date (" + effectiveDate__
+ "), termination date (" + terminationDate__ + ")]");
}
// we should ensure that the above condition is still verified after adjustment
break;
case DateGeneration.Rule.ThirdWednesday:
if (!IMM.isIMMdate(firstDate_, false))
{
throw new ArgumentException("first date (" + firstDate_ + ") is not an IMM date");
}
break;
case DateGeneration.Rule.Zero:
case DateGeneration.Rule.Twentieth:
case DateGeneration.Rule.TwentiethIMM:
case DateGeneration.Rule.OldCDS:
case DateGeneration.Rule.CDS:
throw new ArgumentException("next to last is incompatible with " + rule_ + " date generation rule");
default:
throw new ArgumentException("Unknown DateGeneration rule: " + rule_);
}
}
// calendar needed for endOfMonth adjustment
Calendar nullCalendar = new NullCalendar();
int periods = 1;
Date seed = new Date(), exitDate;
switch (rule_)
{
case DateGeneration.Rule.Zero:
tenor_ = new Period(0, TimeUnit.Years);
originalDates_.Add(effectiveDate__);
originalDates_.Add(terminationDate__);
isRegular_.Add(true);
break;
case DateGeneration.Rule.Backward:
originalDates_.Add(terminationDate__);
seed = terminationDate__;
if (nextToLastDate_ != null)
{
originalDates_.Insert(0, nextToLastDate_);
Date temp = nullCalendar.advance(seed, -periods * tenor_, convention_, endOfMonth_);
isRegular_.Insert(0, temp == nextToLastDate_);
seed = nextToLastDate_;
}
exitDate = effectiveDate__;
if (firstDate_ != null)
{
exitDate = firstDate_;
}
while (true)
{
Date temp = nullCalendar.advance(seed, -periods * tenor_, convention_, endOfMonth_);
if (temp < exitDate)
{
if (firstDate_ != null && (calendar_.adjust(originalDates_.First(), convention_) !=
calendar_.adjust(firstDate_, convention_)))
{
originalDates_.Insert(0, firstDate_);
isRegular_.Insert(0, false);
}
break;
}
else
{
originalDates_.Insert(0, temp);
isRegular_.Insert(0, true);
++periods;
}
}
if (endOfMonth_ && calendar_.isEndOfMonth(seed))
{
convention_ = BusinessDayConvention.Preceding;
}
if (calendar_.adjust(originalDates_[0], convention_) != calendar_.adjust(effectiveDate__, convention_))
{
originalDates_.Insert(0, effectiveDate__);
isRegular_.Insert(0, false);
}
break;
case DateGeneration.Rule.Twentieth:
case DateGeneration.Rule.TwentiethIMM:
case DateGeneration.Rule.ThirdWednesday:
case DateGeneration.Rule.OldCDS:
case DateGeneration.Rule.CDS:
if (endOfMonth_)
{
throw new ArgumentException("endOfMonth convention is incompatible with " + rule_ + " date generation rule");
}
goto case DateGeneration.Rule.Forward; // fall through
case DateGeneration.Rule.Forward:
if (rule_ == DateGeneration.Rule.CDS)
{
originalDates_.Add(previousTwentieth(effectiveDate__, DateGeneration.Rule.CDS));
}
else
{
originalDates_.Add(effectiveDate__);
}
seed = effectiveDate__;
if (firstDate_ != null)
{
originalDates_.Add(firstDate_);
Date temp = nullCalendar.advance(seed, periods * tenor_, convention_, endOfMonth_);
isRegular_.Add(temp == firstDate_);
seed = firstDate_;
}
else if (rule_ == DateGeneration.Rule.Twentieth ||
rule_ == DateGeneration.Rule.TwentiethIMM ||
rule_ == DateGeneration.Rule.OldCDS ||
rule_ == DateGeneration.Rule.CDS)
{
Date next20th = nextTwentieth(effectiveDate__, rule_);
if (rule_ == DateGeneration.Rule.OldCDS)
