public void UnadjustedDatesFromTermination()
{
DateTime effectiveDate = new DateTime(2009, 05, 01);
DateTime terminationDate = new DateTime(2010, 11, 27);
Period periodInterval = PeriodHelper.Parse("3M");
RollConventionEnum rollDayConvention = RollConventionEnum.Item19;
DateTime firstRegularPeriodStartDate = effectiveDate;
DateTime lastRegularPeriodEndDate = terminationDate;
DateTime[] dates = DateScheduler.GetUnadjustedDatesFromTerminationDate(effectiveDate, terminationDate, periodInterval, rollDayConvention, out firstRegularPeriodStartDate, out lastRegularPeriodEndDate);
Assert.AreEqual(dates.Length, 7);
Assert.AreEqual(firstRegularPeriodStartDate, new DateTime(2009, 08, 19));
Assert.AreEqual(lastRegularPeriodEndDate, new DateTime(2010, 08, 19));
dates = DateScheduler.GetUnadjustedDatesFromTerminationDate(effectiveDate, terminationDate, periodInterval, rollDayConvention, out firstRegularPeriodStartDate, out lastRegularPeriodEndDate);
Assert.AreEqual(dates.Length, 7);
Assert.AreEqual(firstRegularPeriodStartDate, new DateTime(2009, 08, 19));
Assert.AreEqual(lastRegularPeriodEndDate, new DateTime(2010, 08, 19));
effectiveDate = new DateTime(2009, 11, 16);
terminationDate = new DateTime(2011, 11, 28);
rollDayConvention = RollConventionEnum.Item29;
dates = DateScheduler.GetUnadjustedDatesFromTerminationDate(effectiveDate, terminationDate, periodInterval, rollDayConvention, out firstRegularPeriodStartDate, out lastRegularPeriodEndDate);
Assert.AreEqual(dates.Length, 9);
Assert.AreEqual(firstRegularPeriodStartDate, new DateTime(2010, 02, 28));
Assert.AreEqual(lastRegularPeriodEndDate, new DateTime(2011, 08, 29));
}
/// <summary>
/// Applies the roll convention to date.
/// </summary>
/// <param name="rollConvention">The roll convention.</param>
/// <param name="referenceDate">The reference date.</param>
/// <returns></returns>
public static DateTime ApplyRollConventionToDate(RollConventionEnum rollConvention, DateTime referenceDate)
{
int result = 0;
int daysInRefDateMonth = DateTime.DaysInMonth(referenceDate.Year, referenceDate.Month);
if (rollConvention >= RollConventionEnum.Item1 && rollConvention <= RollConventionEnum.Item30)
{
int.TryParse(rollConvention.ToString().Replace("Item", string.Empty), out result);
}
else if (rollConvention == RollConventionEnum.EOM)
{
result = daysInRefDateMonth;
}
else if (rollConvention == RollConventionEnum.NONE)
{
result = referenceDate.Day;
}
if (result == 0)
{
throw new ArgumentOutOfRangeException(nameof(rollConvention), rollConvention, "supplied value is not supported.");
}
if (result > daysInRefDateMonth)
{
result = daysInRefDateMonth;
}
return(new DateTime(referenceDate.Year, referenceDate.Month, result));
}
public static DateTime AdjustDate(RollConventionEnum rollConvention, DateTime inputDate)
{
if (rollConvention == RollConventionEnum.NONE)
{
return(inputDate);
}
if (rollConvention == RollConventionEnum.EOM)
{
int currentMonth = inputDate.Month;
while (currentMonth == inputDate.Month)
{
inputDate = inputDate.AddDays(1);
}
return(inputDate.AddDays(-1));
}
if (rollConvention >= RollConventionEnum.Item1 && rollConvention <= RollConventionEnum.Item28)
{
int day = (rollConvention - RollConventionEnum.Item1) + 1;
return(new DateTime(inputDate.Year, inputDate.Month, day));
}
if (rollConvention > RollConventionEnum.Item28 && rollConvention <= RollConventionEnum.Item30)
{
int day = (rollConvention - RollConventionEnum.Item1) + 1;
if (inputDate.Month == 2)//This is a check to make sure that a valid February date is created.
{
var startDate = new DateTime(inputDate.Year, inputDate.Month, 1).Date;
var endDate = new DateTime(inputDate.Year, inputDate.Month + 1, 1).Date;
var days = (endDate - startDate).Days;
return(new DateTime(inputDate.Year, inputDate.Month, System.Math.Min(day, days)));
}
return(new DateTime(inputDate.Year, inputDate.Month, day));
}
throw new ArgumentOutOfRangeException(nameof(rollConvention), rollConvention, "supplied value is not supported.");
}
public void GetUnadjustedDates3Forward()
{
DateTime startDate = new DateTime(2008, 04, 10);
DateTime endDate = new DateTime(2009, 04, 24);
//Period interval = IntervalHelper.FromMonths(3);
RollConventionEnum rollConventionEnum = RollConventionEnumHelper.Parse(startDate.Day.ToString());
List<MetaScheduleItem> rollsMetaSchedule = new List<MetaScheduleItem>();
MetaScheduleItem item1 = new MetaScheduleItem();
item1.Period = IntervalHelper.FromMonths(6);
item1.RollFrequency = IntervalHelper.FromMonths(1);
item1.RollConvention = rollConventionEnum;
rollsMetaSchedule.Add(item1);
MetaScheduleItem item2 = new MetaScheduleItem();
item2.Period = IntervalHelper.FromMonths(6);
item2.RollFrequency = IntervalHelper.FromMonths(3);
item2.RollConvention = rollConventionEnum;
rollsMetaSchedule.Add(item2);
List<DateTime> unadjustedDates = DatesMetaSchedule.GetUnadjustedDates3(startDate, endDate, rollsMetaSchedule, false);
Debug.Print("Meta schedule:");
// Debug.Print(ParameterFormatter.FormatObject(ObjectToArrayOfPropertiesConverter.ConvertListToHorizontalArrayRange(rollsMetaSchedule)));
Debug.Print("Start date: {0}", startDate);
Debug.Print("End date: {0}", endDate);
Debug.Print("Schedule:");
PrintListOfDates(unadjustedDates);
}
public CalculationPeriodFrequency(XmlNode xmlNode)
: base(xmlNode)
{
XmlNodeList rollConventionNodeList = xmlNode.SelectNodes("rollConvention");
if (rollConventionNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in rollConventionNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
rollConventionIDRef = item.Attributes["id"].Name;
RollConventionEnum ob = RollConventionEnum();
IDManager.SetID(rollConventionIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
rollConventionIDRef = item.Attributes["href"].Name;
}
else
{
rollConvention = new RollConventionEnum(item);
}
}
}
}
/// <summary>
/// Gets the unadjusted calculation date schedule from term date.
