C# Schedule.tenor方法代碼示例

      public AmortizingFixedRateBond(
                          int settlementDays,
                          List<double> notionals,
                          Schedule schedule,
                          List<double> coupons,
                          DayCounter accrualDayCounter,
                          BusinessDayConvention paymentConvention = BusinessDayConvention.Following,
                          Date issueDate = null)
         :base(settlementDays, schedule.calendar(), issueDate)
      {
         frequency_ = schedule.tenor().frequency();
         dayCounter_ = accrualDayCounter;
         schedule_ = schedule;

         maturityDate_ = schedule.endDate();

         cashflows_ = new FixedRateLeg(schedule)
             .withCouponRates(coupons, accrualDayCounter)
             .withNotionals(notionals)
             .withPaymentAdjustment(paymentConvention).value();
             

         addRedemptionsToCashflows();

         if ( cashflows().empty())
            throw new ApplicationException("bond with no cashflows!");
      }

      //! fixed-rate bond
      /*! \ingroup instruments

          \test calculations are tested by checking results against
                cached values.
      */
 

      //! simple annual compounding coupon rates      
      public FixedRateBond(int settlementDays, double faceAmount, Schedule schedule,List<double> coupons, 
                           DayCounter accrualDayCounter, BusinessDayConvention paymentConvention = BusinessDayConvention.Following,
                           double redemption = 100, Date issueDate = null,Calendar paymentCalendar = null,
			                  Period exCouponPeriod = null,
                           Calendar exCouponCalendar = null,
									BusinessDayConvention exCouponConvention = BusinessDayConvention.Unadjusted,
                           bool exCouponEndOfMonth = false)
         : base(settlementDays, paymentCalendar == null ? schedule.calendar() : paymentCalendar, 
                issueDate) 
      {
         frequency_ = schedule.tenor().frequency();
         dayCounter_ = accrualDayCounter;
         maturityDate_ = schedule.endDate();

         cashflows_ = new FixedRateLeg(schedule)
            .withCouponRates(coupons, accrualDayCounter)
				.withExCouponPeriod(exCouponPeriod,
										  exCouponCalendar,
										  exCouponConvention,
										  exCouponEndOfMonth)
            .withPaymentCalendar(calendar_)
            .withNotionals(faceAmount)
            .withPaymentAdjustment(paymentConvention); 

         addRedemptionsToCashflows(new List<double>() { redemption });

         if (cashflows().Count == 0)
            throw new ApplicationException("bond with no cashflows!");

         if (redemptions_.Count != 1)
            throw new ApplicationException("multiple redemptions created");
      }

        public CPIBond(int settlementDays,
                double faceAmount,
                bool growthOnly,
                double baseCPI,
                Period observationLag,
                ZeroInflationIndex cpiIndex,
                InterpolationType observationInterpolation,
                Schedule schedule,
                List<double> fixedRate,
                DayCounter accrualDayCounter,
                BusinessDayConvention paymentConvention = BusinessDayConvention.ModifiedFollowing,
                Date issueDate = null,
                Calendar paymentCalendar = null,
                Period exCouponPeriod = null,
                Calendar exCouponCalendar = null,
					 BusinessDayConvention exCouponConvention = BusinessDayConvention.Unadjusted,
                bool exCouponEndOfMonth = false)                
            :base(settlementDays, paymentCalendar == null ? schedule.calendar() : paymentCalendar, issueDate)
        {
            frequency_ = schedule.tenor().frequency();
            dayCounter_ = accrualDayCounter;
            growthOnly_ = growthOnly;
            baseCPI_=baseCPI;
            observationLag_ = observationLag;
            cpiIndex_= cpiIndex;
            observationInterpolation_ = observationInterpolation;

            maturityDate_ = schedule.endDate();

