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

Class 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 or LocalDateTime. 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 modeled 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. The specification of this internal time representation is to some extend just a convention which defines the unit of internal model parameters. A constant volatility measured against a floating point time ACT/365 corresponds 1:1: to a constant volatility measure again a floating point time ACT/360 with a conversion factor of 360/365. However, the situation is not always trivial, since a constant volatility measured against a floating point time ACT/365 would correspond to a weakly time-dependent volatility volatility measured against ACT/ACT. Such nuances represent differences in the model, a model calibration will ensure that the parameters are choosen such that the model matches observed quantities independent from the convention used to express internal model parameters.
    Version:
    1.1
    Author:
    Christian Fries

    • Method Detail

      • getDateFromFloatingPointDate

        public static LocalDateTime getDateFromFloatingPointDate​(LocalDateTime referenceDate,
                                                         double floatingPointDate)
        Convert a floating point date to a LocalDateTime. Note: This method currently performs a rounding to the next second. 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*SECONDS_PER_DAY) seconds to referenceDate, where one day has SECONDS_PER_DAY seconds and SECONDS_PER_DAY is a constant 365*24*60*60

      • getFloatingPointDateFromDate

        public static double getFloatingPointDateFromDate​(LocalDateTime referenceDate,
                                                  LocalDateTime 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 date to be associated with the return value \( T \).
        Returns:
        The value T measuring the distance of reference date and date by ACT/365 with SECONDS_PER_DAY seconds used as the smallest time unit and SECONDS_PER_DAY is a constant 365*24*60*60.

      • 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.