/// </summary>
/// <param name="effectiveDate">The effective date.</param>
/// <param name="terminationDate">The termination date.</param>
/// <param name="periodInterval">The period interval.</param>
/// <param name="lastRegularPeriodEndDate">The last regular period end date.</param>
/// <param name="rollConvention">The roll convention.</param>
/// <param name="stubPeriodType">Type of the stub period.</param>
/// <returns></returns>
public List <CalculationPeriod> GetUnadjustedCalculationDateScheduleFromTermDate(DateTime effectiveDate, DateTime terminationDate, Period periodInterval, DateTime lastRegularPeriodEndDate, RollConventionEnum rollConvention, StubPeriodTypeEnum?stubPeriodType)
{
CalculationPeriodDates = null;
PeriodInterval = periodInterval;
_effectiveDate = effectiveDate;
_termDate = terminationDate;
RollConvention = rollConvention;
_unadjustedDateScheduleList = CalculationPeriodHelper.GenerateUnadjustedCalculationDatesFromTermDate(effectiveDate, terminationDate, periodInterval, lastRegularPeriodEndDate, rollConvention, stubPeriodType);
return(_unadjustedDateScheduleList);
}
/// <summary>
/// Gets the first regular period start date.
/// </summary>
/// <param name="periodInterval">The period interval.</param>
/// <param name="rollConvention">The roll convention.</param>
/// <param name="startDate">The start date.</param>
/// <returns></returns>
public static DateTime GetFirstRegularPeriodStartDate(Period periodInterval, RollConventionEnum rollConvention, DateTime startDate)
{
DateTime advDate = periodInterval.Add(startDate);
DateTime regularPeriodStartDate = advDate;
if (rollConvention != RollConventionEnum.NONE)
{
regularPeriodStartDate = RollConventionEnumHelper.AdjustDate(rollConvention, advDate);
}
return(regularPeriodStartDate);
}
public void GetUnadjustedDates2Forward()
{
DateTime startDate = new DateTime(2008, 04, 10);
DateTime endDate = new DateTime(2009, 04, 24);
Period interval = IntervalHelper.FromMonths(3);
RollConventionEnum rollConventionEnum = RollConventionEnumHelper.Parse(startDate.Day.ToString());
List<DateTime> unadjustedDates = DatesMetaSchedule.GetUnadjustedDates2(startDate, endDate, interval, rollConventionEnum, false);
PrintListOfDates(unadjustedDates);
}
public void LongFinalStubSpecifiedButNoStub()
{
DateTime startDate = new DateTime(2007, 01, 5);
DateTime endDate = new DateTime(2012, 01, 5);
RollConventionEnum rollConvention = RollConventionEnum.Item5;
CalculationPeriodFrequency periodFrequency = CalculationPeriodFrequencyHelper.Parse("3M", rollConvention.ToString());
CalculationPeriodSchedule cps = new CalculationPeriodSchedule();
Period periodInterval = CalculationPeriodHelper.CalculationPeriodFrequencyToInterval(periodFrequency);
List <CalculationPeriod> unadjustedCalcPeriods = cps.GetUnadjustedCalculationDateSchedule(startDate, endDate, periodInterval, rollConvention, StubPeriodTypeEnum.LongFinal);
Assert.AreEqual(unadjustedCalcPeriods.Count, 20);
Assert.IsFalse(cps.HasFinalStub);
Assert.IsFalse(cps.HasInitialStub);
}
public void LongInitialStubSpecified()
{
DateTime startDate = new DateTime(2007, 01, 5);
DateTime endDate = new DateTime(2012, 01, 5);
RollConventionEnum rollConvention = RollConventionEnum.Item26;
CalculationPeriodFrequency periodFrequency = CalculationPeriodFrequencyHelper.Parse("3M", rollConvention.ToString());
DateTime firstRegularPeriodDate = new DateTime(2007, 4, 26);
CalculationPeriodSchedule cps = new CalculationPeriodSchedule();
List <CalculationPeriod> unadjustedCalcPeriods = cps.GetUnadjustedCalculationDateSchedule(startDate, endDate, firstRegularPeriodDate, periodFrequency, StubPeriodTypeEnum.LongInitial);
Assert.AreEqual(unadjustedCalcPeriods.Count, 20);
Assert.IsTrue(cps.HasFinalStub);
Assert.IsTrue(cps.HasInitialStub);
Assert.IsTrue(CalculationPeriodHelper.IsLongStub(unadjustedCalcPeriods[0], cps.PeriodInterval));
}
public void ShortFinalStubSpecifiedFromTermination()
{
DateTime startDate = new DateTime(2007, 01, 5);
DateTime endDate = new DateTime(2010, 01, 5);
RollConventionEnum rollConvention = RollConventionEnum.Item12;
