Provides interfaces and classes for time discretizations, tenors and (swap) schedule generation. The swap schedule generation used business day calendars from
net.finmath.time.businessdaycalendarfor date roll conventions.
- Christian Fries
Interface Summary Interface Description ScheduleInterface of a schedule of interest rate periods with a fixing and payment. Tenor TimeDiscretization
Class Summary Class Description FloatingpointDateThis class provides the library wide conversion from a floating point number to a LocalDate. PeriodA period, i.e. a time interval suitable for securities with regular payment schedules. RegularScheduleSimple schedule generated from
ScheduleFromPeriodsA schedule of interest rate periods with a fixing and payment. ScheduleGeneratorGenerates a schedule based on some meta data (frequency, maturity, date roll convention, etc.). ScheduleMetaData Deprecated. SchedulePrototypeClass to store any relevant information to generate schedules, which have different period structure but otherwise follow the same conventions. TenorFromArrayImplements a time discretization based on dates using a reference date and an daycount convention / year fraction. TimeDiscretizationFromArrayThis class represents a set of discrete points in time.
Enum Summary Enum Description ScheduleGenerator.DaycountConventionPossible day count conventions supported by
ScheduleGenerator.FrequencyPossible frequencies supported by
ScheduleGenerator.ShortPeriodConventionPossible stub period conventions supported. TimeDiscretizationFromArray.ShortPeriodLocation