Uses of Interface
net.finmath.time.Schedule

Packages that use Schedule

Package	Description
net.finmath.marketdata.calibration	Provides classes to create a calibrated model of curves from a collection of calibration products and corresponding target values.
net.finmath.marketdata.model.bond	Provided classes related to the modelling of Bond curves.
net.finmath.marketdata.products	Provides interface specification and implementation of products, e.g., calibration products.
net.finmath.marketdata2.calibration	Provides classes to create a calibrated model of curves from a collection of calibration products and corresponding target values.
net.finmath.marketdata2.products	Provides interface specification and implementation of products, e.g., calibration products.
net.finmath.modelling.descriptor	Provides interface separating implementation from specification (of models and products)
net.finmath.montecarlo.interestrate.products	Provides classes which implement financial products which may be valued using a net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel.
net.finmath.montecarlo.interestrate.products.indices	Provides a set of indices which can be used as part of a period.
net.finmath.time	Provides interfaces and classes for time discretizations, tenors and (swap) schedule generation.

Uses of Schedule in net.finmath.marketdata.calibration

Constructors in net.finmath.marketdata.calibration with parameters of type Schedule

Constructor and Description
CalibrationSpec(String type, Schedule swapTenorDefinitionReceiver, String forwardCurveReceiverName, double spreadReceiver, String discountCurveReceiverName, Schedule swapTenorDefinitionPayer, String forwardCurvePayerName, double spreadPayer, String discountCurvePayerName, String calibrationCurveName, double calibrationTime) Calibration specification.
CalibrationSpec(String symbol, String type, Schedule swapTenorDefinitionReceiver, String forwardCurveReceiverName, double spreadReceiver, String discountCurveReceiverName, Schedule swapTenorDefinitionPayer, String forwardCurvePayerName, double spreadPayer, String discountCurvePayerName, String calibrationCurveName, double calibrationTime) Calibration specification.

Uses of Schedule in net.finmath.marketdata.model.bond

Methods in net.finmath.marketdata.model.bond that return Schedule

Modifier and Type	Method and Description
Schedule	Bond.getSchedule()

Constructors in net.finmath.marketdata.model.bond with parameters of type Schedule

Constructor and Description
Bond(Schedule schedule, String discountCurveName, String survivalProbabilityCurveName, String basisFactorCurveName, double fixedCoupon) Creates a fixed coupon bond without recovery rate.
Bond(Schedule schedule, String discountCurveName, String survivalProbabilityCurveName, String basisFactorCurveName, double fixedCoupon, double recoveryRate) Creates a fixed coupon bond with recovery rate.
Bond(Schedule schedule, String discountCurveName, String forwardCurveName, String survivalProbabilityCurveName, String basisFactorCurveName, double fixedCoupon, double floatingSpread) Creates a fixed or floating bond without recovery rate.
Bond(Schedule schedule, String discountCurveName, String forwardCurveName, String survivalProbabilityCurveName, String basisFactorCurveName, double fixedCoupon, double floatingSpread, double recoveryRate) Creates a bond.

Uses of Schedule in net.finmath.marketdata.products

Methods in net.finmath.marketdata.products that return Schedule

Modifier and Type	Method and Description
Schedule	SwapLeg.getSchedule()
Schedule	Deposit.getSchedule()

Methods in net.finmath.marketdata.products with parameters of type Schedule

Modifier and Type	Method and Description
static double	Swap.getForwardSwapRate(Schedule fixSchedule, Schedule floatSchedule, ForwardCurve forwardCurve)
static double	Swap.getForwardSwapRate(Schedule fixSchedule, Schedule floatSchedule, ForwardCurve forwardCurve, AnalyticModel model)
static double	SwapAnnuity.getSwapAnnuity(double evaluationTime, Schedule schedule, DiscountCurve discountCurve, AnalyticModel model) Function to calculate an (idealized) swap annuity for a given schedule and discount curve.
static double	SwapAnnuity.getSwapAnnuity(Schedule schedule, DiscountCurve discountCurve) Function to calculate an (idealized) swap annuity for a given schedule and discount curve.
static double	SwapAnnuity.getSwapAnnuity(Schedule schedule, ForwardCurve forwardCurve) Function to calculate an (idealized) single curve swap annuity for a given schedule and forward curve.