CalculationPeriodFrequency periodFrequency = CalculationPeriodFrequencyHelper.Parse("3M", rollConvention.ToString());
Period periodInterval = CalculationPeriodHelper.CalculationPeriodFrequencyToInterval(periodFrequency);
CalculationPeriodSchedule cps = new CalculationPeriodSchedule();
DateTime lastRegularPeriodEndDate = new DateTime(2009, 8, 12);
List <CalculationPeriod> unadjustedCalcPeriods = cps.GetUnadjustedCalculationDateScheduleFromTermDate(startDate, endDate, periodInterval, lastRegularPeriodEndDate, rollConvention, StubPeriodTypeEnum.ShortFinal);
Assert.AreEqual(unadjustedCalcPeriods.Count, 13);
Assert.IsTrue(cps.HasFinalStub);
Assert.IsTrue(cps.HasInitialStub);
Assert.IsTrue(CalculationPeriodHelper.IsShortStub(unadjustedCalcPeriods[unadjustedCalcPeriods.Count - 1], cps.PeriodInterval));
}
public void RegularPeriodFrequencyUnadjustedDates()
{
// 5 year 3 month cash flow
DateTime startDate = new DateTime(2007, 01, 5);
RollConventionEnum rollConvention = RollConventionEnum.Item26;
CalculationPeriodFrequency frequencyToMaturity = CalculationPeriodFrequencyHelper.Parse("5Y", rollConvention.ToString());
CalculationPeriodFrequency periodFrequency = CalculationPeriodFrequencyHelper.Parse("3M", rollConvention.ToString());
CalculationPeriodSchedule cps = new CalculationPeriodSchedule();
List <CalculationPeriod> unadjustedCalcPeriods = cps.GetUnadjustedCalculationDateSchedule(startDate, frequencyToMaturity, periodFrequency);
List <DateTime> dates = CalculationPeriodHelper.GetCalculationPeriodsProperty <DateTime>(unadjustedCalcPeriods, "unadjustedStartDate");
Assert.AreEqual(unadjustedCalcPeriods.Count, 20);
Assert.IsFalse(cps.HasInitialStub);
Assert.IsFalse(cps.HasFinalStub);
}
///<summary>
///</summary>
///<param name="termsRange"></param>
///<param name="metaScheduleDefinitionRange"></param>
///<param name="paymentCalendar"></param>
///<returns></returns>
public static List <AmortisingResultItem> GenerateCashflowSchedule(BillsSwapPricer2TermsRange termsRange,
List <MetaScheduleRangeItem> metaScheduleDefinitionRange, IBusinessCalendar paymentCalendar)
{
RollConventionEnum rollConventionEnum = RollConventionEnumHelper.Parse(termsRange.RollDay);
BusinessDayAdjustments businessDayAdjustments = BusinessDayAdjustmentsHelper.Create(termsRange.DateRollConvention, termsRange.Calendar);
bool backwardGeneration = (termsRange.BuildDates.ToLower() == "backward");
List <DateTime> adjustedDatesResult;
List <DateTime> unadjustedDatesResult;
if (termsRange.RollFrequency.ToLower().Contains("custom"))
{
var rollsMetaSchedule = metaScheduleDefinitionRange.Select(item => new MetaScheduleItem
{
RollFrequency = PeriodHelper.Parse(item.RollFrequency), Period = PeriodHelper.Parse(item.Period), RollConvention = RollConventionEnumHelper.Parse(item.RollConvention)
}).ToList();
unadjustedDatesResult = DatesMetaSchedule.GetUnadjustedDates3(termsRange.StartDate, termsRange.EndDate,
rollsMetaSchedule, backwardGeneration);
adjustedDatesResult = AdjustedDatesMetaSchedule.GetAdjustedDates3(termsRange.StartDate, termsRange.EndDate,
rollsMetaSchedule, backwardGeneration, businessDayAdjustments, paymentCalendar);
}
else
{
Period interval = PeriodHelper.Parse(termsRange.RollFrequency);
unadjustedDatesResult = DatesMetaSchedule.GetUnadjustedDates2(termsRange.StartDate, termsRange.EndDate,
interval, rollConventionEnum, backwardGeneration);
adjustedDatesResult = AdjustedDatesMetaSchedule.GetAdjustedDates2(termsRange.StartDate, termsRange.EndDate,
interval, rollConventionEnum, backwardGeneration, businessDayAdjustments, paymentCalendar);
}
var result = new List <AmortisingResultItem>();
for (int i = 0; i < adjustedDatesResult.Count; i++)
{
DateTime adjustedTime = adjustedDatesResult[i];
DateTime unadjustedTime = unadjustedDatesResult[i];
var amortisingResultItem = new AmortisingResultItem
{
WasRolled = (adjustedTime == unadjustedTime) ? "No" : "Yes",
RollDate = adjustedTime,
AmortisingAmount = 0,
OutstandingValue = termsRange.FaceValue
};
result.Add(amortisingResultItem);
}
return(result);
}
/// <summary>
/// Gets the last regular period end date.
