Module net.finmath.lib

Package net.finmath.time

Class TenorFromArray

java.lang.Object

net.finmath.time.TimeDiscretizationFromArray

net.finmath.time.TenorFromArray

All Implemented Interfaces:

Serializable, Iterable<Double>, Tenor, TimeDiscretization

public class TenorFromArray
extends TimeDiscretizationFromArray
implements Tenor

Implements a time discretization based on dates using a reference date and an daycount convention / year fraction. The time as a double is represented as the year fraction from the reference date.

Version:

1.0

Author:

Christian Fries

See Also:

• Serialized Form

Nested Class Summary

Nested classes/interfaces inherited from class net.finmath.time.TimeDiscretizationFromArray

TimeDiscretizationFromArray.ShortPeriodLocation

Constructor Summary

Constructors

Constructor	Description
TenorFromArray(double[] timeDiscretization)	Construct a tenor from a time discretization.
TenorFromArray(double initial, double last, double deltaT, TimeDiscretizationFromArray.ShortPeriodLocation shortPeriodLocation)	Construct a tenor from meta data.
TenorFromArray(double initial, int numberOfTimeSteps, double deltaT)	Construct a tenor from meta data.
TenorFromArray(Double[] timeDiscretization)	Construct a tenor from a time discretization.
TenorFromArray(LocalDate[] dates, LocalDate referenceDate)

Method Summary

Modifier and Type	Method	Description
LocalDate	getDate(int timeIndex)	Returns the date for the given time index.
double	getDaycountFraction(int timeIndex)	Returns the day count fraction for the period form timeIndex to to timeIndex+1.
LocalDate	getReferenceDate()
String	toString()

Methods inherited from class net.finmath.time.TimeDiscretizationFromArray

equals, filter, getAsArrayList, getAsDoubleArray, getNumberOfTimes, getNumberOfTimeSteps, getTickSize, getTime, getTimeIndex, getTimeIndexNearestGreaterOrEqual, getTimeIndexNearestLessOrEqual, getTimeShiftedTimeDiscretization, getTimeStep, hashCode, intersect, iterator, union

Methods inherited from class java.lang.Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface java.lang.Iterable

forEach, spliterator

Methods inherited from interface net.finmath.time.TimeDiscretization

doubleStream, getFirstTime, getLastTime

Constructor Details

TenorFromArray

public TenorFromArray(LocalDate[] dates,
 LocalDate referenceDate)

Parameters:

dates - A set of dates.

referenceDate - The reference date, which defines t=0 with respect to the internal double representation.

TenorFromArray

public TenorFromArray(double[] timeDiscretization)

Construct a tenor from a time discretization.

Parameters:

timeDiscretization - A time discretization.

TenorFromArray

public TenorFromArray(Double[] timeDiscretization)

Construct a tenor from a time discretization.

Parameters:

timeDiscretization - A time discretization.

TenorFromArray

public TenorFromArray(double initial,
 int numberOfTimeSteps,
 double deltaT)

Construct a tenor from meta data.

Parameters:

initial - First discretization point.

numberOfTimeSteps - Number of time steps.

deltaT - Time step size.

TenorFromArray

public TenorFromArray(double initial,
 double last,
 double deltaT,
 TimeDiscretizationFromArray.ShortPeriodLocation shortPeriodLocation)

Construct a tenor from meta data.

Parameters:

initial - First discretization point.

last - Last time steps.

deltaT - Time step size.

shortPeriodLocation - Placement of the stub period.

Method Details

getReferenceDate

public LocalDate getReferenceDate()

Specified by:

getReferenceDate in interface Tenor

Returns:

The reference date of this tenor, i.e., the date mapped to 0.0

getDate

public LocalDate getDate(int timeIndex)

Description copied from interface: Tenor

Returns the date for the given time index.

Specified by:

getDate in interface Tenor

Parameters:

timeIndex - Time index

Returns:

Returns the date for a given time index.

getDaycountFraction

public double getDaycountFraction(int timeIndex)

Description copied from interface: Tenor

Returns the day count fraction for the period form timeIndex to to timeIndex+1.

Specified by:

getDaycountFraction in interface Tenor

Parameters:

timeIndex - Time index

Returns:

Returns the day count fraction.

toString

public String toString()

Overrides:

toString in class TimeDiscretizationFromArray