Uses of Enum
net.finmath.time.businessdaycalendar.BusinessdayCalendar.DateRollConvention
Package
Description
Provides interface specification and implementation of curves, e.g., interest rate
curves like discount curves and forward curves.
Provides interface specification and implementation of curves, e.g., interest rate
curves like discount curves and forward curves.
Provides interface separating implementation from specification (of models and products)
Provides a set of indices which can be used as part of a period.
Provides interfaces and classes for time discretizations, tenors and (swap) schedule generation.
Provides business day calendars, e.g., as used in date roll conventions.
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Uses of BusinessdayCalendar.DateRollConvention in net.finmath.marketdata.model.curves
Modifier and TypeMethodDescriptionstatic ForwardCurveInterpolation
ForwardCurveInterpolation.createForwardCurveFromForwards
(String name, LocalDate referenceDate, String paymentOffsetCode, BusinessdayCalendar paymentBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentDateRollConvention, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity, ForwardCurveInterpolation.InterpolationEntityForward interpolationEntityForward, String discountCurveName, AnalyticModel model, double[] times, double[] givenForwards) Create a forward curve from given times and given forwards.static ForwardCurveInterpolation
ForwardCurveInterpolation.createForwardCurveFromForwards
(String name, Date referenceDate, String paymentOffsetCode, BusinessdayCalendar paymentBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentDateRollConvention, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity, ForwardCurveInterpolation.InterpolationEntityForward interpolationEntityForward, String discountCurveName, AnalyticModel model, double[] times, double[] givenForwards) Create a forward curve from given times and given forwards.ModifierConstructorDescriptionAbstractForwardCurve
(String name, LocalDate referenceDate, String paymentOffsetCode, BusinessdayCalendar paymentBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentDateRollConvention, String discountCurveName) Construct a base forward curve with a reference date and a payment offset.AbstractForwardCurve
(String name, LocalDate referenceDate, String paymentOffsetCode, BusinessdayCalendar paymentBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentDateRollConvention, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity, String discountCurveName) Construct a base forward curve with a reference date and a payment offset.ForwardCurveFromDiscountCurve
(String name, String referenceDiscountCurveName, String discountCurveName, LocalDate referenceDate, String paymentOffsetCode, BusinessdayCalendar paymentOffsetBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentOffsetDateRollConvention, double daycountScaling, double periodOffset) Create a forward curve using a given referenceDiscountCurveForForwards.ForwardCurveFromDiscountCurve
(String name, String referenceDiscountCurveName, String discountCurveName, LocalDate referenceDate, String paymentOffsetCode, BusinessdayCalendar paymentOffsetBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentOffsetDateRollConvention, DayCountConvention daycountConvention, double periodOffset) Create a forward curve using a given referenceDiscountCurveForForwards.ForwardCurveFromDiscountCurve
(String name, String referenceDiscountCurveName, LocalDate referenceDate, String paymentOffsetCode, BusinessdayCalendar paymentOffsetBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentOffsetDateRollConvention) Create a forward curve using a given referenceDiscountCurveForForwards.ForwardCurveFromDiscountCurve
(String name, String referenceDiscountCurveName, LocalDate referenceDate, String paymentOffsetCode, BusinessdayCalendar paymentOffsetBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentOffsetDateRollConvention, double daycountScaling, double periodOffset) Create a forward curve using a given referenceDiscountCurveForForwards.ForwardCurveInterpolation
(String name, LocalDate referenceDate, String paymentOffsetCode, BusinessdayCalendar paymentBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentDateRollConvention, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity, ForwardCurveInterpolation.InterpolationEntityForward interpolationEntityForward, String discountCurveName) Generate a forward curve using a given discount curve and payment offset.ForwardCurveNelsonSiegelSvensson