/// </summary>
/// <param name="periodInterval">The period interval.</param>
/// <param name="rollConvention">The roll convention.</param>
/// <param name="endDate">The end date.</param>
/// <returns></returns>
public static DateTime GetLastRegularPeriodEndDate(Period periodInterval, RollConventionEnum rollConvention, DateTime endDate)
{
int periodMultiplierAsInt = int.Parse(periodInterval.periodMultiplier);
if (periodMultiplierAsInt > 0)
{
periodMultiplierAsInt = periodMultiplierAsInt * -1;
}
periodInterval.periodMultiplier = periodMultiplierAsInt.ToString(CultureInfo.InvariantCulture);
DateTime advDate = periodInterval.Add(endDate);
DateTime regularPeriodEndDate = advDate;
if (rollConvention != RollConventionEnum.NONE)
{
regularPeriodEndDate = RollConventionEnumHelper.AdjustDate(rollConvention, advDate);
}
return(regularPeriodEndDate);
}
public void UnadjustedDatesSchedule2()
{
DateTime effectiveDate = new DateTime(2008, 07, 9);
DateTime terminationDate = new DateTime(2011, 07, 11);
Period periodInterval = PeriodHelper.Parse("3M");
RollConventionEnum rollDayConvention = RollConventionEnum.Item7;
DateTime firstRegularPeriodStartDate = effectiveDate;
DateTime lastRegularPeriodEndDate = terminationDate;
//Back|Forward are same
string expectedDates = "9/07/2008;7/10/2008;7/01/2009;7/04/2009;7/07/2009;7/10/2009;7/01/2010;7/04/2010;7/07/2010;7/10/2010;7/01/2011;7/04/2011;11/07/2011";
DateTime[] bdates = DateScheduler.GetUnadjustedDatesFromTerminationDate(effectiveDate, terminationDate, periodInterval, rollDayConvention, out firstRegularPeriodStartDate, out lastRegularPeriodEndDate);
//bdates = AdjustDates(bdates, BusinessDayConventionEnum.MODFOLLOWING, "AUSY");
Validate(expectedDates, bdates);
DateTime[] fdates = DateScheduler.GetUnadjustedDatesFromEffectiveDate(effectiveDate, terminationDate, periodInterval, rollDayConvention, out firstRegularPeriodStartDate, out lastRegularPeriodEndDate);
//fdates = AdjustDates(fdates, BusinessDayConventionEnum.MODFOLLOWING, "AUSY");
Validate(expectedDates, fdates);
}
/// <summary>
/// Returns a list of unadjusted dates produced by a simple date scheduler.
/// </summary>
/// <param name="startDate"></param>
/// <param name="endDate"></param>
/// <param name="interval"></param>
/// <param name="rollConventionEnum"></param>
/// <param name="backwardGeneration"></param>
/// <returns></returns>
public static List <DateTime> GetUnadjustedDates2(DateTime startDate, DateTime endDate,
Period interval, RollConventionEnum rollConventionEnum,
bool backwardGeneration)
{
var results = new List <DateTime>();
var monthsInTheInterval = interval.GetPeriodMultiplier();
if (backwardGeneration)//from end date to start date
{
var rollDate = endDate;
while (rollDate > startDate)
{
results.Add(rollDate);
var nextRollDate = rollDate.AddMonths(-monthsInTheInterval);
// roll adjust
//
var rollDateRollConventionAdjusted = RollConventionEnumHelper.AdjustDate(rollConventionEnum, nextRollDate);
rollDate = rollDateRollConventionAdjusted;
}
results.Add(startDate);
results.Reverse();
}
else//from start date to end date.
{
var rollDate = startDate;
while (rollDate < endDate)
{
results.Add(rollDate);
var nextRollDate = rollDate.AddMonths(monthsInTheInterval);
// roll adjust
//
var rollDateRollConventionAdjusted = RollConventionEnumHelper.AdjustDate(rollConventionEnum, nextRollDate);
rollDate = rollDateRollConventionAdjusted;
}
results.Add(endDate);
}
return(RemoveDuplicates(results));
}
/// <summary>
/// A simple date scheduler.
/// </summary>
/// <param name="startDate"></param>
/// <param name="endDate"></param>
/// <param name="interval"></param>
/// <param name="rollConventionEnum"></param>
/// <param name="backwardGeneration"></param>
/// <param name="businessDayAdjustments"></param>
/// <param name="businessCalendar"></param>
/// <returns></returns>
public static List <DateTime> GetAdjustedDates2(DateTime startDate, DateTime endDate, Period interval, RollConventionEnum rollConventionEnum,
bool backwardGeneration, BusinessDayAdjustments businessDayAdjustments, IBusinessCalendar businessCalendar)
{
var unadjustedDates = DatesMetaSchedule.GetUnadjustedDates2(startDate, endDate, interval, rollConventionEnum, backwardGeneration);
return(unadjustedDates.Select(date => AdjustedDateHelper.ToAdjustedDate(businessCalendar, date, businessDayAdjustments)).ToList());
}
///<summary>
///</summary>
///<param name="directionDateGeneration"></param>
///<param name="effectiveDate"></param>
///<param name="terminationDate"></param>
///<param name="periodInterval"></param>
///<param name="rollDayConvention"></param>
///<returns></returns>
///<exception cref="ArgumentOutOfRangeException"></exception>
public static DateTime[] GetUnadjustedDates(int directionDateGeneration, DateTime effectiveDate, DateTime terminationDate, Period periodInterval, RollConventionEnum rollDayConvention)
{
DateTime firstRegularPeriodStartDate;
DateTime lastRegularPeriodEndDate;
switch (directionDateGeneration)
{
case 1:
{
var result =
new List <DateTime>(GetUnadjustedDatesFromEffectiveDate(effectiveDate,
terminationDate,
periodInterval,
rollDayConvention,
out
firstRegularPeriodStartDate,
out
lastRegularPeriodEndDate));
// remove extra(faulty-generated) date from the end if a swap is shorter than a period
//
if (periodInterval.Add(effectiveDate) > terminationDate)
{
result.RemoveAt(result.Count - 1); //remove last element
}
// if there is a long stub at the back
//
if (result[0] != lastRegularPeriodEndDate &&
periodInterval.Add(lastRegularPeriodEndDate) < result[result.Count - 1]) //
{
// it it is long - make it short
//
DateTime realLastRegularPeriodEndDate = periodInterval.Add(lastRegularPeriodEndDate);
result.Insert(result.Count - 1, realLastRegularPeriodEndDate);
}
return(result.ToArray());
}
case 2:
{
var result =
new List <DateTime>(GetUnadjustedDatesFromTerminationDate(effectiveDate,
terminationDate,
periodInterval,
rollDayConvention,
out
firstRegularPeriodStartDate,
out
lastRegularPeriodEndDate));
// if there is a long stub at the front
//
if (result[0] != firstRegularPeriodStartDate &&
periodInterval.Subtract(firstRegularPeriodStartDate) > result[0])
// add a check if a period is short ...
