net.finmath.time

Class ScheduleGenerator

java.lang.Object

net.finmath.time.ScheduleGenerator

public class ScheduleGenerator
extends Object

Generates a schedule based on some meta data (frequency, maturity, date roll convention, etc.). A schedule is just a collection of Periods.

• The period length is specified via ScheduleGenerator.Frequency.
• The schedule generation considers short periods via the specification of ScheduleGenerator.DaycountConvention.
• The schedule may use an externally provided business day adjustment via an object implementing BusinessdayCalendarInterface
• You may specify fixing and payment adjustments.

Author:

Christian Fries

Date:

02.03.2014

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	ScheduleGenerator.DaycountConvention Possible day count conventions supported by ScheduleGenerator.DaycountConvention.
static class	ScheduleGenerator.Frequency Possible frequencies supported by ScheduleGenerator.
static class	ScheduleGenerator.ShortPeriodConvention Possible stub period conventions supported.

Method Summary

Modifier and Type	Method and Description
static ScheduleInterface	createScheduleFromConventions(Date referenceDate, Date startDate, Date maturityDate, String frequency, String daycountConvention, String shortPeriodConvention, String dateRollConvention, BusinessdayCalendarInterface businessdayCalendar, int fixingOffsetDays, int paymentOffsetDays) Schedule generation from meta data (method using Date instead of LocalDate for backward compatibility).
static ScheduleInterface	createScheduleFromConventions(org.joda.time.LocalDate referenceDate, int spotOffsetDays, String startOffset, String maturity, String frequency, String daycountConvention, String shortPeriodConvention, String dateRollConvention, BusinessdayCalendarInterface businessdayCalendar, int fixingOffsetDays, int paymentOffsetDays) Simple schedule generation.
static ScheduleInterface	createScheduleFromConventions(org.joda.time.LocalDate referenceDate, org.joda.time.LocalDate tradeDate, int spotOffsetDays, String startOffset, String maturity, String frequency, String daycountConvention, String shortPeriodConvention, String dateRollConvention, BusinessdayCalendarInterface businessdayCalendar, int fixingOffsetDays, int paymentOffsetDays) Simple schedule generation.
static ScheduleInterface	createScheduleFromConventions(org.joda.time.LocalDate referenceDate, org.joda.time.LocalDate startDate, org.joda.time.LocalDate maturity, ScheduleGenerator.Frequency frequency, ScheduleGenerator.DaycountConvention daycountConvention, ScheduleGenerator.ShortPeriodConvention shortPeriodConvention, BusinessdayCalendarInterface.DateRollConvention dateRollConvention, BusinessdayCalendarInterface businessdayCalendar, int fixingOffsetDays, int paymentOffsetDays) Schedule generation from meta data.
static ScheduleInterface	createScheduleFromConventions(org.joda.time.LocalDate referenceDate, org.joda.time.LocalDate startDate, org.joda.time.LocalDate maturityDate, String frequency, String daycountConvention, String shortPeriodConvention, String dateRollConvention, BusinessdayCalendarInterface businessdayCalendar, int fixingOffsetDays, int paymentOffsetDays) Schedule generation from meta data.
static ScheduleInterface	createScheduleFromConventions(org.joda.time.LocalDate referenceDate, org.joda.time.LocalDate startDate, String frequency, double maturity, String daycountConvention, String shortPeriodConvention) Generates a schedule based on some meta data.
static ScheduleInterface	createScheduleFromConventions(org.joda.time.LocalDate referenceDate, org.joda.time.LocalDate startDate, String frequency, double maturity, String daycountConvention, String shortPeriodConvention, String dateRollConvention, BusinessdayCalendarInterface businessdayCalendar, int fixingOffsetDays, int paymentOffsetDays) Generates a schedule based on some meta data.
static ScheduleInterface	createScheduleFromConventions(org.joda.time.LocalDate referenceDate, String startOffset, String maturity, String frequency, String daycountConvention, String shortPeriodConvention, String dateRollConvention, BusinessdayCalendarInterface businessdayCalendar, int fixingOffsetDays, int paymentOffsetDays) Simple schedule generation.

Methods inherited from class java.lang.Object

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

Method Detail

createScheduleFromConventions

public static ScheduleInterface createScheduleFromConventions(org.joda.time.LocalDate referenceDate,
                                                              org.joda.time.LocalDate startDate,
                                                              org.joda.time.LocalDate maturity,
                                                              ScheduleGenerator.Frequency frequency,
                                                              ScheduleGenerator.DaycountConvention daycountConvention,
                                                              ScheduleGenerator.ShortPeriodConvention shortPeriodConvention,
                                                              BusinessdayCalendarInterface.DateRollConvention dateRollConvention,
                                                              BusinessdayCalendarInterface businessdayCalendar,
                                                              int fixingOffsetDays,
                                                              int paymentOffsetDays)

Schedule generation from meta data. Generates a schedule based on some meta data.

• The schedule generation considers short stub periods at beginning or at the end.
• Date rolling is performed using the provided businessdayCalendar.