(String name, LocalDate referenceDate, String paymentOffsetCode, BusinessdayCalendar paymentBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentDateRollConvention, DayCountConvention daycountConvention, double[] parameter, double timeScaling) ForwardCurveNelsonSiegelSvensson
(String name, LocalDate referenceDate, String paymentOffsetCode, BusinessdayCalendar paymentBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentDateRollConvention, DayCountConvention daycountConvention, double[] parameter, double timeScaling, double periodOffset) -
Uses of BusinessdayCalendar.DateRollConvention in net.finmath.marketdata2.model.curves
Modifier and TypeMethodDescriptionprotected BusinessdayCalendar.DateRollConvention
AbstractForwardCurve.getPaymentDateRollConvention()
Modifier and TypeMethodDescriptionstatic ForwardCurveInterpolation
ForwardCurveInterpolation.createForwardCurveFromForwards
(String name, LocalDate referenceDate, String paymentOffsetCode, BusinessdayCalendar paymentBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentDateRollConvention, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity, ForwardCurveInterpolation.InterpolationEntityForward interpolationEntityForward, String discountCurveName, AnalyticModel model, double[] times, RandomVariable[] givenForwards) Create a forward curve from given times and given forwards.static ForwardCurveInterpolation
ForwardCurveInterpolation.createForwardCurveFromForwards
(String name, Date referenceDate, String paymentOffsetCode, BusinessdayCalendar paymentBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentDateRollConvention, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity, ForwardCurveInterpolation.InterpolationEntityForward interpolationEntityForward, String discountCurveName, AnalyticModel model, double[] times, RandomVariable[] givenForwards) Create a forward curve from given times and given forwards.ModifierConstructorDescriptionAbstractForwardCurve
(String name, LocalDate referenceDate, String paymentOffsetCode, BusinessdayCalendar paymentBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentDateRollConvention, String discountCurveName) Construct a base forward curve with a reference date and a payment offset.AbstractForwardCurve
(String name, LocalDate referenceDate, String paymentOffsetCode, BusinessdayCalendar paymentBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentDateRollConvention, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity, String discountCurveName) Construct a base forward curve with a reference date and a payment offset.ForwardCurveFromDiscountCurve
(String name, String referenceDiscountCurveName, String discountCurveName, LocalDate referenceDate, String paymentOffsetCode, BusinessdayCalendar paymentOffsetBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentOffsetDateRollConvention, double daycountScaling, double periodOffset) Create a forward curve using a given referenceDiscountCurveForForwards.ForwardCurveFromDiscountCurve
(String name, String referenceDiscountCurveName, LocalDate referenceDate, String paymentOffsetCode, BusinessdayCalendar paymentOffsetBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentOffsetDateRollConvention) Create a forward curve using a given referenceDiscountCurveForForwards.ForwardCurveFromDiscountCurve
(String name, String referenceDiscountCurveName, LocalDate referenceDate, String paymentOffsetCode, BusinessdayCalendar paymentOffsetBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentOffsetDateRollConvention, double daycountScaling, double periodOffset) Create a forward curve using a given referenceDiscountCurveForForwards.ForwardCurveInterpolation
(String name, LocalDate referenceDate, String paymentOffsetCode, BusinessdayCalendar paymentBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentDateRollConvention, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity, ForwardCurveInterpolation.InterpolationEntityForward interpolationEntityForward, String discountCurveName) Generate a forward curve using a given discount curve and payment offset. -
Uses of BusinessdayCalendar.DateRollConvention in net.finmath.modelling.descriptor
ModifierConstructorDescriptionScheduleDescriptor