Constructors in net.finmath.marketdata.products with parameters of type Schedule

Constructor and Description
Cap(Schedule schedule, String forwardCurveName, double strike, boolean isStrikeMoneyness, String discountCurveName, String volatilitySurfaceName) Create a Caplet with a given schedule, strike on a given forward curve (by name) with a given discount curve and volatility surface (by name).
Cap(Schedule schedule, String forwardCurveName, double strike, boolean isStrikeMoneyness, String discountCurveName, String volatilitySurfaceName, VolatilitySurface.QuotingConvention quotingConvention) Create a Caplet with a given schedule, strike on a given forward curve (by name) with a given discount curve and volatility surface (by name).
Deposit(Schedule schedule, double rate, String discountCurveName)
ForwardRateAgreement(Schedule schedule, double spread, String forwardCurveName, String discountCurveName) Creates a payer FRA.
ForwardRateAgreement(Schedule schedule, double spread, String forwardCurveName, String discountCurveName, boolean isPayer) Creates a FRA.
Swap(Schedule scheduleReceiveLeg, double spreadReceive, String discountCurveReceiveName, Schedule schedulePayLeg, String forwardCurvePayName, String discountCurvePayName) Creates a swap with notional exchange.
Swap(Schedule scheduleReceiveLeg, String forwardCurveReceiveName, double spreadReceive, String discountCurveReceiveName, Schedule schedulePayLeg, String forwardCurvePayName, double spreadPay, String discountCurvePayName) Creates a swap with notional exchange.
Swap(Schedule scheduleReceiveLeg, String forwardCurveReceiveName, double spreadReceive, String discountCurveReceiveName, Schedule schedulePayLeg, String forwardCurvePayName, double spreadPay, String discountCurvePayName, boolean isNotionalExchanged) Creates a swap with notional exchange.
SwapAnnuity(Schedule schedule, String discountCurveName) Creates a swap annuity for a given schedule and discount curve.
SwapLeg(LocalDateTime cashFlowEffectiveDate, Schedule legSchedule, String forwardCurveName, double[] notionals, double[] spreads, String discountCurveName, boolean isNotionalExchanged) Creates a swap leg.
SwapLeg(Optional<LocalDateTime> cashFlowEffectiveDate, Schedule legSchedule, String forwardCurveName, double[] notionals, double[] spreads, String discountCurveName, boolean isNotionalExchanged) Deprecated.
SwapLeg(Optional<LocalDateTime> cashFlowEffectiveDate, Schedule legSchedule, String forwardCurveName, double spread, String discountCurveName) Creates a swap leg without notional reset and without notional exchange.
SwapLeg(Optional<LocalDateTime> cashFlowEffectiveDate, Schedule legSchedule, String forwardCurveName, double spread, String discountCurveName, String discountCurveForNotionalResetName, boolean isNotionalExchanged) Creates a swap leg.
SwapLeg(Schedule legSchedule, String forwardCurveName, double[] notionals, double[] spreads, String discountCurveName, boolean isNotionalExchanged) Creates a swap leg.
SwapLeg(Schedule legSchedule, String forwardCurveName, double spread, String discountCurveName) Creates a swap leg without notional reset and without notional exchange.
SwapLeg(Schedule legSchedule, String forwardCurveName, double spread, String discountCurveName, boolean isNotionalExchanged) Creates a swap leg without notional reset.
SwapLeg(Schedule legSchedule, String forwardCurveName, double spread, String discountCurveName, String discountCurveForNotionalResetName, boolean isNotionalExchanged) Creates a swap leg.

Uses of Schedule in net.finmath.marketdata2.calibration

Constructors in net.finmath.marketdata2.calibration with parameters of type Schedule

Constructor and Description
CalibrationSpec(String type, Schedule swapTenorDefinitionReceiver, String forwardCurveReceiverName, double spreadReceiver, String discountCurveReceiverName, Schedule swapTenorDefinitionPayer, String forwardCurvePayerName, double spreadPayer, String discountCurvePayerName, String calibrationCurveName, double calibrationTime) Calibration specification.
CalibrationSpec(String symbol, String type, Schedule swapTenorDefinitionReceiver, String forwardCurveReceiverName, double spreadReceiver, String discountCurveReceiverName, Schedule swapTenorDefinitionPayer, String forwardCurvePayerName, double spreadPayer, String discountCurvePayerName, String calibrationCurveName, double calibrationTime) Calibration specification.

