//! next ASX date following the given date
/*! returns the 1st delivery date for next contract listed in the
* Australian Securities Exchange.
*/
public static Date nextDate(Date date = null, bool mainCycle = true)
{
Date refDate = date ?? Settings.evaluationDate();
int y = refDate.year();
int m = refDate.month();
int offset = mainCycle ? 3 : 1;
int skipMonths = offset - (m % offset);
if (skipMonths != offset || refDate.Day > 14)
{
skipMonths += m;
if (skipMonths <= 12)
{
m = skipMonths;
}
else
{
m = (skipMonths - 12);
y += 1;
}
}
Date result = Date.nthWeekday(2, DayOfWeek.Friday, m, y);
if (result <= refDate)
{
result = nextDate(new Date(15, m, y), mainCycle);
}
return(result);
}
/*! returns the ECB code for the given date
(e.g. MAR10 for March xxth, 2010).
\warning It raises an exception if the input
date is not an ECB date
*/
public static string code( Date ecbDate )
{
Utils.QL_REQUIRE(isECBdate(ecbDate),() => ecbDate + " is not a valid ECB date");
string ECBcode = string.Empty;
int y = ecbDate.year() % 100;
string padding = string.Empty;
if (y < 10)
padding = "0";
switch(ecbDate.month()) {
case (int)Month.January:
ECBcode += "JAN" + padding + y;
break;
case (int)Month.February:
ECBcode += "FEB" + padding + y;
break;
case (int)Month.March:
ECBcode += "MAR" + padding + y;
break;
case (int)Month.April:
ECBcode += "APR" + padding + y;
break;
case (int)Month.May:
ECBcode += "MAY" + padding + y;
break;
case (int)Month.June:
ECBcode += "JUN" + padding + y;
break;
case (int)Month.July:
ECBcode += "JUL" + padding + y;
break;
case (int)Month.August:
ECBcode += "AUG" + padding + y;
break;
case (int)Month.September:
ECBcode += "SEP" + padding + y;
break;
case (int)Month.October:
ECBcode += "OCT" + padding + y;
break;
case (int)Month.November:
ECBcode += "NOV" + padding + y;
break;
case (int)Month.December:
ECBcode += "DEC" + padding + y;
break;
default:
Utils.QL_FAIL("not an ECB month (and it should have been)");
break;
}
#if(QL_EXTRA_SAFETY_CHECKS)
QL_ENSURE(isECBcode(ECBcode.str()),
"the result " << ECBcode.str() <<
" is an invalid ECB code");
#endif
return ECBcode;
}
public override int dayCount(Date d1, Date d2)
{
int s1, s2;
s1 = d1.Day + MonthOffset[d1.month() - 1] + (d1.year() * 365);
s2 = d2.Day + MonthOffset[d2.month() - 1] + (d2.year() * 365);
if (d1.month() == (int)Month.Feb && d1.Day == 29)
{
--s1;
}
if (d2.month() == (int)Month.Feb && d2.Day == 29)
{
--s2;
}
return(s2 - s1);
}
public override int dayCount(Date d1, Date d2)
{
int s1, s2;
s1 = d1.Day + MonthOffset[d1.month()-1] + (d1.year() * 365);
s2 = d2.Day + MonthOffset[d2.month()-1] + (d2.year() * 365);
if (d1.month() == (int)Month.Feb && d1.Day == 29)
{
--s1;
}
if (d2.month() == (int)Month.Feb && d2.Day == 29)
{
--s2;
}
return s2 - s1;
}
public EventSetSimulation(List <KeyValuePair <Date, double> > events, Date eventsStart, Date eventsEnd, Date start, Date end)
: base(start, end)
{
events_ = events;
eventsStart_ = eventsStart;
eventsEnd_ = eventsEnd;
i_ = 0;
years_ = end_.year() - start_.year();
if (eventsStart_.month() < start_.month() ||
(eventsStart_.month() == start_.month() && eventsStart_.Day <= start_.Day))
{
periodStart_ = new Date(start_.Day, start_.Month, eventsStart_.Year);
}
else
{
periodStart_ = new Date(start_.Day, start_.month(), eventsStart_.year() + 1);
}
periodEnd_ = new Date(end_.Day, end_.Month, periodStart_.Year + years_);
while (i_ < events_.Count && (events_)[i_].Key < periodStart_)
{
++i_; //i points to the first element after the start of the relevant period.