{
// it it is long - make it short
//
DateTime realFirstRegularPeriodStartDate = periodInterval.Subtract(firstRegularPeriodStartDate);
result.Insert(1, realFirstRegularPeriodStartDate);
}
return(result.ToArray());
}
default:
{
const string message =
"Argument value is out of range. Only 1 and 2 are the valid values for this argument";
throw new ArgumentOutOfRangeException(nameof(directionDateGeneration), directionDateGeneration,
message);
}
}
}
/// <summary>
/// Gets the unadjusted dates.
/// </summary>
/// <param name="metaScheduleDefinition">The meta schedule definition.</param>
/// <param name="startDate">The start date.</param>
/// <param name="endDate">The end date.</param>
/// <param name="defaultInterval">The default interval.</param>
/// <param name="defaultRollConvention">The default roll convention.</param>
/// <param name="fromStartDate">if set to <c>true</c> [from start date].</param>
/// <returns></returns>
public static DateTime[] GetUnadjustedDates
(List <Triplet <Period, Period, RollConventionEnum> > metaScheduleDefinition
, DateTime startDate
, DateTime endDate
, Period defaultInterval
, RollConventionEnum defaultRollConvention
, Boolean fromStartDate
)
{
DateTime firstReg;
DateTime lastReg;
var result = new List <DateTime>();
List <DateTime> additionalDates;
DateTime fromDate = startDate;
DateTime toDate = endDate;
int intervalMulitplier = 1;
if (!fromStartDate)
{
fromDate = endDate;
toDate = startDate;
intervalMulitplier = intervalMulitplier * -1;
}
var offsetsFromStartDateForRollPeriods = new List <Pair <Period, RollConventionEnum> >();
foreach (var metaScheduleEntry in metaScheduleDefinition)
{
var numberOfRolls = (int)IntervalHelper.Div(metaScheduleEntry.Second, metaScheduleEntry.First);
if (numberOfRolls == 0)
{
throw new System.Exception("Invalid period interval specified. The period interval is greater than the duration interval");
}
if (!fromStartDate)
{
metaScheduleEntry.First.periodMultiplier = (Convert.ToInt32(metaScheduleEntry.First.periodMultiplier) * intervalMulitplier).ToString(CultureInfo.InvariantCulture);
}
while (numberOfRolls-- > 0)
{
offsetsFromStartDateForRollPeriods.Add(new Pair <Period, RollConventionEnum>(metaScheduleEntry.First, metaScheduleEntry.Third));
}
}
if (offsetsFromStartDateForRollPeriods.Count > 0)
{
// Generates dates from a list of intervals expressed as offsets.
DateTime referenceDate = fromDate;
foreach (var offset in offsetsFromStartDateForRollPeriods)
{
if (referenceDate == fromDate)
{
result.Add(fromDate);
}
DateTime rollDateUnadjusted = offset.First.Add(referenceDate);
DateTime rollConventionDate = DateScheduler.ApplyRollConventionToDate(offset.Second, rollDateUnadjusted);
if ((fromStartDate && rollConventionDate > toDate) || (!fromStartDate && rollConventionDate < toDate))
{
result.Add(toDate);
break;
}
result.Add(rollConventionDate);
referenceDate = rollDateUnadjusted;
}
// if end date falls after the meta data schedule provided use the defaults
if (result.Count > 0)
{
if ((fromStartDate && result[result.Count - 1] < toDate) || (!fromStartDate && result[result.Count - 1] > toDate))
{
if (result[result.Count - 1] < endDate)
{
additionalDates = fromStartDate ? new List <DateTime>(DateScheduler.GetUnadjustedDatesFromEffectiveDate(result[result.Count - 1], toDate, defaultInterval, defaultRollConvention, out firstReg, out lastReg)) : new List <DateTime>(DateScheduler.GetUnadjustedDatesFromTerminationDate(toDate, result[result.Count - 1], defaultInterval, defaultRollConvention, out firstReg, out lastReg));
result.AddRange(additionalDates);
result.Sort();
}
}
}
}
else
{
additionalDates = fromStartDate ? new List <DateTime>(DateScheduler.GetUnadjustedDatesFromEffectiveDate(startDate, toDate, defaultInterval, defaultRollConvention, out firstReg, out lastReg)) : new List <DateTime>(DateScheduler.GetUnadjustedDatesFromTerminationDate(startDate, toDate, defaultInterval, defaultRollConvention, out firstReg, out lastReg));
result.AddRange(additionalDates);
}
result = RemoveDuplicates(result);
result.Sort();
return(result.ToArray());
}
/// <summary>
/// Generates the unadjusted calculation dates from term date.