Uses of Schedule in net.finmath.marketdata2.products

Methods in net.finmath.marketdata2.products that return Schedule

Modifier and Type	Method and Description
Schedule	SwapLeg.getSchedule()
Schedule	Deposit.getSchedule()

Methods in net.finmath.marketdata2.products with parameters of type Schedule

Modifier and Type	Method and Description
static RandomVariable	Swap.getForwardSwapRate(Schedule fixSchedule, Schedule floatSchedule, ForwardCurveInterface forwardCurve)
static RandomVariable	Swap.getForwardSwapRate(Schedule fixSchedule, Schedule floatSchedule, ForwardCurveInterface forwardCurve, AnalyticModel model)
static RandomVariable	SwapAnnuity.getSwapAnnuity(double evaluationTime, Schedule schedule, DiscountCurveInterface discountCurve, AnalyticModel model) Function to calculate an (idealized) swap annuity for a given schedule and discount curve.
static RandomVariable	SwapAnnuity.getSwapAnnuity(Schedule schedule, DiscountCurveInterface discountCurve) Function to calculate an (idealized) swap annuity for a given schedule and discount curve.
static RandomVariable	SwapAnnuity.getSwapAnnuity(Schedule schedule, ForwardCurveInterface forwardCurve) Function to calculate an (idealized) single curve swap annuity for a given schedule and forward curve.

Constructors in net.finmath.marketdata2.products with parameters of type Schedule

Constructor and Description
Deposit(Schedule schedule, double rate, String discountCurveName)
ForwardRateAgreement(Schedule schedule, double spread, String forwardCurveName, String discountCurveName) Creates a payer FRA.
ForwardRateAgreement(Schedule schedule, double spread, String forwardCurveName, String discountCurveName, boolean isPayer) Creates a FRA.
Swap(Schedule scheduleReceiveLeg, String forwardCurveReceiveName, double spreadReceive, String discountCurveReceiveName, Schedule schedulePayLeg, String forwardCurvePayName, double spreadPay, String discountCurvePayName) Creates a swap with notional exchange.
Swap(Schedule scheduleReceiveLeg, String forwardCurveReceiveName, double spreadReceive, String discountCurveReceiveName, Schedule schedulePayLeg, String forwardCurvePayName, double spreadPay, String discountCurvePayName, boolean isNotionalExchanged) Creates a swap with notional exchange.
SwapAnnuity(Schedule schedule, String discountCurveName) Creates a swap annuity for a given schedule and discount curve.
SwapLeg(Schedule legSchedule, String forwardCurveName, double spread, String discountCurveName) Creates a swap leg without notional reset and without notional exchange.
SwapLeg(Schedule legSchedule, String forwardCurveName, double spread, String discountCurveName, boolean isNotionalExchanged) Creates a swap leg without notional reset.
SwapLeg(Schedule legSchedule, String forwardCurveName, double spread, String discountCurveName, String discountCurveForNotionalResetName, boolean isNotionalExchanged) Creates a swap leg.

Uses of Schedule in net.finmath.modelling.descriptor

Methods in net.finmath.modelling.descriptor that return Schedule

Modifier and Type	Method and Description
Schedule	ScheduleDescriptor.getSchedule(LocalDate referenceDate) Generate a schedule relative to the given reference date.

Constructors in net.finmath.modelling.descriptor with parameters of type Schedule

Constructor and Description
ScheduleDescriptor(Schedule schedule) Extract a schedule descriptor from a schedule.

Uses of Schedule in net.finmath.montecarlo.interestrate.products

Methods in net.finmath.montecarlo.interestrate.products with parameters of type Schedule

Modifier and Type	Method and Description
static RandomVariable	SwaptionFromSwapSchedules.getValueOfLegAnalytic(double evaluationTime, LIBORModelMonteCarloSimulationModel model, Schedule schedule, boolean paysFloatingRate, double fixRate, double notional) Determines the time \( t \)-measurable value of a swap leg (can handle fix or float).

