public static RelativeDateOffset Create(string period, DayTypeEnum dayType,
string businessDayConventionAsString,
BusinessCenters businessCenters,
string dateRelativeTo)
{
var result = new RelativeDateOffset();
Period interval = PeriodHelper.Parse(period);
result.period = interval.period;
result.periodSpecified = true;
result.periodMultiplier = interval.periodMultiplier;
result.dayType = dayType;
result.dayTypeSpecified = true;
if (businessDayConventionAsString != null)
{
result.businessDayConvention = BusinessDayConventionHelper.Parse(businessDayConventionAsString);
result.businessDayConventionSpecified = true;
}
result.businessCenters = businessCenters;
if (dateRelativeTo != null)
{
var dateReference = new DateReference {
href = dateRelativeTo
};
result.dateRelativeTo = dateReference;
}
return(result);
}
/// <summary>
/// Advances the specified calendars.
/// </summary>
/// <param name="businessCalendar">The calendars.</param>
/// <param name="date">The date.</param>
/// <param name="dayTypeString">The day type string.</param>
/// <param name="periodInterval">The period interval.</param>
/// <param name="businessDayConvention">The business day convention.</param>
/// <returns></returns>
public static DateTime Advance(IBusinessCalendar businessCalendar, DateTime date, string dayTypeString, string periodInterval, string businessDayConvention)
{
//IBusinessCalendar calendar = GetCalendar(calendars, ruleFullFilePath);
Period interval = PeriodHelper.Parse(periodInterval);
var dayType = DayTypeEnum.Calendar;
if (dayTypeString.Length > 0)
{
dayType = (DayTypeEnum)Enum.Parse(typeof(DayTypeEnum), dayTypeString, true);
}
Offset offset = OffsetHelper.FromInterval(interval, dayType);
BusinessDayConventionEnum dayConvention = BusinessDayConventionHelper.Parse(businessDayConvention);
return(businessCalendar.Advance(date, offset, dayConvention));
}
private void AddCashFlows(ILogger logger, ICoreCache cache,
IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar,
Fra fraFpML, bool isBuyer, String nameSpace)
{
EffectiveDate = fraFpML.adjustedEffectiveDate.Value;
TerminationDate = fraFpML.adjustedTerminationDate;
if (paymentCalendar == null)
{
paymentCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, fraFpML.paymentDate.dateAdjustments.businessCenters, nameSpace);
}
if (fixingCalendar == null)
{
fixingCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, fraFpML.fixingDateOffset.businessCenters, nameSpace);
}
DateTime unadjustedPaymentDate = fraFpML.paymentDate.unadjustedDate.Value;
var notional = MoneyHelper.GetAmount(fraFpML.notional.amount, fraFpML.notional.currency);
PaymentDate = paymentCalendar.Roll(unadjustedPaymentDate, BusinessDayConventionHelper.Parse(fraFpML.paymentDate.dateAdjustments.businessDayConvention.ToString()));
DateTime adjustedFixingDate = GetResetDate(logger, cache, fixingCalendar, fraFpML, nameSpace);
var interval = fraFpML.indexTenor[0];
var floatingInterest = new PriceableFloatingRateCoupon(fraFpML.id + "FloatingCoupon_1"
, isBuyer
, EffectiveDate
, TerminationDate
, adjustedFixingDate
, fraFpML.dayCountFraction
, 0.0m
, FixedRate
, null
, isBuyer ? MoneyHelper.Neg(notional) : notional
, PaymentDate
, new ForecastRateIndex {
floatingRateIndex = fraFpML.floatingRateIndex, indexTenor = interval
}
, null
, null
, fraFpML.fraDiscounting
, paymentCalendar
, fixingCalendar)
{
ForecastRateInterpolation = ForecastRateInterpolation
};
// Combine two cashflows into one leg
//
FloatingCoupon = floatingInterest;//fraFpML.fraDiscounting,
}
/// <summary>
/// Converts t an adjustable date type.
/// </summary>
/// <param name="unadjustedDate"></param>
/// <param name="businessDayConventionAsString"></param>
/// <returns></returns>
public static AdjustableDate ToAdjustableDate(DateTime unadjustedDate, string businessDayConventionAsString)
{
var result = new AdjustableDate {
unadjustedDate = ToUnadjustedIdentifiedDate(unadjustedDate)
};
var businessDayAdjustments = new BusinessDayAdjustments
{
businessDayConvention =
BusinessDayConventionHelper.Parse(
businessDayConventionAsString),
businessDayConventionSpecified = true
};
result.dateAdjustments = businessDayAdjustments;
return(result);
}
/// <summary>
/// Adds the period.
/// </summary>
/// <param name="startDate">The start date.</param>
/// <param name="tenorString">The tenor string.</param>
/// <param name="calendar">The calendar.</param>
/// <param name="rollConvention">The roll convention.</param>
/// <param name="dayType">Type of the day.</param>
/// <returns></returns>
public static DateTime AddPeriod(DateTime startDate, string tenorString, IBusinessCalendar calendar, string rollConvention, string dayType)
{
const string defaultRollConvention = "FOLLOWING";
if (calendar == null)
{
calendar = new Hell();
}
if (String.IsNullOrEmpty(rollConvention))
{
rollConvention = defaultRollConvention;
}
Period rollPeriod = PeriodHelper.Parse(tenorString);
if (String.IsNullOrEmpty(dayType))
{
dayType = DayTypeStringFromRollPeriodInterval(rollPeriod);
}
var dayTypeEnum = (DayTypeEnum)Enum.Parse(typeof(DayTypeEnum), dayType, true);
BusinessDayConventionEnum businessDayConvention = BusinessDayConventionHelper.Parse(rollConvention);
DateTime endDate = calendar.Advance(startDate, OffsetHelper.FromInterval(rollPeriod, dayTypeEnum), businessDayConvention);
return(endDate);
}
/// <summary>
/// Rolls the specified date using the underlying calendars.
/// </summary>
/// <param name="businessCalendar">The calendars.</param>
/// <param name="date">The date.</param>
/// <param name="businessDayConvention">The business day convention.</param>
/// <returns></returns>
public static DateTime Roll(IBusinessCalendar businessCalendar, DateTime date, string businessDayConvention)
{
BusinessDayConventionEnum dayConvention = BusinessDayConventionHelper.Parse(businessDayConvention);
return(businessCalendar.Roll(date, dayConvention));
}
public static BusinessDayAdjustments Create(string businessDayConventionAsString, string businessCentersAsString)
{
return(Create(BusinessDayConventionHelper.Parse(businessDayConventionAsString), businessCentersAsString));
}