net.finmath.time

Class Tenor

java.lang.Object

net.finmath.time.TimeDiscretization

net.finmath.time.Tenor

All Implemented Interfaces:

Serializable, Iterable<Double>, TenorInterface, TimeDiscretizationInterface

public class Tenor
extends TimeDiscretization
implements TenorInterface

Implements a time discretization based on dates using a reference date and an daycount convention / year fraction. The time as a double is represented as the year fraction from the reference date.

Author:

Christian Fries

See Also:

Serialized Form

Nested Class Summary

Nested classes/interfaces inherited from class net.finmath.time.TimeDiscretization

TimeDiscretization.ShortPeriodLocation

Constructor Summary

Constructors

Constructor and Description
Tenor(Calendar[] dates, Calendar referenceDate)
Tenor(double[] timeDiscretization) Construct a tenor from a time discretization.
Tenor(Double[] timeDiscretization) Construct a tenor from a time discretization.
Tenor(double initial, double last, double deltaT, TimeDiscretization.ShortPeriodLocation shortPeriodLocation) Construct a tenor from meta data.
Tenor(double initial, int numberOfTimeSteps, double deltaT) Construct a tenor from meta data.

Method Summary

Modifier and Type	Method and Description
Calendar	getDate(int timeIndex) Returns the date for the given time index.
double	getDaycountFraction(int timeIndex) Returns the day count fraction for the period form timeIndex to to timeIndex+1.
Calendar	getReferenceDate()

Methods inherited from class net.finmath.time.TimeDiscretization

equals, getAsArrayList, getAsDoubleArray, getNumberOfTimes, getNumberOfTimeSteps, getTime, getTimeIndex, getTimeIndexNearestGreaterOrEqual, getTimeIndexNearestLessOrEqual, getTimeShiftedTimeDiscretization, getTimeStep, hashCode, iterator, toString

Methods inherited from class java.lang.Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface java.lang.Iterable

forEach, spliterator

Constructor Detail

Tenor

public Tenor(Calendar[] dates,
             Calendar referenceDate)

Parameters:

dates - A set of dates.

referenceDate - The reference date, which defines t=0 with respect to the internal double representation.

Tenor

public Tenor(double[] timeDiscretization)

Construct a tenor from a time discretization.

Parameters:

timeDiscretization - A time discretization.

Tenor

public Tenor(Double[] timeDiscretization)

Construct a tenor from a time discretization.

Parameters:

timeDiscretization - A time discretization.

Tenor

public Tenor(double initial,
             int numberOfTimeSteps,
             double deltaT)

Construct a tenor from meta data.

Parameters:

initial - First discretization point.

numberOfTimeSteps - Number of time steps.

deltaT - Time step size.

Tenor

public Tenor(double initial,
             double last,
             double deltaT,
             TimeDiscretization.ShortPeriodLocation shortPeriodLocation)

Construct a tenor from meta data.

Parameters:

initial - First discretization point.

last - Last time steps.

deltaT - Time step size.

shortPeriodLocation - Placement of the stub period.

Method Detail

getReferenceDate

public Calendar getReferenceDate()

Specified by:

getReferenceDate in interface TenorInterface

Returns:

The reference date of this tenor, i.e., the date mapped to 0.0

getDate

public Calendar getDate(int timeIndex)

Description copied from interface: TenorInterface

Returns the date for the given time index.

Specified by:

getDate in interface TenorInterface

Parameters:

timeIndex - Time index

Returns:

Returns the date for a given time index.

getDaycountFraction

public double getDaycountFraction(int timeIndex)

Description copied from interface: TenorInterface

Returns the day count fraction for the period form timeIndex to to timeIndex+1.

Specified by:

getDaycountFraction in interface TenorInterface

Parameters:

timeIndex - Time index

Returns:

Returns the day count fraction.