/// </summary>
/// <param name="effectiveDate">The effective date.</param>
/// <param name="terminationDate">The termination date.</param>
/// <param name="periodInterval">The period interval.</param>
/// <param name="lastRegularPeriodEndDate">The last regular period end date.</param>
/// <param name="rollConvention">The roll convention.</param>
/// <param name="stubPeriodType">Type of the stub period.</param>
/// <returns></returns>
static public List <CalculationPeriod> GenerateUnadjustedCalculationDatesFromTermDate(DateTime effectiveDate, DateTime terminationDate, Period periodInterval, DateTime lastRegularPeriodEndDate, RollConventionEnum rollConvention, StubPeriodTypeEnum?stubPeriodType)
{
var unadjustedPeriodDates = new List <CalculationPeriod>();
DateTime lastRegularPeriodStartDate = AddPeriod(lastRegularPeriodEndDate, periodInterval, -1);
if (lastRegularPeriodStartDate > effectiveDate)
{
Boolean bHasIrregularInitial;
List <CalculationPeriod> regularPeriods = GetBackwardRegularPeriods(lastRegularPeriodStartDate, effectiveDate, periodInterval, rollConvention, out bHasIrregularInitial);
if (regularPeriods.Count > 0)
{
DateTime firstRegularPeriodStartDate = regularPeriods[0].unadjustedStartDate;
unadjustedPeriodDates = GenerateUnadjustedCalculationDates(effectiveDate, terminationDate, firstRegularPeriodStartDate, periodInterval, rollConvention, stubPeriodType);
}
}
return(unadjustedPeriodDates);
}
public static bool IsAdjusted(RollConventionEnum rollConvention, DateTime inputDate)
{
return(AdjustDate(rollConvention, inputDate) == inputDate);
}
/// <summary>
/// Generates the unadjusted calculation dates.
/// </summary>
/// <param name="effectiveDate">The effective date.</param>
/// <param name="intervalToTerminationDate">The interval to termination date.</param>
/// <param name="periodInterval">The period interval.</param>
/// <param name="rollConvention">The roll convention.</param>
/// <returns></returns>
static public List <CalculationPeriod> GenerateUnadjustedCalculationDates(DateTime effectiveDate, Period intervalToTerminationDate, Period periodInterval, RollConventionEnum rollConvention)
{
DateTime startDate = effectiveDate;
// Adjust the effective date
if (rollConvention != RollConventionEnum.NONE)
{
startDate = RollConventionEnumHelper.AdjustDate(rollConvention, effectiveDate);
}
Double divisor = IntervalHelper.Div(intervalToTerminationDate, periodInterval);
// The divisor has to be a whole number (i.e. the period must roll to the term date interval
if ((divisor % 1) != 0)
{
throw new ArithmeticException("The period frequency will not roll to the supplied termination date interval");
}
DateTime terminationDate = intervalToTerminationDate.Add(startDate);
StubPeriodTypeEnum?stubPeriodType = null;
return(GenerateUnadjustedCalculationDates(startDate, terminationDate, effectiveDate, periodInterval, rollConvention, stubPeriodType));
}
/// <summary>
/// Generates the unadjusted calculation dates.
/// </summary>
/// <param name="effectiveDate">The effective date.</param>
/// <param name="terminationDate">The termination date.</param>
/// <param name="periodInterval">The period interval.</param>
/// <param name="intervalToFirstRegularPeriodStartDate">The interval to first regular period start date.</param>
/// <param name="rollConvention">The roll convention.</param>
/// <param name="stubPeriodType">Type of the stub period.</param>
/// <returns></returns>
static public List <CalculationPeriod> GenerateUnadjustedCalculationDates(DateTime effectiveDate, DateTime terminationDate, Period periodInterval, Period intervalToFirstRegularPeriodStartDate, RollConventionEnum rollConvention, StubPeriodTypeEnum?stubPeriodType)
{
DateTime firstRegularPeriodStartDate = GetFirstRegularPeriodStartDate(intervalToFirstRegularPeriodStartDate, rollConvention, effectiveDate);
return(GenerateUnadjustedCalculationDates(effectiveDate, terminationDate, firstRegularPeriodStartDate, periodInterval, rollConvention, stubPeriodType));
}
/// <summary>
/// Generates the unadjusted calculation dates.
