Merge branch 'master' of https://github.com/cetusfinance/qwack

cetusfinance · Apr 18, 2022 · 3079276 · 3079276
2 parents 6729af4 + 89c2ac4
commit 3079276
Show file tree

Hide file tree

Showing 2 changed files with 13 additions and 0 deletions.
diff --git a/src/Qwack.Core/Instruments/Portfolio.cs b/src/Qwack.Core/Instruments/Portfolio.cs
@@ -394,6 +394,7 @@ public static (Portfolio newTrades, Portfolio removedTrades, Portfolio ammendedT
             FloatingRateLoanDepo loanDepositFl => loanDepositFl.Notional,
             CashWrapper wrapper => wrapper.UnderlyingInstrument.Notional(),
             ETC etc => etc.Notional,
+            CashAsset ca => ca.Notional,
             _ => 0.0,
         };
 

diff --git a/src/Qwack.Futures/FutureCode.cs b/src/Qwack.Futures/FutureCode.cs
@@ -198,6 +198,12 @@ public DateTime GetExpiry()
                             .IfHolidayRollBack(_settings.RollGen.CalendarObject)
                             .Day;
                         break;
+                    case "LASTWED":
+                        var dateInMonth4 = new DateTime(YearNumber, monthNum, 1);
+                        dayOfMonthToStart = dateInMonth4.NthLastSpecificWeekDay(DayOfWeek.Wednesday, 1)
+                            .IfHolidayRollBack(_settings.RollGen.CalendarObject)
+                            .Day;
+                        break;
                     case "LASTMON-EUA":
                         var dateInMonth3 = new DateTime(YearNumber, monthNum, 1);
                         var lastMon = dateInMonth3.NthLastSpecificWeekDay(DayOfWeek.Monday, 1);
@@ -253,6 +259,12 @@ public DateTime GetRollDate()
                             .IfHolidayRollBack(_settings.RollGen.CalendarObject)
                             .Day;
                         break;
+                    case "LASTWED":
+                        var dateInMonth4 = new DateTime(YearNumber, monthNum, 1);
+                        dayOfMonthToStart = dateInMonth4.NthLastSpecificWeekDay(DayOfWeek.Wednesday, 1)
+                            .IfHolidayRollBack(_settings.RollGen.CalendarObject)
+                            .Day;
+                        break;
                     case "LASTMON-EUA":
                         var dateInMonth3 = new DateTime(YearNumber, monthNum, 1);
                         var lastMon = dateInMonth3.NthLastSpecificWeekDay(DayOfWeek.Monday, 1);