(LocalDate startDate, LocalDate maturityDate, ScheduleGenerator.Frequency frequency, ScheduleGenerator.DaycountConvention daycountConvention, ScheduleGenerator.ShortPeriodConvention shortPeriodConvention, BusinessdayCalendar.DateRollConvention dateRollConvention, AbstractBusinessdayCalendar abstractBusinessdayCalendar, int fixingOffsetDays, int paymentOffsetDays) Construct a schedule descriptor via a set of parameters for a factory.ScheduleDescriptor
(LocalDate startDate, LocalDate maturityDate, ScheduleGenerator.Frequency frequency, ScheduleGenerator.DaycountConvention daycountConvention, ScheduleGenerator.ShortPeriodConvention shortPeriodConvention, BusinessdayCalendar.DateRollConvention dateRollConvention, BusinessdayCalendar businessdayCalendar, int fixingOffsetDays, int paymentOffsetDays, boolean isUseEndOfMonth) Construct a schedule descriptor via a set of parameters for a factory. -
Uses of BusinessdayCalendar.DateRollConvention in net.finmath.montecarlo.interestrate.products.indices
ModifierConstructorDescriptionLIBORIndex
(String name, String currency, String paymentOffsetCode, BusinessdayCalendar paymentBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentDateRollConvention) NumerairePerformanceIndex
(String name, String currency, String paymentOffsetCode, BusinessdayCalendar paymentBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentDateRollConvention, DayCountConvention daycountConvention) -
Uses of BusinessdayCalendar.DateRollConvention in net.finmath.time
Modifier and TypeMethodDescriptionstatic Schedule
ScheduleGenerator.createScheduleFromConventions
(LocalDate referenceDate, LocalDate startDate, LocalDate maturityDate, ScheduleGenerator.Frequency frequency, ScheduleGenerator.DaycountConvention daycountConvention, ScheduleGenerator.ShortPeriodConvention shortPeriodConvention, BusinessdayCalendar.DateRollConvention dateRollConvention, BusinessdayCalendar businessdayCalendar, int fixingOffsetDays, int paymentOffsetDays) ScheduleFromPeriods generation for given {referenceDate,startDate,maturityDate}.static Schedule
ScheduleGenerator.createScheduleFromConventions
(LocalDate referenceDate, LocalDate startDate, LocalDate maturityDate, ScheduleGenerator.Frequency frequency, ScheduleGenerator.DaycountConvention daycountConvention, ScheduleGenerator.ShortPeriodConvention shortPeriodConvention, BusinessdayCalendar.DateRollConvention dateRollConvention, BusinessdayCalendar businessdayCalendar, int fixingOffsetDays, int paymentOffsetDays, boolean isUseEndOfMonth) ScheduleFromPeriods generation for given {referenceDate,startDate,maturityDate}.ModifierConstructorDescriptionScheduleMetaData
(ScheduleGenerator.Frequency frequency, ScheduleGenerator.DaycountConvention daycountConvention, ScheduleGenerator.ShortPeriodConvention shortPeriodConvention, BusinessdayCalendar.DateRollConvention dateRollConvention, BusinessdayCalendar businessdayCalendar, int fixingOffsetDays, int paymentOffsetDays, boolean isUseEndOfMonth) Deprecated.Construct the ScheduleMetaData.SchedulePrototype
(ScheduleGenerator.Frequency frequency, ScheduleGenerator.DaycountConvention daycountConvention, ScheduleGenerator.ShortPeriodConvention shortPeriodConvention, BusinessdayCalendar.DateRollConvention dateRollConvention, BusinessdayCalendar businessdayCalendar, int fixingOffsetDays, int paymentOffsetDays, boolean isUseEndOfMonth) Construct the ScheduleMetaData. -
Uses of BusinessdayCalendar.DateRollConvention in net.finmath.time.businessdaycalendar
Modifier and TypeMethodDescriptionGet the date roll convention enum for a string (using common synonyms like "modfollow".Returns the enum constant of this type with the specified name.BusinessdayCalendar.DateRollConvention.values()
Returns an array containing the constants of this enum type, in the order they are declared.Modifier and TypeMethodDescriptionAbstractBusinessdayCalendar.getAdjustedDate
(LocalDate baseDate, String dateOffsetCode, BusinessdayCalendar.DateRollConvention dateRollConvention) AbstractBusinessdayCalendar.getAdjustedDate
(LocalDate date, BusinessdayCalendar.DateRollConvention dateRollConvention) BusinessdayCalendar.getAdjustedDate
(LocalDate baseDate, String dateOffsetCode, BusinessdayCalendar.DateRollConvention dateRollConvention) Get an adjusted date for a given date and offset code.BusinessdayCalendar.getAdjustedDate
(LocalDate date, BusinessdayCalendar.DateRollConvention dateRollConvention) Get an adjusted date for a given date.