/// </summary>
/// <param name="effectiveDate">The effective date.</param>
/// <param name="terminationDate">The termination date.</param>
/// <param name="regularPeriodStartDate">The regular period start date.</param>
/// <param name="periodInterval">The period interval.</param>
/// <param name="rollConvention">The roll convention.</param>
/// <param name="stubPeriodType">Type of the stub period.</param>
/// <returns></returns>
static public List <CalculationPeriod> GenerateUnadjustedCalculationDates(DateTime effectiveDate, DateTime terminationDate, DateTime regularPeriodStartDate, Period periodInterval, RollConventionEnum rollConvention, StubPeriodTypeEnum?stubPeriodType)
{
DateTime startDate = effectiveDate;
DateTime endDate = terminationDate;
Boolean bContainsIrregularFinalPeriod;
List <CalculationPeriod> forwardRegularPeriods = GetForwardRegularPeriods(regularPeriodStartDate, endDate, periodInterval, rollConvention, out bContainsIrregularFinalPeriod);
if (bContainsIrregularFinalPeriod)
{
if (forwardRegularPeriods.Count == 0)
{
CalculationPeriod calculationPeriod = CreateUnadjustedCalculationPeriod(regularPeriodStartDate, endDate);
forwardRegularPeriods.Add(calculationPeriod);
}
else
{
forwardRegularPeriods = SetFinalIrregularStubPeriod(forwardRegularPeriods, endDate, stubPeriodType ?? StubPeriodTypeEnum.LongFinal);
}
}
var backwardRegularPeriods = new List <CalculationPeriod>();
if (regularPeriodStartDate > startDate)
{
var irregularInitialStubType = StubPeriodTypeEnum.ShortInitial;
Boolean bContainsIrregularInitialPeriod;
backwardRegularPeriods = GetBackwardRegularPeriods(regularPeriodStartDate, startDate, periodInterval, rollConvention, out bContainsIrregularInitialPeriod);
if ((bContainsIrregularInitialPeriod && stubPeriodType != null) && (stubPeriodType != StubPeriodTypeEnum.ShortInitial && stubPeriodType != StubPeriodTypeEnum.LongInitial))
{
DateTime normalPeriodStart = AddPeriod(startDate, periodInterval, 1);
if (regularPeriodStartDate > normalPeriodStart)
{
irregularInitialStubType = StubPeriodTypeEnum.LongInitial;
}
}
else if ((bContainsIrregularInitialPeriod && stubPeriodType != null) && (stubPeriodType == StubPeriodTypeEnum.ShortInitial || stubPeriodType == StubPeriodTypeEnum.LongInitial))
{
irregularInitialStubType = (StubPeriodTypeEnum)stubPeriodType;
}
if (bContainsIrregularInitialPeriod)
{
if (backwardRegularPeriods.Count == 0)
{
CalculationPeriod calculationPeriod = CreateUnadjustedCalculationPeriod(startDate, regularPeriodStartDate);
backwardRegularPeriods.Add(calculationPeriod);
}
else
{
backwardRegularPeriods = SetInitialIrregularStubPeriod(backwardRegularPeriods, startDate, irregularInitialStubType);
}
}
}
return(MergeCalculationPeriods(backwardRegularPeriods, forwardRegularPeriods));
}
/// <summary>
/// Gets the backward regular periods.
/// </summary>
/// <param name="startDate">The start date.</param>
/// <param name="endDate">The end date.</param>
/// <param name="periodInterval">The period interval.</param>
/// <param name="rollConvention">The roll convention.</param>
/// <param name="hasIrregularPeriod">if set to <c>true</c> [has irregular period].</param>
/// <returns></returns>
static public List <CalculationPeriod> GetBackwardRegularPeriods(DateTime startDate, DateTime endDate, Period periodInterval, RollConventionEnum rollConvention, out Boolean hasIrregularPeriod)
{
DateTime periodEndDate = startDate;
hasIrregularPeriod = false;
DateTime periodStartDate = AddPeriod(periodEndDate, periodInterval, -1);
var regularPeriods = new List <CalculationPeriod>();
while (true)
{
DateTime unadjustedStartDate = periodStartDate;
DateTime unadjustedEndDate = periodEndDate;
if (rollConvention != RollConventionEnum.NONE)
{
unadjustedStartDate = RollConventionEnumHelper.AdjustDate(rollConvention, periodStartDate);
unadjustedEndDate = RollConventionEnumHelper.AdjustDate(rollConvention, periodEndDate);
}
CalculationPeriod calculationPeriod = CreateUnadjustedCalculationPeriod(unadjustedStartDate, unadjustedEndDate);
if (calculationPeriod.unadjustedStartDate > endDate)
{
regularPeriods.Insert(0, calculationPeriod);
periodEndDate = periodStartDate;
periodStartDate = AddPeriod(periodEndDate, periodInterval, -1);
}
//last period - is not a stub
else if (calculationPeriod.unadjustedStartDate == endDate)
{
regularPeriods.Insert(0, calculationPeriod);
break;
}
else
{
hasIrregularPeriod = true;
break;
}
}
return(regularPeriods);
}
/// <summary>
/// Gets the unadjusted dates from effective date.
/// </summary>
/// <param name="effectiveDate">The effective date.</param>
/// <param name="terminationDate">The termination date.</param>
/// <param name="periodInterval">The period interval.</param>
/// <param name="rollConvention">The roll convention.</param>
/// <param name="firstRegularPeriodStartDate">The first regular period start date.</param>
/// <param name="lastRegularPeriodEndDate">The last regular period end date.</param>
/// <returns></returns>
public static DateTime[] GetUnadjustedDatesFromEffectiveDate(DateTime effectiveDate, DateTime terminationDate, Period periodInterval, RollConventionEnum rollConvention, out DateTime firstRegularPeriodStartDate, out DateTime lastRegularPeriodEndDate)
{
lastRegularPeriodEndDate = terminationDate;
DateTime firstRollDate = effectiveDate;
var periodDates = new List <DateTime> {
firstRollDate
};
DateTime nextRollDate = periodInterval.Add(firstRollDate);
DateTime rollConventionDate = ApplyRollConventionToDate(rollConvention, nextRollDate);
firstRegularPeriodStartDate = DateTime.Compare(nextRollDate, rollConventionDate) == 0 ? firstRollDate : rollConventionDate;
periodDates.Add(rollConventionDate);
Boolean reachedEnd = false;
while (!reachedEnd)
{
rollConventionDate = periodInterval.Add(rollConventionDate);
rollConventionDate = ApplyRollConventionToDate(rollConvention, rollConventionDate);
if (rollConventionDate <= terminationDate)
{
if (rollConventionDate.Month == terminationDate.Month && rollConventionDate.Year == terminationDate.Year)
{
periodDates.Add(terminationDate);
reachedEnd = true;
lastRegularPeriodEndDate = rollConventionDate.Day == terminationDate.Day ? periodDates[periodDates.Count - 1] : periodDates[periodDates.Count - 2];
}
else
{
periodDates.Add(rollConventionDate);
}
}
else
{
reachedEnd = true;
lastRegularPeriodEndDate = periodDates[periodDates.Count - 1];
periodDates.Add(terminationDate);
}
}
periodDates.Sort();
return(periodDates.ToArray());
}
/// <summary>
/// Gets the unadjusted dates from maturity date. This assumes regular rolling from maturity date.