The reference date is used internally to represent all dates as doubles, i.e. t = 0 corresponds to the reference date.

Parameters:

referenceDate - The date which is used in the schedule to internally convert dates to doubles, i.e., the date where t=0.

startDate - The start date of the first period.

maturity - The end date of the first period.

frequency - The frequency.

daycountConvention - The daycount convention.

shortPeriodConvention - If short period exists, have it first or last.

dateRollConvention - Adjustment to be applied to the all dates.

businessdayCalendar - Businessday calendar (holiday calendar) to be used for date roll adjustment.

fixingOffsetDays - Number of days to be added to period start to get the fixing date.

paymentOffsetDays - Number of days to be added to period end to get the payment date.

Returns:

The corresponding schedule

createScheduleFromConventions

public static ScheduleInterface createScheduleFromConventions(org.joda.time.LocalDate referenceDate,
                                                              org.joda.time.LocalDate startDate,
                                                              org.joda.time.LocalDate maturityDate,
                                                              String frequency,
                                                              String daycountConvention,
                                                              String shortPeriodConvention,
                                                              String dateRollConvention,
                                                              BusinessdayCalendarInterface businessdayCalendar,
                                                              int fixingOffsetDays,
                                                              int paymentOffsetDays)

Schedule generation from meta data. Generates a schedule based on some meta data.

• The schedule generation considers short stub periods at beginning or at the end.
• Date rolling is performed using the provided businessdayCalendar.

The reference date is used internally to represent all dates as doubles.

Parameters:

referenceDate - The date which is used in the schedule to internally convert dates to doubles, i.e., the date where t=0.

startDate - The start date of the first period (this may/should be an unadjusted date).

maturityDate - The end date of the last period (this may/should be an unadjusted date).

frequency - The frequency.

daycountConvention - The daycount convention.

shortPeriodConvention - If short period exists, have it first or last.

dateRollConvention - Adjustment to be applied to the all dates.

businessdayCalendar - Businessday calendar (holiday calendar) to be used for date roll adjustment.

fixingOffsetDays - Number of days to be added to period start to get the fixing date.

paymentOffsetDays - Number of days to be added to period end to get the payment date.

Returns:

The corresponding schedule

createScheduleFromConventions

public static ScheduleInterface createScheduleFromConventions(Date referenceDate,
                                                              Date startDate,
                                                              Date maturityDate,
                                                              String frequency,
                                                              String daycountConvention,
                                                              String shortPeriodConvention,
                                                              String dateRollConvention,
                                                              BusinessdayCalendarInterface businessdayCalendar,
                                                              int fixingOffsetDays,
                                                              int paymentOffsetDays)

Schedule generation from meta data (method using Date instead of LocalDate for backward compatibility). Generates a schedule based on some meta data.

• The schedule generation considers short stub periods at beginning or at the end.
• Date rolling is performed using the provided businessdayCalendar.

The reference date is used internally to represent all dates as doubles.

Parameters:

referenceDate - The date which is used in the schedule to internally convert dates to doubles, i.e., the date where t=0.

startDate - The start date of the first period (this may/should be an unadjusted date).

maturityDate - The end date of the last period (this may/should be an unadjusted date).

frequency - The frequency.

daycountConvention - The daycount convention.

shortPeriodConvention - If short period exists, have it first or last.

dateRollConvention - Adjustment to be applied to the all dates.

businessdayCalendar - Businessday calendar (holiday calendar) to be used for date roll adjustment.

fixingOffsetDays - Number of days to be added to period start to get the fixing date.

paymentOffsetDays - Number of days to be added to period end to get the payment date.

Returns:

The corresponding schedule

createScheduleFromConventions

public static ScheduleInterface createScheduleFromConventions(org.joda.time.LocalDate referenceDate,
                                                              org.joda.time.LocalDate tradeDate,
                                                              int spotOffsetDays,
                                                              String startOffset,
                                                              String maturity,
                                                              String frequency,
                                                              String daycountConvention,
                                                              String shortPeriodConvention,
                                                              String dateRollConvention,
                                                              BusinessdayCalendarInterface businessdayCalendar,
                                                              int fixingOffsetDays,
                                                              int paymentOffsetDays)

Simple schedule generation. Generates a schedule based on some meta data. The schedule generation considers short periods. Date rolling is ignored.

Parameters:

referenceDate - The date which is used in the schedule to internally convert dates to doubles, i.e., the date where t=0.

tradeDate - Base date for the schedule generation (used to build spot date).

spotOffsetDays - Number of business days to be added to the trade date to obtain the spot date.

startOffset - The start date as an offset from the spotDate (build from tradeDate and spotOffsetDays) entered as a code like 1D, 1W, 1M, 2M, 3M, 1Y, etc.

maturity - The end date of the first period entered as a code like 1D, 1W, 1M, 2M, 3M, 1Y, etc.

frequency - The frequency.

daycountConvention - The day count convention.

shortPeriodConvention - If short period exists, have it first or last.

dateRollConvention - Adjustment to be applied to the all dates.

businessdayCalendar - Business day calendar (holiday calendar) to be used for date roll adjustment.

fixingOffsetDays - Number of business days to be added to period start to get the fixing date.

paymentOffsetDays - Number of business days to be added to period end to get the payment date.