            // a CPIleg know about zero legs and inclusion of base inflation notional
            cashflows_ = new CPILeg(schedule, cpiIndex_,
                                    baseCPI_, observationLag_)
             .withSubtractInflationNominal(growthOnly_)
             .withObservationInterpolation(observationInterpolation_)
             .withPaymentDayCounter(accrualDayCounter)
             .withFixedRates(fixedRate)
             .withPaymentCalendar(calendar_)
             .withExCouponPeriod(exCouponPeriod,
                                exCouponCalendar,
                                exCouponConvention,
                                exCouponEndOfMonth)
             .withNotionals(faceAmount)
             .withPaymentAdjustment(paymentConvention);
            

            calculateNotionalsFromCashflows();

            cpiIndex_.registerWith(update);

            foreach ( CashFlow i in cashflows_) 
                i.registerWith(update);
        }

      public OvernightIndexedSwap(Type type,
                                  double nominal,
                                  Schedule schedule,
                                  double fixedRate,
                                  DayCounter fixedDC,
                                  OvernightIndex overnightIndex,
                                  double spread) : 
      base(2)
      {
      
         type_= type;
         nominal_ = nominal;
         paymentFrequency_ = schedule.tenor().frequency();
         fixedRate_ = fixedRate;
         fixedDC_ = fixedDC;
         overnightIndex_ = overnightIndex;
         spread_ = spread;

         if (fixedDC_== null)
            fixedDC_ = overnightIndex_.dayCounter();

         legs_[0] = new FixedRateLeg(schedule)
            .withCouponRates(fixedRate_, fixedDC_)
            .withNotionals(nominal_);

        legs_[1] = new OvernightLeg(schedule, overnightIndex_)
            .withNotionals(nominal_)
            .withSpreads(spread_);

         for (int j = 0; j < 2; ++j)
         {
            for (int i = 0; i < legs_[j].Count; i++)
               legs_[j][i].registerWith(update);
         }

         switch (type_) 
         {
            case Type.Payer:
               payer_[0] = -1.0;
               payer_[1] = +1.0;
               break;
            case Type.Receiver:
               payer_[0] = +1.0;
               payer_[1] = -1.0;
               break;
            default:
               throw new ApplicationException("Unknown overnight-swap type"); 
         
         }
      }

      //! simple annual compounding coupon rates      
      public FixedRateBond(int settlementDays, double faceAmount, Schedule schedule,List<double> coupons, 
                           DayCounter accrualDayCounter, BusinessDayConvention paymentConvention,
                           double redemption, Date issueDate,Calendar paymentCalendar)
         : base(settlementDays, paymentCalendar == new Calendar() ? schedule.calendar() : paymentCalendar, 
                issueDate) 
      {
         frequency_ = schedule.tenor().frequency();
         dayCounter_ = accrualDayCounter;
         maturityDate_ = schedule.endDate();

         cashflows_ = new FixedRateLeg(schedule)
            .withCouponRates(coupons, accrualDayCounter)
            .withPaymentCalendar(calendar_)
            .withNotionals(faceAmount)
            .withPaymentAdjustment(paymentConvention);

         addRedemptionsToCashflows(new List<double>() { redemption });

         if (cashflows().Count == 0)
            throw new ApplicationException("bond with no cashflows!");

         if (redemptions_.Count != 1)
            throw new ApplicationException("multiple redemptions created");
      }

        public void testBondFromScheduleWithDateVector()
        {
            // Testing South African R2048 bond price using Schedule constructor with Date vector
             SavedSettings backup = new SavedSettings();

             //When pricing bond from Yield To Maturity, use NullCalendar()
             Calendar calendar = new NullCalendar();

             int settlementDays = 3;

             Date issueDate = new Date(29, Month.June, 2012);
             Date today = new Date(7, Month.September, 2015);
             Date evaluationDate = calendar.adjust(today);
             Date settlementDate = calendar.advance(evaluationDate, new Period(settlementDays, TimeUnit.Days));
             Settings.setEvaluationDate(evaluationDate);

             // For the schedule to generate correctly for Feb-28's, make maturity date on Feb 29
             Date maturityDate = new Date(29, Month.February, 2048);

             double coupon = 0.0875;
             Compounding comp = Compounding.Compounded;
             Frequency freq = Frequency.Semiannual;
             DayCounter dc = new ActualActual(ActualActual.Convention.Bond);

             // Yield as quoted in market
             InterestRate yield = new InterestRate(0.09185, dc, comp, freq);

             Period tenor = new Period(6, TimeUnit.Months);
             Period exCouponPeriod = new Period(10, TimeUnit.Days);

             // Generate coupon dates for 31 Aug and end of Feb each year
             // For leap years, this will generate 29 Feb, but the bond
             // actually pays coupons on 28 Feb, regardsless of whether
             // it is a leap year or not.
             Schedule schedule = new Schedule(issueDate, maturityDate, tenor,
            new NullCalendar(), BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
            DateGeneration.Rule.Backward, true);

