Package net.finmath.time

Provides interfaces and classes for time discretizations, tenors and (swap) schedule generation.

See: Description

Interface Summary

Interface	Description
ScheduleInterface	Interface of a schedule of interest rate periods with a fixing and payment.
TenorInterface
TimeDiscretizationInterface

Class Summary

Class	Description
Period	A period, i.e. a time interval suitable for securities with regular payment schedules.
RegularSchedule	Simple schedule generated from TimeDiscretizationInterface
Schedule	A schedule of interest rate periods with a fixing and payment.
ScheduleGenerator	Generates a schedule based on some meta data (frequency, maturity, date roll convention, etc.).
Tenor	Implements a time discretization based on dates using a reference date and an daycount convention / year fraction.
TimeDiscretization	This class represents a set of discrete points in time.

Enum Summary

Enum	Description
ScheduleGenerator.DaycountConvention	Possible day count conventions supported by ScheduleGenerator.DaycountConvention.
ScheduleGenerator.Frequency	Possible frequencies supported by ScheduleGenerator.
ScheduleGenerator.ShortPeriodConvention	Possible stub period conventions supported.
TimeDiscretization.ShortPeriodLocation

Package net.finmath.time Description

Provides interfaces and classes for time discretizations, tenors and (swap) schedule generation. The swap schedule generation used business day calendars from net.finmath.time.businessdaycalendar for date roll conventions.