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:

  • Constructor Details

    • AbstractBusinessdayCalendar

      public AbstractBusinessdayCalendar()

  • Method Details

    • 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