/// </summary>
/// <param name="effectiveDate">The effective date.</param>
/// <param name="terminationDate">The termination date.</param>
/// <param name="rollConvention">The roll convention.</param>
/// <param name="periodInterval">The period interval.</param>
/// <param name="lastCouponDate">The last coupon date.</param>
/// <param name="nextCouponDate">The next coupon date.</param>
/// <returns></returns>
public static DateTime[] GetUnadjustedCouponDatesFromMaturityDate(DateTime effectiveDate, DateTime terminationDate, Period periodInterval, RollConventionEnum rollConvention, out DateTime lastCouponDate, out DateTime nextCouponDate)
{
var firstRollDate = terminationDate;
var periodDates = new List <DateTime> {
firstRollDate
};
var nextRollDate = periodInterval.Subtract(firstRollDate);
var rollConventionDate = ApplyRollConventionToDate(rollConvention, nextRollDate);
periodDates.Add(rollConventionDate);
var reachedEnd = false;
while (!reachedEnd)
{
rollConventionDate = periodInterval.Subtract(rollConventionDate);
rollConventionDate = ApplyRollConventionToDate(rollConvention, rollConventionDate);
periodDates.Add(rollConventionDate);
if (rollConventionDate <= effectiveDate)
{
reachedEnd = true;
}
}
periodDates.Sort();
lastCouponDate = periodDates[0];
nextCouponDate = periodDates[1];
return(periodDates.ToArray());
}
public PeriodicPayment(XmlNode xmlNode)
: base(xmlNode)
{
XmlNodeList paymentFrequencyNodeList = xmlNode.SelectNodes("paymentFrequency");
if (paymentFrequencyNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in paymentFrequencyNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
paymentFrequencyIDRef = item.Attributes["id"].Name;
Period ob = Period();
IDManager.SetID(paymentFrequencyIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
paymentFrequencyIDRef = item.Attributes["href"].Name;
}
else
{
paymentFrequency = new Period(item);
}
}
}
XmlNodeList firstPeriodStartDateNodeList = xmlNode.SelectNodes("firstPeriodStartDate");
if (firstPeriodStartDateNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in firstPeriodStartDateNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
firstPeriodStartDateIDRef = item.Attributes["id"].Name;
XsdTypeDate ob = XsdTypeDate();
IDManager.SetID(firstPeriodStartDateIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
firstPeriodStartDateIDRef = item.Attributes["href"].Name;
}
else
{
firstPeriodStartDate = new XsdTypeDate(item);
}
}
}
XmlNodeList firstPaymentDateNodeList = xmlNode.SelectNodes("firstPaymentDate");
if (firstPaymentDateNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in firstPaymentDateNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
firstPaymentDateIDRef = item.Attributes["id"].Name;
XsdTypeDate ob = XsdTypeDate();
IDManager.SetID(firstPaymentDateIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
firstPaymentDateIDRef = item.Attributes["href"].Name;
}
else
{
firstPaymentDate = new XsdTypeDate(item);
}
}
}
XmlNodeList lastRegularPaymentDateNodeList = xmlNode.SelectNodes("lastRegularPaymentDate");
if (lastRegularPaymentDateNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in lastRegularPaymentDateNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
lastRegularPaymentDateIDRef = item.Attributes["id"].Name;
XsdTypeDate ob = XsdTypeDate();
IDManager.SetID(lastRegularPaymentDateIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
lastRegularPaymentDateIDRef = item.Attributes["href"].Name;
}
else
{
lastRegularPaymentDate = new XsdTypeDate(item);
}
}
}
XmlNodeList rollConventionNodeList = xmlNode.SelectNodes("rollConvention");
if (rollConventionNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in rollConventionNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
rollConventionIDRef = item.Attributes["id"].Name;
RollConventionEnum ob = RollConventionEnum();
IDManager.SetID(rollConventionIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
rollConventionIDRef = item.Attributes["href"].Name;
}
else
{
rollConvention = new RollConventionEnum(item);
}
}
}
XmlNodeList fixedAmountNodeList = xmlNode.SelectNodes("fixedAmount");
if (fixedAmountNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in fixedAmountNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
fixedAmountIDRef = item.Attributes["id"].Name;
Money ob = Money();
IDManager.SetID(fixedAmountIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
fixedAmountIDRef = item.Attributes["href"].Name;
}
else
{
fixedAmount = new Money(item);
}
}
}
XmlNodeList fixedAmountCalculationNodeList = xmlNode.SelectNodes("fixedAmountCalculation");
if (fixedAmountCalculationNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in fixedAmountCalculationNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
fixedAmountCalculationIDRef = item.Attributes["id"].Name;
FixedAmountCalculation ob = FixedAmountCalculation();
IDManager.SetID(fixedAmountCalculationIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
fixedAmountCalculationIDRef = item.Attributes["href"].Name;
}
else
{
fixedAmountCalculation = new FixedAmountCalculation(item);
}
}
}
XmlNodeList adjustedPaymentDatesNodeList = xmlNode.SelectNodes("adjustedPaymentDates");
foreach (XmlNode item in adjustedPaymentDatesNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
adjustedPaymentDatesIDRef = item.Attributes["id"].Name;
List<AdjustedPaymentDates> ob = new List<AdjustedPaymentDates>();
ob.Add(new AdjustedPaymentDates(item));
IDManager.SetID(adjustedPaymentDatesIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
adjustedPaymentDatesIDRef = item.Attributes["href"].Name;
}
else
{
adjustedPaymentDates.Add(new AdjustedPaymentDates(item));
}
}
}
}
