Module net.finmath.lib

Package net.finmath.time

package net.finmath.time

Provides interfaces and classes for time discretizations, tenors and (swap) schedule generation. The swap schedule generation used business day calendars from net.finmath.time.businessdaycalendar for date roll conventions.

Author:

Christian Fries

Related Packages

Package	Description
net.finmath.time.businessdaycalendar	Provides business day calendars, e.g., as used in date roll conventions.
net.finmath.time.daycount	Provides various day count conventions, e.g., as used in the definition of coupon payments of interest rate products.

Class	Description
FloatingpointDate	This class provides the library wide conversion from a floating point number to a LocalDate.
Period	A period, i.e.
RegularSchedule	Simple schedule generated from TimeDiscretization
Schedule	Interface of a schedule of interest rate periods with a fixing and payment.
ScheduleFromPeriods	A schedule of interest rate periods with a fixing and payment.
ScheduleGenerator	Generates a schedule based on some meta data (frequency, maturity, date roll convention, etc.).
ScheduleGenerator.DaycountConvention	Possible day count conventions supported by ScheduleGenerator.DaycountConvention.
ScheduleGenerator.Frequency	Possible frequencies supported by ScheduleGenerator.
ScheduleGenerator.ShortPeriodConvention	Possible stub period conventions supported.
ScheduleMetaData	Deprecated.
SchedulePrototype	Class to store any relevant information to generate schedules, which have different period structure but otherwise follow the same conventions.
Tenor
TenorFromArray	Implements a time discretization based on dates using a reference date and an daycount convention / year fraction.
TimeDiscretization	Interface to classes providing time discretization, i.e.
TimeDiscretizationFromArray	This class represents a set of discrete points in time.
TimeDiscretizationFromArray.ShortPeriodLocation