Constructors in net.finmath.montecarlo.interestrate.products with parameters of type Schedule

Constructor and Description
BermudanSwaptionFromSwapSchedules(LocalDateTime referenceDate, BermudanSwaptionFromSwapSchedules.SwaptionType swaptionType, LocalDate[] exerciseDates, LocalDate swapEndDate, double[] swaprates, double[] notionals, Schedule[] fixSchedules, Schedule[] floatSchedules) Create a Bermudan swaption.
BermudanSwaptionFromSwapSchedules(LocalDateTime referenceDate, BermudanSwaptionFromSwapSchedules.SwaptionType swaptionType, LocalDate[] exerciseDates, LocalDate swapEndDate, double[] swaprates, double[] notionals, Schedule[] fixSchedules, Schedule[] floatSchedules) Create a Bermudan swaption.
BermudanSwaptionFromSwapSchedules(LocalDateTime referenceDate, BermudanSwaptionFromSwapSchedules.SwaptionType swaptionType, LocalDate[] exerciseDates, LocalDate swapEndDate, double[] swaprates, double[] notionals, Schedule[] fixSchedules, Schedule[] floatSchedules, MonteCarloConditionalExpectationRegressionFactory conditionalExpectationRegressionFactory, RegressionBasisFunctionsProvider regressionBasisFunctionProvider) Create a Bermudan swaption from an array of underlying swap schedules (fix leg and float leg), swap rates and notionals.
BermudanSwaptionFromSwapSchedules(LocalDateTime referenceDate, BermudanSwaptionFromSwapSchedules.SwaptionType swaptionType, LocalDate[] exerciseDates, LocalDate swapEndDate, double[] swaprates, double[] notionals, Schedule[] fixSchedules, Schedule[] floatSchedules, MonteCarloConditionalExpectationRegressionFactory conditionalExpectationRegressionFactory, RegressionBasisFunctionsProvider regressionBasisFunctionProvider) Create a Bermudan swaption from an array of underlying swap schedules (fix leg and float leg), swap rates and notionals.
BermudanSwaptionFromSwapSchedules(LocalDateTime referenceDate, BermudanSwaptionFromSwapSchedules.SwaptionType swaptionType, LocalDate[] exerciseDates, LocalDate swapEndDate, double[] swaprates, double[] notionals, Schedule[] fixSchedules, Schedule[] floatSchedules, RegressionBasisFunctionsProvider regressionBasisFunctionProvider) Create a Bermudan swaption.
BermudanSwaptionFromSwapSchedules(LocalDateTime referenceDate, BermudanSwaptionFromSwapSchedules.SwaptionType swaptionType, LocalDate[] exerciseDates, LocalDate swapEndDate, double[] swaprates, double[] notionals, Schedule[] fixSchedules, Schedule[] floatSchedules, RegressionBasisFunctionsProvider regressionBasisFunctionProvider) Create a Bermudan swaption.
BermudanSwaptionFromSwapSchedules(LocalDateTime referenceDate, BermudanSwaptionFromSwapSchedules.SwaptionType swaptionType, LocalDate[] exerciseDates, LocalDate swapEndDate, double swaprate, double notional, Schedule[] fixSchedules, Schedule[] floatSchedules) Create a Bermudan swaption.
BermudanSwaptionFromSwapSchedules(LocalDateTime referenceDate, BermudanSwaptionFromSwapSchedules.SwaptionType swaptionType, LocalDate[] exerciseDates, LocalDate swapEndDate, double swaprate, double notional, Schedule[] fixSchedules, Schedule[] floatSchedules) Create a Bermudan swaption.
Swap(AbstractNotional notional, Schedule scheduleReceiveLeg, AbstractIndex indexReceiveLeg, double spreadReceiveLeg, Schedule schedulePayLeg, AbstractIndex indexPayLeg, double spreadPayLeg) Create a swap from schedules, notional, indices and spreads (fixed coupons).
SwapLeg(Schedule legSchedule, AbstractNotional[] notionals, AbstractIndex index, double[] spreads, boolean couponFlow, boolean isNotionalExchanged) Creates a swap leg.
SwapLeg(Schedule legSchedule, AbstractNotional notional, AbstractIndex index, double spread, boolean isNotionalExchanged) Creates a swap leg.
SwapLeg(Schedule legSchedule, AbstractNotional notional, AbstractIndex index, double spread, boolean couponFlow, boolean isNotionalExchanged, boolean isNotionalAccruing) Creates a swap leg.
SwaptionFromSwapSchedules(LocalDateTime referenceDate, SwaptionFromSwapSchedules.SwaptionType swaptionType, LocalDate exerciseDate, Schedule scheduleFixedLeg, Schedule scheduleFloatLeg, double swaprate, double notional, Swaption.ValueUnit valueUnit)

Uses of Schedule in net.finmath.montecarlo.interestrate.products.indices

Constructors in net.finmath.montecarlo.interestrate.products.indices with parameters of type Schedule

Constructor and Description
NumerairePerformanceOnScheduleIndex(String name, String currency, Schedule schedule)

Uses of Schedule in net.finmath.time

Classes in net.finmath.time that implement Schedule

Modifier and Type	Class and Description
class	RegularSchedule Simple schedule generated from TimeDiscretization
class	ScheduleFromPeriods A schedule of interest rate periods with a fixing and payment.

