net.finmath.time

Class FloatingpointDate

java.lang.Object

net.finmath.time.FloatingpointDate

public class FloatingpointDate
extends Object

This class provides the library wide conversion from a floating point number to a LocalDate. While in practical applications a date or time should always be represented with a proper date class, e.g. LocalDate. In financial applications the measurement of time distances has to be based on a solid definition, e.g., daycount conventions to calculate daycount fractions. However, many mathematical models described in text books rely on time being model as some real value \( t \). To allow for both approaches to co-exists this class fixes the interpretation of a floating point number representing time, unless otherwise specified. So it still possible that models use their own "conversion". Examples where the specification of this contract is important: - the way of measuring time in an NSS curve determines the interpretation of the NSS parameters. - in the textbook Black-Scholes models, multiplying volatility by W(t), changing from an ACT/365 to ACT/360 would represent a re-scaling of the volatilities.

Author:

Christian Fries

Constructor Summary

Constructors

Constructor and Description
FloatingpointDate()

Method Summary

Modifier and Type	Method and Description
static LocalDate	getDateFromFloatingPointDate(LocalDate referenceDate, double floatingPointDate) Convert a floating point date to a LocalDate.
static double	getFloatingPointDateFromDate(LocalDate referenceDate, LocalDate date) Convert a given date to a floating point date using a given reference date.

Methods inherited from class java.lang.Object

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

Constructor Detail

FloatingpointDate

public FloatingpointDate()

Method Detail

getDateFromFloatingPointDate

public static LocalDate getDateFromFloatingPointDate(LocalDate referenceDate,
                                                     double floatingPointDate)

Convert a floating point date to a LocalDate. Note: This method currently performs a rounding to the next day. In a future extension intra-day time offsets may be considered. If referenceDate is null, the method returns null.

Parameters:

referenceDate - The reference date associated with \( t=0 \).

floatingPointDate - The value to the time offset \( t \).

Returns:

The date resulting from adding Math.round(fixingTime*365.0) days to referenceDate.

getFloatingPointDateFromDate

public static double getFloatingPointDateFromDate(LocalDate referenceDate,
                                                  LocalDate date)

Convert a given date to a floating point date using a given reference date.

Parameters:

referenceDate - The reference date associated with \( t=0 \).

date - The given daten to be associated with the return value \( T \).

Returns:

The value T measuring the distance of reference date and date by ACT/365.