Package com.opengamma.financial.convention.businessday

Examples of com.opengamma.financial.convention.businessday.PrecedingBusinessDayConvention

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    ArgumentChecker.notNull(tenor, "Tenor");
    final ZonedDateTime endDate = startDate.plus(tenor); // Unadjusted date.
    // Adjusted to month-end: when start date is last business day of the month, the end date is the last business day of the month.
    final boolean isStartDateEOM = (startDate.getMonth() != getAdjustedDate(startDate, 1, calendar).getMonth());
    if ((tenor.getDays() == 0) & (endOfMonthRule) & (isStartDateEOM)) {
      final BusinessDayConvention preceding = new PrecedingBusinessDayConvention();
      return preceding.adjustDate(calendar, endDate.with(TemporalAdjusters.lastDayOfMonth()));
    }
    return convention.adjustDate(calendar, endDate); // Adjusted by Business day convention
  }
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   */
  public static ZonedDateTime[] getAdjustedDateSchedule(final ZonedDateTime[] dates, final BusinessDayConvention convention, final Calendar calendar,
      final boolean eomApply) {
    final ZonedDateTime[] result = new ZonedDateTime[dates.length];
    if (eomApply) {
      final BusinessDayConvention precedingDBC = new PrecedingBusinessDayConvention(); //To ensure that the date stays in the current month.
      for (int loopdate = 0; loopdate < dates.length; loopdate++) {
        result[loopdate] = precedingDBC.adjustDate(calendar, dates[loopdate].with(TemporalAdjusters.lastDayOfMonth()));
      }
      return result;
    }
    for (int loopdate = 0; loopdate < dates.length; loopdate++) {
      result[loopdate] = convention.adjustDate(calendar, dates[loopdate]);
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    // When the end-of-month rule applies and the start date is on month-end, the dates are the last business day of the month.
    BusinessDayConvention actualBDC;
    final List<ZonedDateTime> adjustedDates = new ArrayList<>();
    ZonedDateTime date = startDate;
    if (eomApply) {
      actualBDC = new PrecedingBusinessDayConvention(); //To ensure that the date stays in the current month.
      date = date.plus(period).with(TemporalAdjusters.lastDayOfMonth());
      while (date.isBefore(endDate)) { // date is strictly before endDate
        adjustedDates.add(actualBDC.adjustDate(calendar, date));
        date = date.plus(period).with(TemporalAdjusters.lastDayOfMonth());
      }
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    final ZonedDateTime effective = DateUtils.getUTCDate(2010, 1, 1);
    final ZonedDateTime maturity = DateUtils.getUTCDate(2011, 1, 1);
    final ZonedDateTime[] unadjusted = ScheduleCalculator.getUnadjustedDateSchedule(effective, maturity, PeriodFrequency.MONTHLY);
    assertDateArray(ScheduleCalculator.getAdjustedDateSchedule(unadjusted, new ModifiedFollowingBusinessDayConvention(), ALL), unadjusted);
    assertDateArray(ScheduleCalculator.getAdjustedDateSchedule(unadjusted, new FollowingBusinessDayConvention(), ALL), unadjusted);
    assertDateArray(ScheduleCalculator.getAdjustedDateSchedule(unadjusted, new PrecedingBusinessDayConvention(), ALL), unadjusted);
    assertDateArray(
        ScheduleCalculator.getAdjustedDateSchedule(unadjusted, new ModifiedFollowingBusinessDayConvention(), WEEKEND),
        new ZonedDateTime[] {DateUtils.getUTCDate(2010, 2, 1), DateUtils.getUTCDate(2010, 3, 1), DateUtils.getUTCDate(2010, 4, 1), DateUtils.getUTCDate(2010, 5, 3), DateUtils.getUTCDate(2010, 6, 1),
          DateUtils.getUTCDate(2010, 7, 1), DateUtils.getUTCDate(2010, 8, 2), DateUtils.getUTCDate(2010, 9, 1), DateUtils.getUTCDate(2010, 10, 1), DateUtils.getUTCDate(2010, 11, 1),
