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

      All Methods Instance Methods Abstract Methods 
      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.

    • Method Detail

      • 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 .