/// <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 void ShortFinalStubSpecified()
{
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, 1, 26);
CalculationPeriodSchedule cps = new CalculationPeriodSchedule();
List <CalculationPeriod> unadjustedCalcPeriods = cps.GetUnadjustedCalculationDateSchedule(startDate, endDate, firstRegularPeriodDate, periodFrequency, StubPeriodTypeEnum.ShortFinal);
List <DateTime> dates = CalculationPeriodHelper.GetCalculationPeriodsProperty <DateTime>(unadjustedCalcPeriods, "unadjustedStartDate");
Assert.AreEqual(unadjustedCalcPeriods.Count, 21);
Assert.IsTrue(cps.HasFinalStub);
Assert.IsTrue(cps.HasInitialStub);
Assert.IsTrue(CalculationPeriodHelper.IsShortStub(unadjustedCalcPeriods[unadjustedCalcPeriods.Count - 1], 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);
}
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);
}
