net.finmath.time

Class Schedule

java.lang.Object

net.finmath.time.Schedule

All Implemented Interfaces:

Iterable<Period>, ScheduleInterface

public class Schedule
extends Object
implements ScheduleInterface

A schedule of interest rate periods with a fixing and payment. The periods have two representations: one a Period which contains LocalDate dates and an alternative representation using doubles. Within a schedule, the mapping from doubles to dates is one to one.

Author:

Christian Fries

Constructor Summary

Constructors

Constructor and Description
Schedule(LocalDate referenceDate, DayCountConventionInterface daycountconvention, Period... periods)
Schedule(LocalDate referenceDate, List<Period> periods, DayCountConventionInterface daycountconvention)

Method Summary

Modifier and Type	Method and Description
DayCountConventionInterface	getDaycountconvention() Returns the daycount convention used to calculate period lengths.
double	getFixing(int periodIndex) Return the fixing converted to the internal daycounting relative to the schedules reference date.
int	getNumberOfPeriods() Returns the number of periods.
double	getPayment(int periodIndex) Return the payment date converted to the internal daycounting relative to the schedules reference date.
Period	getPeriod(int periodIndex) Return the period for a given period index.
double	getPeriodEnd(int periodIndex) Return the period end date converted to the internal daycounting relative to the schedules reference date.
double	getPeriodLength(int periodIndex) Return the period length for a given period index.
List<Period>	getPeriods() Returns the array of periods.
double	getPeriodStart(int periodIndex) Return the period start date converted to the internal daycounting relative to the schedules reference date.
LocalDate	getReferenceDate() Returns the reference data of this schedule.
Iterator<Period>	iterator()
String	toString()

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait

Methods inherited from interface java.lang.Iterable

forEach, spliterator

Constructor Detail

Schedule

public Schedule(LocalDate referenceDate,
                DayCountConventionInterface daycountconvention,
                Period... periods)

Schedule

public Schedule(LocalDate referenceDate,
                List<Period> periods,
                DayCountConventionInterface daycountconvention)

Method Detail

getReferenceDate

public LocalDate getReferenceDate()

Description copied from interface: ScheduleInterface

Returns the reference data of this schedule. The reference date is only used to convert dates to doubles using and internal daycount conventions (ACT/365) which does not need to agree with the daycount convention used to calculate period length.

Specified by:

getReferenceDate in interface ScheduleInterface

Returns:

The reference data of this schedule corresponding to t=0.

getPeriods

public List<Period> getPeriods()

Description copied from interface: ScheduleInterface

Returns the array of periods.

Specified by:

getPeriods in interface ScheduleInterface

Returns:

The array of periods.

getDaycountconvention

public DayCountConventionInterface getDaycountconvention()

Description copied from interface: ScheduleInterface

Returns the daycount convention used to calculate period lengths.

Specified by:

getDaycountconvention in interface ScheduleInterface

Returns:

The daycount convention used to calculate period lengths.

getNumberOfPeriods

public int getNumberOfPeriods()

Description copied from interface: ScheduleInterface

Returns the number of periods.

Specified by:

getNumberOfPeriods in interface ScheduleInterface

Returns:

The number of periods.

getPeriod

public Period getPeriod(int periodIndex)

Description copied from interface: ScheduleInterface

Return the period for a given period index.

Specified by:

getPeriod in interface ScheduleInterface

Parameters:

periodIndex - A given period index.

Returns:

The period for the given period index.

getFixing

public double getFixing(int periodIndex)

Description copied from interface: ScheduleInterface

Return the fixing converted to the internal daycounting relative to the schedules reference date.

Specified by:

getFixing in interface ScheduleInterface

Parameters:

periodIndex - A given period index.

Returns:

The fixing converted to the internal daycounting relative to the schedules reference date.

getPayment

public double getPayment(int periodIndex)

Description copied from interface: ScheduleInterface

Return the payment date converted to the internal daycounting relative to the schedules reference date.

Specified by:

getPayment in interface ScheduleInterface

Parameters:

periodIndex - A given period index.

Returns:

The payment date converted to the internal daycounting relative to the schedules reference date.

getPeriodStart

public double getPeriodStart(int periodIndex)

Description copied from interface: ScheduleInterface

Return the period start date converted to the internal daycounting relative to the schedules reference date.

Specified by:

getPeriodStart in interface ScheduleInterface

Parameters:

periodIndex - A given period index.

Returns:

The period start date converted to the internal daycounting relative to the schedules reference date.

getPeriodEnd

public double getPeriodEnd(int periodIndex)

Description copied from interface: ScheduleInterface

Return the period end date converted to the internal daycounting relative to the schedules reference date.

Specified by:

getPeriodEnd in interface ScheduleInterface

Parameters:

periodIndex - A given period index.

Returns:

The period end date converted to the internal daycounting relative to the schedules reference date.

getPeriodLength

public double getPeriodLength(int periodIndex)

Description copied from interface: ScheduleInterface

Return the period length for a given period index.

Specified by:

getPeriodLength in interface ScheduleInterface

Parameters:

periodIndex - A given period index.

Returns:

The period length for a given period index.

toString

public String toString()

Overrides:

toString in class Object

iterator

public Iterator<Period> iterator()

Specified by:

iterator in interface Iterable<Period>