C# Schedule.terminationDateBusinessDayConvention方法代碼示例

        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");
        }