          DateUtils.getUTCDate(2010, 12, 1), DateUtils.getUTCDate(2011, 1, 3) });
    assertDateArray(
        ScheduleCalculator.getAdjustedDateSchedule(unadjusted, new FollowingBusinessDayConvention(), WEEKEND),
        new ZonedDateTime[] {DateUtils.getUTCDate(2010, 2, 1), DateUtils.getUTCDate(2010, 3, 1), DateUtils.getUTCDate(2010, 4, 1), DateUtils.getUTCDate(2010, 5, 3), DateUtils.getUTCDate(2010, 6, 1),
          DateUtils.getUTCDate(2010, 7, 1), DateUtils.getUTCDate(2010, 8, 2), DateUtils.getUTCDate(2010, 9, 1), DateUtils.getUTCDate(2010, 10, 1), DateUtils.getUTCDate(2010, 11, 1),
          DateUtils.getUTCDate(2010, 12, 1), DateUtils.getUTCDate(2011, 1, 3) });
    assertDateArray(
        ScheduleCalculator.getAdjustedDateSchedule(unadjusted, new PrecedingBusinessDayConvention(), WEEKEND),
        new ZonedDateTime[] {DateUtils.getUTCDate(2010, 2, 1), DateUtils.getUTCDate(2010, 3, 1), DateUtils.getUTCDate(2010, 4, 1), DateUtils.getUTCDate(2010, 4, 30), DateUtils.getUTCDate(2010, 6, 1),
          DateUtils.getUTCDate(2010, 7, 1), DateUtils.getUTCDate(2010, 7, 30), DateUtils.getUTCDate(2010, 9, 1), DateUtils.getUTCDate(2010, 10, 1), DateUtils.getUTCDate(2010, 11, 1),
          DateUtils.getUTCDate(2010, 12, 1), DateUtils.getUTCDate(2010, 12, 31) });
    assertDateArray(
        ScheduleCalculator.getAdjustedDateSchedule(unadjusted, new ModifiedFollowingBusinessDayConvention(), FIRST),
        new ZonedDateTime[] {DateUtils.getUTCDate(2010, 2, 2), DateUtils.getUTCDate(2010, 3, 2), DateUtils.getUTCDate(2010, 4, 2), DateUtils.getUTCDate(2010, 5, 3), DateUtils.getUTCDate(2010, 6, 2),
          DateUtils.getUTCDate(2010, 7, 2), DateUtils.getUTCDate(2010, 8, 2), DateUtils.getUTCDate(2010, 9, 2), DateUtils.getUTCDate(2010, 10, 4), DateUtils.getUTCDate(2010, 11, 2),
          DateUtils.getUTCDate(2010, 12, 2), DateUtils.getUTCDate(2011, 1, 3) });
    assertDateArray(
        ScheduleCalculator.getAdjustedDateSchedule(unadjusted, new FollowingBusinessDayConvention(), FIRST),
        new ZonedDateTime[] {DateUtils.getUTCDate(2010, 2, 2), DateUtils.getUTCDate(2010, 3, 2), DateUtils.getUTCDate(2010, 4, 2), DateUtils.getUTCDate(2010, 5, 3), DateUtils.getUTCDate(2010, 6, 2),
          DateUtils.getUTCDate(2010, 7, 2), DateUtils.getUTCDate(2010, 8, 2), DateUtils.getUTCDate(2010, 9, 2), DateUtils.getUTCDate(2010, 10, 4), DateUtils.getUTCDate(2010, 11, 2),
          DateUtils.getUTCDate(2010, 12, 2), DateUtils.getUTCDate(2011, 1, 3) });
    assertDateArray(
        ScheduleCalculator.getAdjustedDateSchedule(unadjusted, new PrecedingBusinessDayConvention(), FIRST),
        new ZonedDateTime[] {DateUtils.getUTCDate(2010, 1, 29), DateUtils.getUTCDate(2010, 2, 26), DateUtils.getUTCDate(2010, 3, 31), DateUtils.getUTCDate(2010, 4, 30),
          DateUtils.getUTCDate(2010, 5, 31), DateUtils.getUTCDate(2010, 6, 30), DateUtils.getUTCDate(2010, 7, 30), DateUtils.getUTCDate(2010, 8, 31), DateUtils.getUTCDate(2010, 9, 30),
          DateUtils.getUTCDate(2010, 10, 29), DateUtils.getUTCDate(2010, 11, 30), DateUtils.getUTCDate(2010, 12, 31) });
    // End date is modified
    assertDateArray(ScheduleCalculator.getAdjustedDateSchedule(SETTLEMENT_DATE, ANNUITY_TENOR, PAYMENT_TENOR, MOD_FOL, CALENDAR, IS_EOM, SHORT_STUB),
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Related Classes of com.opengamma.financial.convention.businessday.PrecedingBusinessDayConvention

  • com.opengamma.analytics.financial.schedule.ScheduleCalculator
  • com.opengamma.analytics.financial.schedule.ScheduleCalculatorTest
  • org.threeten.bp.LocalDate
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