{
// distance rule inforced in natural days
long stubDays = 30;
if (next20th - effectiveDate__ < stubDays)
{
// +1 will skip this one and get the next
next20th = nextTwentieth(next20th + 1, rule_);
}
}
if (next20th != effectiveDate__)
{
originalDates_.Add(next20th);
isRegular_.Add(false);
seed = next20th;
}
}
exitDate = terminationDate__;
if (nextToLastDate_ != null)
{
exitDate = nextToLastDate_;
}
while (true)
{
Date temp = nullCalendar.advance(seed, periods * tenor_, convention_, endOfMonth_);
if (temp > exitDate)
{
if (nextToLastDate_ != null &&
(calendar_.adjust(originalDates_.Last(), convention_) !=
calendar_.adjust(nextToLastDate_, convention_)))
{
originalDates_.Add(nextToLastDate_);
isRegular_.Add(false);
}
break;
}
else
{
originalDates_.Add(temp);
isRegular_.Add(true);
++periods;
}
}
if (endOfMonth_ && calendar_.isEndOfMonth(seed))
{
convention_ = BusinessDayConvention.Preceding;
}
if (calendar_.adjust(originalDates_.Last(), terminationDateConvention_) != calendar_.adjust(terminationDate__, terminationDateConvention_))
{
if (rule_ == DateGeneration.Rule.Twentieth ||
rule_ == DateGeneration.Rule.TwentiethIMM ||
rule_ == DateGeneration.Rule.OldCDS ||
rule_ == DateGeneration.Rule.CDS)
{
originalDates_.Add(nextTwentieth(terminationDate__, rule_));
isRegular_.Add(true);
}
else
{
originalDates_.Add(terminationDate__);
isRegular_.Add(false);
}
}
break;
default:
throw new ArgumentException("Unknown DateGeneration rule: " + rule_);
}
// adjustments to holidays, etc.
if (rule_ == DateGeneration.Rule.ThirdWednesday)
{
for (int i = 1; i < originalDates_.Count; ++i)
{
originalDates_[i] = Date.nthWeekday(3, DayOfWeek.Wednesday, originalDates_[i].Month, originalDates_[i].Year);
}
}
if (endOfMonth && calendar_.isEndOfMonth(seed))
{
// adjust to end of month
if (convention_ == BusinessDayConvention.Unadjusted)
{
for (int i = 0; i < originalDates_.Count; ++i)
{
originalDates_[i] = Date.endOfMonth(originalDates_[i]);
}
}
else
{
for (int i = 0; i < originalDates_.Count; ++i)
{
originalDates_[i] = calendar_.endOfMonth(originalDates_[i]);
}
}
if (terminationDateConvention_ == BusinessDayConvention.Unadjusted)
{
originalDates_[originalDates_.Count - 1] = Date.endOfMonth(originalDates_.Last());
}
else
{
originalDates_[originalDates_.Count - 1] = calendar_.endOfMonth(originalDates_.Last());
}
}
else
{
// first date not adjusted for CDS schedules
if (rule_ != DateGeneration.Rule.OldCDS)
{
originalDates_[0] = calendar_.adjust(originalDates_[0], convention_);
}
for (int i = 1; i < originalDates_.Count; ++i)
{
originalDates_[i] = calendar_.adjust(originalDates_[i], convention_);
}
foreach (Date d in originalDates_)
{
adjustedDates_.Add(d);
}
// termination date is NOT adjusted as per ISDA specifications, unless otherwise specified in the
// confirmation of the deal or unless we're creating a CDS schedule
if (terminationDateConvention_ != BusinessDayConvention.Unadjusted ||
rule_ == DateGeneration.Rule.Twentieth ||
rule_ == DateGeneration.Rule.TwentiethIMM ||
rule_ == DateGeneration.Rule.OldCDS ||
rule_ == DateGeneration.Rule.CDS)
{
adjustedDates_[adjustedDates_.Count - 1] = calendar_.adjust(originalDates_.Last(), terminationDateConvention_);
}
}
}
