Module net.finmath.lib
Package net.finmath.time
Provides interfaces and classes for time discretizations, tenors and (swap) schedule generation.
The swap schedule generation used business day calendars from
net.finmath.time.businessdaycalendar
for date roll conventions.- Author:
- Christian Fries
-
Interface Summary Interface Description Schedule Interface of a schedule of interest rate periods with a fixing and payment.Tenor TimeDiscretization -
Class Summary Class Description FloatingpointDate This class provides the library wide conversion from a floating point number to a LocalDate.Period A period, i.e.RegularSchedule Simple schedule generated fromTimeDiscretizationScheduleFromPeriods A schedule of interest rate periods with a fixing and payment.ScheduleGenerator Generates a schedule based on some meta data (frequency, maturity, date roll convention, etc.).ScheduleMetaData Deprecated. SchedulePrototype Class to store any relevant information to generate schedules, which have different period structure but otherwise follow the same conventions.TenorFromArray Implements a time discretization based on dates using a reference date and an daycount convention / year fraction.TimeDiscretizationFromArray This class represents a set of discrete points in time. -
Enum Summary Enum Description ScheduleGenerator.DaycountConvention Possible day count conventions supported byScheduleGenerator.DaycountConvention.ScheduleGenerator.Frequency Possible frequencies supported byScheduleGenerator.ScheduleGenerator.ShortPeriodConvention Possible stub period conventions supported.TimeDiscretizationFromArray.ShortPeriodLocation