}
}
Date previousTwentieth(Date d, DateGeneration.Rule rule)
{
Date result = new Date(20, d.month(), d.year());
if (result > d)
{
result -= new Period(1, TimeUnit.Months);
}
if (rule == DateGeneration.Rule.TwentiethIMM ||
rule == DateGeneration.Rule.OldCDS ||
rule == DateGeneration.Rule.CDS)
{
int m = result.month();
if (m % 3 != 0)
{ // not a main IMM nmonth
int skip = m % 3;
result -= new Period(skip, TimeUnit.Months);
}
}
return(result);
}
Date previousTwentieth(Date d, DateGeneration.Rule rule)
{
Date result = new Date(20, d.month(), d.year());
if (result > d)
result -= new Period(1, TimeUnit.Months);
if (rule == DateGeneration.Rule.TwentiethIMM ||
rule == DateGeneration.Rule.OldCDS ||
rule == DateGeneration.Rule.CDS)
{
int m = result.month();
if (m % 3 != 0)
{ // not a main IMM nmonth
int skip = m % 3;
result -= new Period(skip, TimeUnit.Months);
}
}
return result;
}
/*! returns the ASX code for the given date
* (e.g. M5 for June 12th, 2015).
*/
public static String code(Date date)
{
Utils.QL_REQUIRE(isASXdate(date, false), () => date + " is not an ASX date");
String ASXcode = String.Empty;
String y = (date.year() % 10).ToString();
switch ((Month)date.month())
{
case Month.January:
ASXcode = 'F' + y;
break;
case Month.February:
ASXcode = 'G' + y;
break;
case Month.March:
ASXcode = 'H' + y;
break;
case Month.April:
ASXcode = 'J' + y;
break;
case Month.May:
ASXcode = 'K' + y;
break;
case Month.June:
ASXcode = 'M' + y;
break;
case Month.July:
ASXcode = 'N' + y;
break;
case Month.August:
ASXcode = 'Q' + y;
break;
case Month.September:
ASXcode = 'U' + y;
break;
case Month.October:
ASXcode = 'V' + y;
break;
case Month.November:
ASXcode = 'X' + y;
break;
case Month.December:
ASXcode = 'Z' + y;
break;
default:
Utils.QL_FAIL("not an ASX month (and it should have been)");
break;
}
return(ASXcode);
}
/*! returns the ECB code for the given date
* (e.g. MAR10 for March xxth, 2010).
*
* \warning It raises an exception if the input
* date is not an ECB date
*/
public static string code(Date ecbDate)
{
Utils.QL_REQUIRE(isECBdate(ecbDate), () => ecbDate + " is not a valid ECB date");
string ECBcode = string.Empty;
int y = ecbDate.year() % 100;
string padding = string.Empty;
if (y < 10)
{
padding = "0";
}
switch (ecbDate.month())
{
case (int)Month.January:
ECBcode += "JAN" + padding + y;
break;
case (int)Month.February:
ECBcode += "FEB" + padding + y;
break;
case (int)Month.March:
ECBcode += "MAR" + padding + y;
break;
case (int)Month.April:
ECBcode += "APR" + padding + y;
break;
case (int)Month.May:
ECBcode += "MAY" + padding + y;
break;
case (int)Month.June:
ECBcode += "JUN" + padding + y;
break;
case (int)Month.July:
ECBcode += "JUL" + padding + y;
break;
case (int)Month.August:
ECBcode += "AUG" + padding + y;
break;
case (int)Month.September:
ECBcode += "SEP" + padding + y;
break;
case (int)Month.October:
ECBcode += "OCT" + padding + y;
break;
case (int)Month.November:
ECBcode += "NOV" + padding + y;
break;
case (int)Month.December:
ECBcode += "DEC" + padding + y;
break;
default:
Utils.QL_FAIL("not an ECB month (and it should have been)");
break;
}
#if (QL_EXTRA_SAFETY_CHECKS)
QL_ENSURE(isECBcode(ECBcode.str()),
"the result " << ECBcode.str() <<
" is an invalid ECB code");
#endif
return(ECBcode);
}
/// <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);
}