Finish QLNet 1.11.1

amaggiulli · Jun 13, 2018 · 487747f · 487747f
2 parents d9928a8 + f793230
commit 487747f
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Showing 4 changed files with 43 additions and 7 deletions.
diff --git a/src/QLNet.Old/AssemblyInfo.cs b/src/QLNet.Old/AssemblyInfo.cs
@@ -30,5 +30,5 @@
 //
 // È possibile specificare tutti i valori o impostare come predefiniti i valori Numero revisione e Numero build
 // utilizzando l'asterisco (*) come descritto di seguito:
-[assembly: AssemblyVersion("1.11.0.0")]
-[assembly: AssemblyFileVersion("1.11.0.0")]
+[assembly: AssemblyVersion("1.11.1.0")]
+[assembly: AssemblyFileVersion("1.11.1.0")]
diff --git a/src/QLNet/Cashflows/CashFlows.cs b/src/QLNet/Cashflows/CashFlows.cs
@@ -652,17 +652,53 @@ public static int accruedDays(Leg leg, bool includeSettlementDateFlows, Date set
          }
          return 0;
       }
-      public static double accruedAmount(Leg leg, bool includeSettlementDateFlows, Date settlementDate = null)
+      public static double accruedAmount(Leg leg, bool includeSettlementDateFlows, Date settlementDate = null, Date accrualStartDate = null)
       {
+         double result = 0.0;
+
          if (settlementDate == null)
             settlementDate = Settings.evaluationDate();
 
          CashFlow cf = nextCashFlow(leg, includeSettlementDateFlows, settlementDate);
          if (cf == null)
             return 0;
+
          Date paymentDate = cf.date();
-         double result = 0.0;
 
+         CashFlow cfStart = null;
+         Date endDate = paymentDate;
+
+         if (accrualStartDate != null)
+         {
+            cfStart = nextCashFlow(leg, includeSettlementDateFlows, accrualStartDate);
+
+            if (cfStart != null)
+               endDate = cfStart.date();
+         }
+
+         // More periods
+         if (endDate != paymentDate)
+         {
+            // First period
+            Coupon cp = cfStart as Coupon;
+            if (cp != null)
+               result += cp.accruedAmount(cp.accrualEndDate()) - cp.accruedAmount(accrualStartDate);
+
+
+            foreach (CashFlow x in leg.Where(x => x.date() <= paymentDate &&
+                                             x.date() > endDate))
+            {
+               cp = x as Coupon;
+               if (cp != null)
+                  if (x.date() < paymentDate)
+                     result += cp.accruedAmount(cp.accrualEndDate());
+                  else
+                     result += cp.accruedAmount(settlementDate);
+            }
+            return result;
+         }
+
+         // One period
          foreach (CashFlow x in leg.Where(x => x.date() == paymentDate))
          {
             Coupon cp = x as Coupon;

diff --git a/src/QLNet/Pricingengines/Bond/BondFunctions.cs b/src/QLNet/Pricingengines/Bond/BondFunctions.cs
@@ -206,7 +206,7 @@ public static double accruedDays(Bond bond, Date settlementDate = null)
 
          return CashFlows.accruedDays(bond.cashflows(), false, settlementDate);
       }
-      public static double accruedAmount(Bond bond, Date settlementDate = null)
+      public static double accruedAmount(Bond bond, Date settlementDate = null, Date accrualStartDate = null)
       {
          if (settlementDate == null)
             settlementDate = bond.settlementDate();
@@ -215,7 +215,7 @@ public static double accruedAmount(Bond bond, Date settlementDate = null)
                           "non tradable at " + settlementDate +
                           " (maturity being " + bond.maturityDate() + ")");
 
-         return CashFlows.accruedAmount(bond.cashflows(), false, settlementDate) * 100.0 / bond.notional(settlementDate);
+         return CashFlows.accruedAmount(bond.cashflows(), false, settlementDate, accrualStartDate) * 100.0 / bond.notional(settlementDate);
       }
 
       #endregion

diff --git a/src/QLNet/QLNet.csproj b/src/QLNet/QLNet.csproj
@@ -1,7 +1,7 @@
 <Project Sdk="Microsoft.NET.Sdk">
 
   <PropertyGroup>
-    <VersionPrefix>1.11.0</VersionPrefix>
+    <VersionPrefix>1.11.1</VersionPrefix>
     <TargetFrameworks>net45;net40;netstandard2.0;netcoreapp1.1</TargetFrameworks>
     <DefineConstants>$(DefineConstants);QL_NEGATIVE_RATES</DefineConstants>
     <AssemblyName>QLNet</AssemblyName>