Module net.finmath.lib

Package net.finmath.time

Class ScheduleFromPeriods

java.lang.Object

net.finmath.time.ScheduleFromPeriods

All Implemented Interfaces:

Serializable, Iterable<Period>, Schedule

public class ScheduleFromPeriods
extends Object
implements Schedule, Serializable

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

See Also:

• Serialized Form

Constructor Summary

Constructors

Constructor	Description
ScheduleFromPeriods(LocalDate referenceDate, List<Period> periods, DayCountConvention daycountconvention)
ScheduleFromPeriods(LocalDate referenceDate, DayCountConvention daycountconvention, Period... periods)

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.
Iterator<Period>	iterator()
String	toString()

Methods inherited from class java.lang.Object

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

Methods inherited from interface java.lang.Iterable

forEach, spliterator

Constructor Details

ScheduleFromPeriods

public ScheduleFromPeriods(LocalDate referenceDate,
 DayCountConvention daycountconvention,
 Period... periods)

ScheduleFromPeriods

public ScheduleFromPeriods(LocalDate referenceDate,
 List<Period> periods,
 DayCountConvention daycountconvention)

Method Details

getReferenceDate

public LocalDate getReferenceDate()

Description copied from interface: Schedule

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.

Specified by:

getReferenceDate in interface Schedule

Returns:

The reference data of this schedule corresponding to t=0.

getPeriods

public List<Period> getPeriods()

Description copied from interface: Schedule

Returns the array of periods.

Specified by:

getPeriods in interface Schedule

Returns:

The array of periods.

getDaycountconvention

public DayCountConvention getDaycountconvention()

Description copied from interface: Schedule

Returns the daycount convention used to calculate period lengths.

Specified by:

getDaycountconvention in interface Schedule

Returns:

The daycount convention used to calculate period lengths.

getNumberOfPeriods

public int getNumberOfPeriods()

Description copied from interface: Schedule

Returns the number of periods.

Specified by:

getNumberOfPeriods in interface Schedule

Returns:

The number of periods.

getPeriod

public Period getPeriod(int periodIndex)

Description copied from interface: Schedule

Return the period for a given period index.

Specified by:

getPeriod in interface Schedule

Parameters:

periodIndex - A given period index.

Returns:

The period for the given period index.

getFixing

public double getFixing(int periodIndex)

Description copied from interface: Schedule

Return the fixing converted to the internal daycounting relative to the schedules reference date.

Specified by:

getFixing in interface Schedule

Parameters:

periodIndex - A given period index.

Returns:

The fixing converted to the internal daycounting relative to the schedules reference date.

getPayment

public double getPayment(int periodIndex)

Description copied from interface: Schedule

Return the payment date converted to the internal daycounting relative to the schedules reference date.

Specified by:

getPayment in interface Schedule

Parameters:

periodIndex - A given period index.

Returns:

The payment date converted to the internal daycounting relative to the schedules reference date.

getPeriodStart

public double getPeriodStart(int periodIndex)

Description copied from interface: Schedule

Return the period start date converted to the internal daycounting relative to the schedules reference date.

Specified by:

getPeriodStart in interface Schedule

Parameters:

periodIndex - A given period index.

Returns:

The period start date converted to the internal daycounting relative to the schedules reference date.

getPeriodEnd

public double getPeriodEnd(int periodIndex)

Description copied from interface: Schedule

Return the period end date converted to the internal daycounting relative to the schedules reference date.

Specified by:

getPeriodEnd in interface Schedule

Parameters:

periodIndex - A given period index.

Returns:

The period end date converted to the internal daycounting relative to the schedules reference date.

getPeriodLength

public double getPeriodLength(int periodIndex)

Description copied from interface: Schedule

Return the period length for a given period index.

Specified by:

getPeriodLength in interface Schedule

Parameters:

periodIndex - A given period index.

Returns:

The period length for a given period index.

iterator

public Iterator<Period> iterator()

Specified by:

iterator in interface Iterable<Period>

getPeriodIndex

public int getPeriodIndex(double time)

Description copied from interface: Schedule

Return the index of the period which contains the given time point.

Specified by:

getPeriodIndex in interface Schedule

Parameters:

time - A given time.

Returns:

The period index of the .

getPeriodIndex

public int getPeriodIndex(LocalDate date)

Description copied from interface: Schedule

Return the index of the period which contains the given date.

Specified by:

getPeriodIndex in interface Schedule

Parameters:

date - A given date.

Returns:

The period index of the .

toString

public String toString()

Overrides:

toString in class Object