net.finmath.time

Class ScheduleMetaData

java.lang.Object

net.finmath.time.ScheduleMetaData

All Implemented Interfaces:

Serializable

public class ScheduleMetaData
extends Object
implements Serializable

Class to store any relevant information to generate schedules, which have different period structure but otherwise follow the same conventions.

Author:

Christian Fries, Roland Bachl

See Also:

Serialized Form

Field Summary

Fields

Modifier and Type	Field and Description
BusinessdayCalendarInterface	businessdayCalendar
BusinessdayCalendarInterface.DateRollConvention	dateRollConvention
ScheduleGenerator.DaycountConvention	daycountConvention
int	fixingOffsetDays
ScheduleGenerator.Frequency	frequency
boolean	isUseEndOfMonth
int	paymentOffsetDays
LocalDate	referenceDate
ScheduleGenerator.ShortPeriodConvention	shortPeriodConvention

Constructor Summary

Constructors

Constructor and Description

ScheduleMetaData(LocalDate referenceDate, ScheduleGenerator.Frequency frequency, ScheduleGenerator.DaycountConvention daycountConvention, ScheduleGenerator.ShortPeriodConvention shortPeriodConvention, BusinessdayCalendarInterface.DateRollConvention dateRollConvention, BusinessdayCalendarInterface businessdayCalendar, int fixingOffsetDays, int paymentOffsetDays, boolean isUseEndOfMonth) Construct the ScheduleMetaData.

Method Summary

Modifier and Type	Method and Description
ScheduleInterface	generateSchedule(int maturity, int termination) Generate a schedule with start / end date determined by an offset in months from the reference date.
ScheduleInterface	generateSchedule(int maturity, int termination, net.finmath.time.ScheduleMetaData.OffsetUnit unit) Generate a schedule with start / end date determined by an offset from the reference date.
ScheduleInterface	generateSchedule(LocalDate startDate, LocalDate endDate) Generate a schedule for the given start and end date.
ScheduleInterface	generateScheduleWithFrequency(int maturity, int termination, ScheduleGenerator.Frequency frequency) Generate a schedule with a given frequency and start / end date determined by an offset in months from the reference date.
ScheduleInterface	generateScheduleWithFrequency(int maturity, int termination, net.finmath.time.ScheduleMetaData.OffsetUnit unit, ScheduleGenerator.Frequency frequency) Generate a schedule with a given frequency and start / end date determined by an offset from the reference date.
ScheduleInterface	generateScheduleWithFrequency(LocalDate startDate, LocalDate endDate, ScheduleGenerator.Frequency frequency) Generate a schedule for the given start / end date and frequency.
ScheduleInterface	generateSinglePeriod(LocalDate startDate, LocalDate endDate) Generate a schedule for the given start and end date.
static String	getOffsetCodeFromCurveName(String curveName) Determines the offset code of a forward contract from the name of a forward curve.
static String	getOffsetCodeFromSchedule(ScheduleInterface schedule) Determines the offset code of a forward contract from a schedule.

Methods inherited from class java.lang.Object

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

Field Detail

referenceDate

public final LocalDate referenceDate

frequency

public final ScheduleGenerator.Frequency frequency

daycountConvention

public final ScheduleGenerator.DaycountConvention daycountConvention

shortPeriodConvention

public final ScheduleGenerator.ShortPeriodConvention shortPeriodConvention

dateRollConvention

public final BusinessdayCalendarInterface.DateRollConvention dateRollConvention

businessdayCalendar

public final BusinessdayCalendarInterface businessdayCalendar

fixingOffsetDays

public final int fixingOffsetDays

paymentOffsetDays

public final int paymentOffsetDays

isUseEndOfMonth

public final boolean isUseEndOfMonth

Constructor Detail

ScheduleMetaData

public ScheduleMetaData(LocalDate referenceDate,
                        ScheduleGenerator.Frequency frequency,
                        ScheduleGenerator.DaycountConvention daycountConvention,
                        ScheduleGenerator.ShortPeriodConvention shortPeriodConvention,
                        BusinessdayCalendarInterface.DateRollConvention dateRollConvention,
                        BusinessdayCalendarInterface businessdayCalendar,
                        int fixingOffsetDays,
                        int paymentOffsetDays,
                        boolean isUseEndOfMonth)

Construct the ScheduleMetaData.

Parameters:

referenceDate -

frequency - The default frequency.

daycountConvention -

shortPeriodConvention -

dateRollConvention -

businessdayCalendar -

fixingOffsetDays -

paymentOffsetDays -

isUseEndOfMonth -

Method Detail

getOffsetCodeFromSchedule

public static String getOffsetCodeFromSchedule(ScheduleInterface schedule)

Determines the offset code of a forward contract from a schedule. Rounds the average period length to full months.

Parameters:

schedule -

Returns:

The offset code as String

getOffsetCodeFromCurveName

public static String getOffsetCodeFromCurveName(String curveName)

Determines the offset code of a forward contract from the name of a forward curve. This method will extract a group of one or more digits together with the first letter behind them, if any. If there are multiple groups of digits in the name, this method will extract the last. If there is no number in the string, this method will return null.

Parameters:

curveName -

Returns:

The offset code as String

generateSchedule

public ScheduleInterface generateSchedule(LocalDate startDate,
                                          LocalDate endDate)

Generate a schedule for the given start and end date.

Parameters:

startDate -

endDate -

Returns:

The schedule

generateSinglePeriod

public ScheduleInterface generateSinglePeriod(LocalDate startDate,
                                              LocalDate endDate)

Generate a schedule for the given start and end date. The schedule will consist only of a single period.

Parameters:

startDate -

endDate -

Returns:

The schedule

generateScheduleWithFrequency

public ScheduleInterface generateScheduleWithFrequency(LocalDate startDate,
                                                       LocalDate endDate,
                                                       ScheduleGenerator.Frequency frequency)

Generate a schedule for the given start / end date and frequency.

Parameters:

startDate -

endDate -

frequency -

Returns:

The schedule

generateSchedule

public ScheduleInterface generateSchedule(int maturity,
                                          int termination)

Generate a schedule with start / end date determined by an offset in months from the reference date.

Parameters:

maturity - Offset of the start date to the reference date in months

termination - Offset of the end date to the reference date in months

Returns:

The schedule

generateSchedule

public ScheduleInterface generateSchedule(int maturity,
                                          int termination,
                                          net.finmath.time.ScheduleMetaData.OffsetUnit unit)

Generate a schedule with start / end date determined by an offset from the reference date.

Parameters:

maturity - Offset of the start date to the reference date

termination - Offset of the end date to the reference date

unit - The convention to use for the offset

Returns:

The schedule

generateScheduleWithFrequency

public ScheduleInterface generateScheduleWithFrequency(int maturity,
                                                       int termination,
                                                       ScheduleGenerator.Frequency frequency)

Generate a schedule with a given frequency and start / end date determined by an offset in months from the reference date.

Parameters:

maturity - Offset of the start date to the reference date in months

termination - Offset of the end date to the reference date in months

frequency - The frequency of the schedule

Returns:

The schedule

generateScheduleWithFrequency

public ScheduleInterface generateScheduleWithFrequency(int maturity,
                                                       int termination,
                                                       net.finmath.time.ScheduleMetaData.OffsetUnit unit,
                                                       ScheduleGenerator.Frequency frequency)

Generate a schedule with a given frequency and start / end date determined by an offset from the reference date.

Parameters:

maturity - Offset of the start date to the reference date in months

termination - Offset of the end date to the reference date in months

unit - The convention to use for the offset

frequency - The frequency of the schedule

Returns:

The schedule