/// <summary>Initializes a new instance of the <see cref="ReadOnlyMoneyMarketConventions"/> class.
/// </summary>
/// <param name="moneyMarketConventions">The money market conventions.</param>
/// <exception cref="ArgumentNullException">Thrown, if <paramref name="moneyMarketConventions"/> is <c>null</c>.</exception>
/// <exception cref="ArgumentException">Thrown, if <paramref name="moneyMarketConventions"/> is not completely defined.</exception>
public ReadOnlyMoneyMarketConventions(MoneyMarketConventions moneyMarketConventions)
{
if (moneyMarketConventions == null)
{
throw new ArgumentNullException("moneyMarketConventions");
}
if (moneyMarketConventions.IsCompletelyDefined == false)
{
throw new ArgumentException(String.Format(ExceptionMessages.ArgumentIsNotWellDefined, "Money market conventions"), "moneyMarketConventions");
}
BusinessDayConvention = moneyMarketConventions.BusinessDayConvention;
FixingLag = moneyMarketConventions.FixingLag;
BusinessDaysToSettle = moneyMarketConventions.BusinessDaysToSettle.Value;
CapletTenorConvention = moneyMarketConventions.CapletTenorConvention;
DayCountConvention = moneyMarketConventions.DayCountConvention;
FutureBasePointValue = moneyMarketConventions.FutureBasePointValue;
LiborIndexName = moneyMarketConventions.LiborIndexName;
LiborRateRoundingRule = moneyMarketConventions.LiborRateRoundingRule;
}
/// <summary>Initializes a new instance of the <see cref="ReadOnlySwapMarketConventions"/> class.
/// </summary>
/// <param name="swapMarketConventions">The swap market conventions.</param>
/// <exception cref="ArgumentNullException">Thrown, if <paramref name="swapMarketConventions"/> is <c>null</c>.</exception>
/// <exception cref="ArgumentException">Thrown, if <paramref name="swapMarketConventions"/> is not completely defined.</exception>
public ReadOnlySwapMarketConventions(SwapMarketConventions swapMarketConventions)
{
if (swapMarketConventions == null)
{
throw new ArgumentNullException("swapMarketConventions");
}
if (swapMarketConventions.IsCompletelyDefined == false)
{
throw new ArgumentException(String.Format(ExceptionMessages.ArgumentIsNotWellDefined, "Swap market conventions"), "swapMarketConventions");
}
BusinessDaysToSettle = swapMarketConventions.BusinessDaysToSettle.Value;
FixingLag = swapMarketConventions.FixingLag;
FixedBusinessDayConvention = swapMarketConventions.FixedBusinessDayConvention;
FixedDayCountConvention = swapMarketConventions.FixedDayCountConvention;
FixedFrequency = swapMarketConventions.FixedFrequency;
FloatingBusinessDayConvention = swapMarketConventions.FloatingBusinessDayConvention;
FloatingDayCountConvention = swapMarketConventions.FloatingDayCountConvention;
FloatingFrequency = swapMarketConventions.FloatingFrequency;
}
/// <summary>Sets the fixing lag, i.e. the number of business days taken into account for calculation of fixing dates, for example <c>-2</c> and sets the <see cref="FixingLagState"/> to <see cref="ConventionState.StandardValue"/>.
/// </summary>
/// <param name="value">The number of business days for fixing date calculation.</param>
internal void SetStandardFixingLag(IFixingLag value)
{
m_FixingLag = value;
m_FixingLagState = ConventionState.StandardValue;
}
/// <summary>Gets the start and end date of the timeframe.