             // Adjust the 29 Feb's to 28 Feb
             List<Date> dates = new List<Date>();
             for (int i = 0; i < schedule.Count; ++i)
             {
            Date d = schedule.date(i);
            if (d.Month == 2 && d.Day == 29)
               dates.Add(new Date(28, Month.February, d.Year));
            else
               dates.Add(d);
             }

             schedule = new Schedule(dates,
                                 schedule.calendar(),
                                 schedule.businessDayConvention(),
                                 schedule.terminationDateBusinessDayConvention(),
                                 schedule.tenor(),
                                 schedule.rule(),
                                 schedule.endOfMonth(),
                                 schedule.isRegular());

             FixedRateBond bond = new FixedRateBond(
             0,
             100.0,
             schedule,
             new List<double>() { coupon },
             dc, BusinessDayConvention.Following, 100.0,
             issueDate, calendar,
             exCouponPeriod, calendar, BusinessDayConvention.Unadjusted, false);

             double calculatedPrice = BondFunctions.dirtyPrice(bond, yield, settlementDate);
             double expectedPrice = 95.75706;
             double tolerance = 1e-5;
             if (Math.Abs(calculatedPrice - expectedPrice) > tolerance)
             {
            Assert.Fail(string.Format("failed to reproduce R2048 dirty price\nexpected: {0}\ncalculated: {1}", expectedPrice, calculatedPrice));
             }
        }

        public void testDateConstructor()
        {
            // Testing the constructor taking a vector of dates and possibly additional meta information

             List<Date> dates = new List<Date>();
             dates.Add(new Date(16, Month.May, 2015));
             dates.Add(new Date(18, Month.May, 2015));
             dates.Add(new Date(18, Month.May, 2016));
             dates.Add(new Date(31, Month.December, 2017));

             // schedule without any additional information
             Schedule schedule1 = new Schedule(dates);
             if (schedule1.Count != dates.Count)
            Assert.Fail("schedule1 has size {0}, expected {1}", schedule1.Count, dates.Count);
             for (int i = 0; i < dates.Count; ++i)
            if (schedule1[i] != dates[i])
               Assert.Fail("schedule1 has {0} at position {1}, expected {2}", schedule1[i], i, dates[i]);
             if (schedule1.calendar() != new NullCalendar())
            Assert.Fail("schedule1 has calendar {0}, expected null calendar", schedule1.calendar().name());
             if (schedule1.businessDayConvention() != BusinessDayConvention.Unadjusted)
            Assert.Fail("schedule1 has convention {0}, expected unadjusted", schedule1.businessDayConvention());

             // schedule with metadata
             List<bool> regular = new List<bool>();
             regular.Add(false);
             regular.Add(true);
             regular.Add(false);

             Schedule schedule2 = new Schedule(dates, new TARGET(), BusinessDayConvention.Following, BusinessDayConvention.ModifiedPreceding, new Period(1, TimeUnit.Years),
                            DateGeneration.Rule.Backward, true, regular);
             for (int i = 1; i < dates.Count; ++i)
            if (schedule2.isRegular(i) != regular[i - 1])
               Assert.Fail("schedule2 has a {0} period at position {1}, expected {2}", (schedule2.isRegular(i) ? "regular" : "irregular"), i, (regular[i - 1] ? "regular" : "irregular"));
             if (schedule2.calendar() != new TARGET())
            Assert.Fail("schedule1 has calendar {0}, expected TARGET", schedule2.calendar().name());
             if (schedule2.businessDayConvention() != BusinessDayConvention.Following)
            Assert.Fail("schedule2 has convention {0}, expected Following", schedule2.businessDayConvention());
             if (schedule2.terminationDateBusinessDayConvention() != BusinessDayConvention.ModifiedPreceding)
            Assert.Fail("schedule2 has convention {0}, expected Modified Preceding", schedule2.terminationDateBusinessDayConvention());
             if (schedule2.tenor() != new Period(1, TimeUnit.Years))
            Assert.Fail("schedule2 has tenor {0}, expected 1Y", schedule2.tenor());
             if (schedule2.rule() != DateGeneration.Rule.Backward)
            Assert.Fail("schedule2 has rule {0}, expected Backward", schedule2.rule());
             if (schedule2.endOfMonth() != true)
            Assert.Fail("schedule2 has end of month flag false, expected true");
        }