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
InterfaceDescriptionInterface of a schedule of interest rate periods with a fixing and payment.
ClassDescriptionThis class provides the library wide conversion from a floating point number to a LocalDate.A period, i.e.Simple schedule generated from
TimeDiscretizationA schedule of interest rate periods with a fixing and payment.Generates a schedule based on some meta data (frequency, maturity, date roll convention, etc.).Deprecated.Class to store any relevant information to generate schedules, which have different period structure but otherwise follow the same conventions.Implements a time discretization based on dates using a reference date and an daycount convention / year fraction.This class represents a set of discrete points in time.
EnumDescriptionPossible day count conventions supported by
ScheduleGenerator.DaycountConvention.Possible frequencies supported by
ScheduleGenerator.Possible stub period conventions supported.