/// </summary>
/// <param name="referenceDate">A reference date (can be a business day or a holiday).</param>
/// <param name="holidayCalendar">The (settlement) holiday calendar.</param>
/// <param name="fixingLag">The fixing lag, i.e. a method used to calculate the fixing date with respect to the period. Will be applied to the IMM Date (even if the IMM date is not a business day).</param>
/// <param name="startDate">The start date of the time span with respect to <paramref name="referenceDate"/> (output).</param>
/// <param name="endDate">The end date of the time span with respect to <paramref name="referenceDate"/> (output).</param>
/// <param name="tenor">The tenor that represents the time span; if the end date of the current object is not specified by its <see cref="TenorTimeSpan"/> representation, <paramref name="tenorRoundingRule"/>
/// will be applied to <paramref name="startDate"/> and <paramref name="endDate"/> for the calculation of a <see cref="TenorTimeSpan"/> representation.</param>
/// <param name="tenorRoundingRule"> A rounding rule which will be take into account if and only if the end date of the current object is not specified by its <see cref="TenorTimeSpan"/> representation.</param>
/// <param name="logger">An optional logger.</param>
public DateTime GetStartAndEndDate(DateTime referenceDate, IHolidayCalendar holidayCalendar, IFixingLag fixingLag, out DateTime startDate, out DateTime endDate, out TenorTimeSpan tenor, TenorTimeSpan.RoundingRule tenorRoundingRule = TenorTimeSpan.RoundingRule.NearestMonth, ILogger logger = null)
{
tenor = Tenor;
return(GetStartAndEndDate(referenceDate, holidayCalendar, fixingLag, out startDate, out endDate, logger));
}
/// <summary>Gets the start and end date of the timeframe.
/// </summary>
/// <param name="referenceDate">A reference date (can be a business day or a holiday).</param>
/// <param name="holidayCalendar">The (settlement) holiday calendar.</param>
/// <param name="fixingLag">The fixing lag, i.e. a method used to calculate the fixing date with respect to the period. Will be applied to the IMM Date (even if the IMM date is not a business day).</param>
/// <param name="startDate">The start date of the time span with respect to <paramref name="referenceDate"/> (output).</param>
/// <param name="endDate">The end date of the time span with respect to <paramref name="referenceDate"/> (output).</param>
/// <param name="logger">An optional logger.</param>
/// <returns>The fixing date of with respect to the (interest) period.</returns>
public DateTime GetStartAndEndDate(DateTime referenceDate, IHolidayCalendar holidayCalendar, IFixingLag fixingLag, out DateTime startDate, out DateTime endDate, ILogger logger = null)
{
var IMMDate = Next(referenceDate);
startDate = StartDateAdjustment.GetAdjustedDate(IMMDate, holidayCalendar);
endDate = EndDateAdjustment.GetAdjustedDate(startDate.AddTenorTimeSpan(Tenor), holidayCalendar);
return(fixingLag.GetFixingDate(IMMDate, holidayCalendar));
}
/// <summary>Gets the start and end date of the timeframe.
/// </summary>
/// <param name="referenceDate">A reference date (can be a business day or a holiday).</param>
/// <param name="holidayCalendar">The (settlement) holiday calendar.</param>
/// <param name="fixingLag">The fixing lag, i.e. the number of business days taken into account for the calculation of fixing dates etc., for example <c>-2</c>.</param>
/// <param name="startDate">The start date of the time span with respect to <paramref name="referenceDate" /> (output).</param>
/// <param name="endDate">The end date of the time span with respect to <paramref name="referenceDate" /> (output).</param>
/// <param name="logger">An optional logger.</param>
/// <returns>The fixing date of with respect to the (interest) period.</returns>
public DateTime GetStartAndEndDate(DateTime referenceDate, IHolidayCalendar holidayCalendar, IFixingLag fixingLag, out DateTime startDate, out DateTime endDate, ILogger logger = null)
{
GetStartAndEndDate(referenceDate, holidayCalendar, out startDate, out endDate, logger);
return(fixingLag.GetFixingDate(startDate, holidayCalendar));
}
/// <summary>Initializes the <see cref="FixingLag" /> class.
/// </summary>
static FixingLag()
{
Minus1BDay = new ConstFixingLag(-1);
Minus2BDays = new ConstFixingLag(-2);
}
