Module net.finmath.lib
Package net.finmath.time

Interface Schedule

All Superinterfaces:
Iterable<Period>
All Known Implementing Classes:
RegularSchedule, ScheduleFromPeriods
public interface Schedule
extends Iterable<Period>
Interface of 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.
Version:
1.0
Author:
Christian Fries

  • Method Summary

    Modifier and Type Method Description
    DayCountConvention 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.
    int getPeriodIndex​(double time)
    Return the index of the period which contains the given time point.
    int getPeriodIndex​(LocalDate date)
    Return the index of the period which contains the given 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.

    Methods inherited from interface java.lang.Iterable

    forEach, iterator, spliterator

  • Method Details

    • getReferenceDate

      LocalDate getReferenceDate()
      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.
      Returns:
      The reference data of this schedule corresponding to t=0.

    • getPeriods

      List<Period> getPeriods()
      Returns the array of periods.
      Returns:
      The array of periods.

    • getDaycountconvention

      DayCountConvention getDaycountconvention()
      Returns the daycount convention used to calculate period lengths.
      Returns:
      The daycount convention used to calculate period lengths.

    • getNumberOfPeriods

      int getNumberOfPeriods()
      Returns the number of periods.
      Returns:
      The number of periods.

    • getPeriod

      Period getPeriod​(int periodIndex)
      Return the period for a given period index.
      Parameters:
      periodIndex - A given period index.
      Returns:
      The period for the given period index.

    • getFixing

      double getFixing​(int periodIndex)
      Return the fixing converted to the internal daycounting relative to the schedules reference date.
      Parameters:
      periodIndex - A given period index.
      Returns:
      The fixing converted to the internal daycounting relative to the schedules reference date.

    • getPayment

      double getPayment​(int periodIndex)
      Return the payment date converted to the internal daycounting relative to the schedules reference date.
      Parameters:
      periodIndex - A given period index.
      Returns:
      The payment date converted to the internal daycounting relative to the schedules reference date.

    • getPeriodStart

      double getPeriodStart​(int periodIndex)
      Return the period start date converted to the internal daycounting relative to the schedules reference date.
      Parameters:
      periodIndex - A given period index.
      Returns:
      The period start date converted to the internal daycounting relative to the schedules reference date.

    • getPeriodEnd

      double getPeriodEnd​(int periodIndex)
      Return the period end date converted to the internal daycounting relative to the schedules reference date.
      Parameters:
      periodIndex - A given period index.
      Returns:
      The period end date converted to the internal daycounting relative to the schedules reference date.

    • getPeriodLength

      double getPeriodLength​(int periodIndex)
      Return the period length for a given period index.
      Parameters:
      periodIndex - A given period index.
      Returns:
      The period length for a given period index.

    • getPeriodIndex

      int getPeriodIndex​(double time)
      Return the index of the period which contains the given time point.
      Parameters:
      time - A given time.
      Returns:
      The period index of the .

    • getPeriodIndex

      int getPeriodIndex​(LocalDate date)
      Return the index of the period which contains the given date.
      Parameters:
      date - A given date.
      Returns:
      The period index of the .