Returns:

The corresponding schedule

createScheduleFromConventions

public static ScheduleInterface createScheduleFromConventions(org.joda.time.LocalDate referenceDate,
                                                              int spotOffsetDays,
                                                              String startOffset,
                                                              String maturity,
                                                              String frequency,
                                                              String daycountConvention,
                                                              String shortPeriodConvention,
                                                              String dateRollConvention,
                                                              BusinessdayCalendarInterface businessdayCalendar,
                                                              int fixingOffsetDays,
                                                              int paymentOffsetDays)

Simple schedule generation. Generates a schedule based on some meta data. The schedule generation considers short periods. Date rolling is ignored.

Parameters:

referenceDate - The date which is used in the schedule to internally convert dates to doubles, i.e., the date where t=0.

spotOffsetDays - Number of business days to be added to the reference date to obtain the spot date.

startOffset - The start date as an offset from the spotDate (build from referenceDate and spotOffsetDays) entered as a code like 1D, 1W, 1M, 2M, 3M, 1Y, etc.

maturity - The end date of the first period entered as a code like 1D, 1W, 1M, 2M, 3M, 1Y, etc.

frequency - The frequency.

daycountConvention - The day count convention.

shortPeriodConvention - If short period exists, have it first or last.

dateRollConvention - Adjustment to be applied to the all dates.

businessdayCalendar - Business day calendar (holiday calendar) to be used for date roll adjustment.

fixingOffsetDays - Number of business days to be added to period start to get the fixing date.

paymentOffsetDays - Number of business days to be added to period end to get the payment date.

Returns:

The corresponding schedule

createScheduleFromConventions

public static ScheduleInterface createScheduleFromConventions(org.joda.time.LocalDate referenceDate,
                                                              String startOffset,
                                                              String maturity,
                                                              String frequency,
                                                              String daycountConvention,
                                                              String shortPeriodConvention,
                                                              String dateRollConvention,
                                                              BusinessdayCalendarInterface businessdayCalendar,
                                                              int fixingOffsetDays,
                                                              int paymentOffsetDays)

Simple schedule generation. Generates a schedule based on some meta data. The schedule generation considers short periods. Date rolling is ignored.

Parameters:

referenceDate - The date which is used in the schedule to internally convert dates to doubles, i.e., the date where t=0.

startOffset - The start date as an offset from the referenceDate entered as a code like 1D, 1W, 1M, 2M, 3M, 1Y, etc.

maturity - The end date of the first period entered as a code like 1D, 1W, 1M, 2M, 3M, 1Y, etc.

frequency - The frequency.

daycountConvention - The day count convention.

shortPeriodConvention - If short period exists, have it first or last.

dateRollConvention - Adjustment to be applied to the all dates.

businessdayCalendar - Business day calendar (holiday calendar) to be used for date roll adjustment.

fixingOffsetDays - Number of business days to be added to period start to get the fixing date.

paymentOffsetDays - Number of business days to be added to period end to get the payment date.

Returns:

The corresponding schedule

createScheduleFromConventions

public static ScheduleInterface createScheduleFromConventions(org.joda.time.LocalDate referenceDate,
                                                              org.joda.time.LocalDate startDate,
                                                              String frequency,
                                                              double maturity,
                                                              String daycountConvention,
                                                              String shortPeriodConvention,
                                                              String dateRollConvention,
                                                              BusinessdayCalendarInterface businessdayCalendar,
                                                              int fixingOffsetDays,
                                                              int paymentOffsetDays)

Generates a schedule based on some meta data. The schedule generation considers short periods.

Parameters:

referenceDate - The date which is used in the schedule to internally convert dates to doubles, i.e., the date where t=0.

startDate - The start date of the first period.

frequency - The frequency.

maturity - The end date of the first period.

daycountConvention - The daycount convention.

shortPeriodConvention - If short period exists, have it first or last.

dateRollConvention - Adjustment to be applied to the all dates.

businessdayCalendar - Businessday calendar (holiday calendar) to be used for date roll adjustment.

fixingOffsetDays - Number of days to be added to period start to get the fixing date.

paymentOffsetDays - Number of days to be added to period end to get the payment date.

Returns:

The corresponding schedule

createScheduleFromConventions

public static ScheduleInterface createScheduleFromConventions(org.joda.time.LocalDate referenceDate,
                                                              org.joda.time.LocalDate startDate,
                                                              String frequency,
                                                              double maturity,
                                                              String daycountConvention,
                                                              String shortPeriodConvention)

Generates a schedule based on some meta data. The schedule generation considers short periods. Date rolling is ignored.

Parameters:

referenceDate - The date which is used in the schedule to internally convert dates to doubles, i.e., the date where t=0.

startDate - The start date of the first period.

frequency - The frequency.

maturity - The end date of the first period.

daycountConvention - The daycount convention.

shortPeriodConvention - If short period exists, have it first or last.

Returns:

The corresponding schedule