Module net.finmath.lib

Package net.finmath.time.businessdaycalendar

Class AbstractBusinessdayCalendar

java.lang.Object

net.finmath.time.businessdaycalendar.AbstractBusinessdayCalendar

All Implemented Interfaces:

Serializable, BusinessdayCalendar

Direct Known Subclasses:

BusinessdayCalendarAny, BusinessdayCalendarExcludingGivenHolidays, BusinessdayCalendarExcludingTARGETHolidays, BusinessdayCalendarExcludingWeekends

public abstract class AbstractBusinessdayCalendar
extends Object
implements BusinessdayCalendar

Base class for all business day calendars. Implements date rolling and date adjustment. For the supported date roll conventions see BusinessdayCalendar.DateRollConvention.

Version:

1.0

Author:

Christian Fries

See Also:

Serialized Form

Nested Class Summary

Nested classes/interfaces inherited from interface net.finmath.time.businessdaycalendar.BusinessdayCalendar

BusinessdayCalendar.DateOffsetUnit, BusinessdayCalendar.DateRollConvention

Constructor Summary

Constructors

Constructor	Description
AbstractBusinessdayCalendar()

Method Summary

Modifier and Type	Method	Description
double[]	convertOffsetCodesToTimes(String[] dateOffsetCodes)
LocalDate[]	createDateFromDateAndOffsetCodes(LocalDate baseDate, String[] dateOffsetCodes)
LocalDate	getAdjustedDate(LocalDate baseDate, String dateOffsetCode, BusinessdayCalendar.DateRollConvention dateRollConvention)	Get an adjusted date for a given date and offset code.
LocalDate	getAdjustedDate(LocalDate date, BusinessdayCalendar.DateRollConvention dateRollConvention)	Get an adjusted date for a given date.
LocalDate	getDateFromDateAndOffsetCode(LocalDate baseDate, String dateOffsetCode)	Create a new date by "adding" a year fraction to a given base date.
LocalDate	getRolledDate(LocalDate baseDate, int businessDays)	Find a new date by adding the given number of business days to a given base date.
String	toString()

Methods inherited from class java.lang.Object

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

Methods inherited from interface net.finmath.time.businessdaycalendar.BusinessdayCalendar

isBusinessday

Constructor Detail

AbstractBusinessdayCalendar

public AbstractBusinessdayCalendar()

Method Detail

getAdjustedDate

public LocalDate getAdjustedDate(LocalDate date,
                                 BusinessdayCalendar.DateRollConvention dateRollConvention)

Description copied from interface: BusinessdayCalendar

Get an adjusted date for a given date.

Specified by:

getAdjustedDate in interface BusinessdayCalendar

Parameters:

date - Given date to be adjusted.

dateRollConvention - The date roll convention to be used for the adjustment.

Returns:

The adjusted date applying dateRollConvention to the given date.

getRolledDate

public LocalDate getRolledDate(LocalDate baseDate,
                               int businessDays)

Description copied from interface: BusinessdayCalendar

Find a new date by adding the given number of business days to a given base date. If baseDate is not a business date and businessDays is zero, the method returns the next business day.

Specified by:

getRolledDate in interface BusinessdayCalendar

Parameters:

baseDate - The starting date.

businessDays - The number of business days from the starting date (negative values are allowed).

Returns:

A date of a business day such that the number of business days between this one (including) and the start date (excluding) is businessDays.

getAdjustedDate

public LocalDate getAdjustedDate(LocalDate baseDate,
                                 String dateOffsetCode,
                                 BusinessdayCalendar.DateRollConvention dateRollConvention)

Description copied from interface: BusinessdayCalendar

Get an adjusted date for a given date and offset code. First we create a new date by "adding" an offset to the base date. The offset may be given by codes like 1D, 2D, 1W, 2W, 1M, 2M, 3M, 1Y, 2Y, etc., where the letters denote the units as follows: D denotes days, W denotes weeks, M denotes month Y denotes years. Next the result is adjusted according to the given dateRollConvention.

Specified by:

getAdjustedDate in interface BusinessdayCalendar

Parameters:

baseDate - The start date.

dateOffsetCode - String containing date offset codes (like 2D, 1W, 3M, etc.) or combination of them separated by spaces.

dateRollConvention - The date roll convention to be used for the adjustment.

Returns:

The adjusted date applying dateRollConvention to the given date.

getDateFromDateAndOffsetCode

public LocalDate getDateFromDateAndOffsetCode(LocalDate baseDate,
                                              String dateOffsetCode)

Description copied from interface: BusinessdayCalendar

Create a new date by "adding" a year fraction to a given base date.

The date offset may be given by codes like 1D, 2D, 1W, 2W, 1M, 2M, 3M, 1Y, 2Y, etc., where the letters denote the units of the corresponding offset. If the date offset does not carry a letter code at the end, it will be interpreted as ACT/365 year fraction.

Date offsets can be given as (mapping to the corresponding DateOffsetUnit):

days

"D", "DAYS"

business days

"B", "BD", "BUSINESS_DAYS"

weeks

"W", "WEEKS"

months

"M", "MONTHS"

years

"Y", "YEARS"

The function may be used to ease the creation of maturities in spreadsheets.

Specified by:

getDateFromDateAndOffsetCode in interface BusinessdayCalendar

Parameters:

baseDate - The start date.

dateOffsetCode - String containing date offset codes (like 2D, 1W, 3M, etc.) or combination of them separated by spaces.

Returns:

A date corresponding the date adding the offset to the start date.

createDateFromDateAndOffsetCodes

public LocalDate[] createDateFromDateAndOffsetCodes(LocalDate baseDate,
                                                    String[] dateOffsetCodes)

convertOffsetCodesToTimes

public double[] convertOffsetCodesToTimes(String[] dateOffsetCodes)

toString

public String toString()

Overrides:

toString in class Object