Changeset 217

Timestamp:

06/28/08 09:30:09 (1 year ago)

Author:

snovik

Message:

Change: QL 15131, 14090, 14073-14074

Files:

• trunk/QLNet/QLNet/Error.cs (modified) (1 diff)
• trunk/QLNet/QLNet/Time/Date.cs (modified) (1 diff)
• trunk/QLNet/QLNet/Time/Schedule.cs (modified) (8 diffs)
• trunk/QLNet/QLNet/Types.cs (modified) (1 diff)

trunk/QLNet/QLNet/Error.cs

@@ -29 +29 @@
-                public static ArgumentException UnknownBusinessDayConvention(BusinessDayConvention c) {
-                        return new ArgumentException("Unknown business-day convention: " + c); }
-                public static ArgumentException UnknownDateGenerationRule(DateGeneration.Rule r) {
-                        return new ArgumentException("Unknown DateGeneration rule: " + r); }
-
-                public static ApplicationException MissingImplementation() {

trunk/QLNet/QLNet/Time/Date.cs

@@ -41 +41 @@
-        public int Day { get { return date.Day; } }
-        public int Month { get { return date.Month; } }
+        public int month() { return date.Month; }
-        public int Year { get { return date.Year; } }
+        public int year() { return date.Year; }
-        public int DayOfYear { get { return date.DayOfYear; } }
-        public int weekday() { return (int)date.DayOfWeek + 1; }       // QL compatible definition

trunk/QLNet/QLNet/Time/Schedule.cs

@@ -120 +120 @@
-                       ") is later than or equal to termination date (" + terminationDate__ + ")");
-
-units
+length
-                rule_ = DateGeneration.Rule.Zero;
-units
+length
-                throw new ArgumentException("Non positive tenor (" + tenor_ + ") is not allowed");
-
-            // though firstDate_ and nextToLastDate are always provided
-            if (firstDate_ != null) {
-                switch (rule_) {
@@ -134 +133 @@
-                                                        + "), termination date (" + terminationDate__ + ")]");
-                        break;
+                    case DateGeneration.Rule.ThirdWednesday:
+                        if (!IMM.isIMMdate(firstDate_, false))
+                            throw new ArgumentException("first date (" + firstDate_ + ") is not an IMM date");
+                        break;
-                    case DateGeneration.Rule.Zero:
-
+
+
-                        throw new ArgumentException("First date is incompatible with " + rule_ + " date generation rule");
-                    default:
-Error.UnknownDateGenerationRule(
+new ArgumentException("Unknown DateGeneration rule: " + 
-                }
-            }
@@ -150 +154 @@
-                               + "), termination date (" + terminationDate__ + ")]");
-                        break;
+                    case DateGeneration.Rule.ThirdWednesday:
+                        if (!IMM.isIMMdate(firstDate_, false))
+                            throw new ArgumentException("first date (" + firstDate_ + ") is not an IMM date");
+                        break;
-                    case DateGeneration.Rule.Zero:
-
-
+
+
+
-                    default:
-Error.UnknownDateGenerationRule(
+new ArgumentException("Unknown DateGeneration rule: " + 
-                }
-            }
@@ -200 +209 @@
-                    break;
-
+                case DateGeneration.Rule.Twentieth:
+                case DateGeneration.Rule.TwentiethIMM:
-                case DateGeneration.Rule.ThirdWednesday:
-
+
+
-                    goto case DateGeneration.Rule.Forward;                      // fall through
-
@@ -212 +224 @@
-                        isRegular_.Add(temp == firstDate_);
-                        seed = firstDate_;
-
+
+
+
+
+
+
+
+
+
-                    exitDate = terminationDate__;
-                    if (nextToLastDate_ != null)
@@ -228 +248 @@
-                    if (endOfMonth_ && calendar_.isEndOfMonth(seed))
-                        convention_ = BusinessDayConvention.Preceding;
+
-                    if (calendar_.adjust(originalDates_.Last(), terminationDateConvention_) != calendar_.adjust(terminationDate__, terminationDateConvention_)) {
-
-
+
+
+
+
+
+
+
-                    }
-                    break;
-
-                default:
-Error.UnknownDateGenerationRule(
+new ArgumentException("Unknown DateGeneration rule: " + 
-            }
-
@@ -246 +272 @@
-                adjustedDates_.Add(calendar_.adjust(d, convention_));
-
-
-
+
+
+
+
+
-                adjustedDates_[adjustedDates_.Count - 1] = calendar_.adjust(originalDates_.Last(), terminationDateConvention_);
-        } 
@@ -284 +313 @@
-                i_++;
-            }
+        }
+
+
+        Date nextTwentieth(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) {
+                int m = result.month();
+                if (m % 3 != 0) { // not a main IMM nmonth
+                    int skip = 3 - m % 3;
+                    result += new Period(skip, TimeUnit.Months);
+                }
+            }
+            return result;
-        }
-        }

trunk/QLNet/QLNet/Types.cs

@@ -131 +131 @@
-            Forward,       /*!< Forward from effective date to termination date. */
-            Zero,          /*!< No intermediate dates between effective date and termination date. */
-
-
+
+
+
+
+
+
+
-    };
-