Methods in net.finmath.time that return Schedule

Modifier and Type	Method and Description
static Schedule	ScheduleGenerator.createScheduleFromConventions(Date referenceDate, Date startDate, Date maturityDate, String frequency, String daycountConvention, String shortPeriodConvention, String dateRollConvention, BusinessdayCalendar businessdayCalendar, int fixingOffsetDays, int paymentOffsetDays) ScheduleFromPeriods generation for given {referenceDate,startDate,maturityDate}.
static Schedule	ScheduleGenerator.createScheduleFromConventions(LocalDate referenceDate, int spotOffsetDays, String startOffsetString, String maturityString, String frequency, String daycountConvention, String shortPeriodConvention, String dateRollConvention, BusinessdayCalendar businessdayCalendar, int fixingOffsetDays, int paymentOffsetDays) Simple schedule generation where startDate and maturityDate are calculated based on referenceDate, spotOffsetDays, startOffsetString and maturityString.
static Schedule	ScheduleGenerator.createScheduleFromConventions(LocalDate referenceDate, int spotOffsetDays, String startOffsetString, String maturityString, String frequency, String daycountConvention, String shortPeriodConvention, String dateRollConvention, BusinessdayCalendar businessdayCalendar, int fixingOffsetDays, int paymentOffsetDays, boolean isUseEndOfMonth) Simple schedule generation where startDate and maturityDate are calculated based on referenceDate, spotOffsetDays, startOffsetString and maturityString.
static Schedule	ScheduleGenerator.createScheduleFromConventions(LocalDate referenceDate, LocalDate tradeDate, int spotOffsetDays, String startOffsetString, String maturityString, String frequency, String daycountConvention, String shortPeriodConvention, String dateRollConvention, BusinessdayCalendar businessdayCalendar, int fixingOffsetDays, int paymentOffsetDays) Simple schedule generation where startDate and maturityDate are calculated based on tradeDate, spotOffsetDays, startOffsetString and maturityString.
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) 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}.
static Schedule	ScheduleGenerator.createScheduleFromConventions(LocalDate referenceDate, LocalDate startDate, LocalDate maturityDate, String frequency, String daycountConvention, String shortPeriodConvention, String dateRollConvention, BusinessdayCalendar businessdayCalendar, int fixingOffsetDays, int paymentOffsetDays) ScheduleFromPeriods generation for given {referenceDate,startDate,maturityDate}.
static Schedule	ScheduleGenerator.createScheduleFromConventions(LocalDate referenceDate, LocalDate startDate, String frequency, double maturity, String daycountConvention, String shortPeriodConvention) Deprecated. Will be removed in version 2.3
static Schedule	ScheduleGenerator.createScheduleFromConventions(LocalDate referenceDate, LocalDate startDate, String frequency, double maturity, String daycountConvention, String shortPeriodConvention, String dateRollConvention, BusinessdayCalendar businessdayCalendar, int fixingOffsetDays, int paymentOffsetDays) Deprecated. Will be removed in version 2.3
static Schedule	ScheduleGenerator.createScheduleFromConventions(LocalDate referenceDate, String startOffsetString, String maturityString, String frequency, String daycountConvention, String shortPeriodConvention, String dateRollConvention, BusinessdayCalendar businessdayCalendar, int fixingOffsetDays, int paymentOffsetDays) Simple schedule generation where startDate and maturityDate are calculated based on referenceDate, startOffsetString and maturityString.
static Schedule	ScheduleGenerator.createScheduleFromConventions(LocalDate referenceDate, String futureCode, String startOffsetString, String maturityString, String frequency, String daycountConvention, String shortPeriodConvention, String dateRollConvention, BusinessdayCalendar businessdayCalendar, int fixingOffsetDays, int paymentOffsetDays) ScheduleFromPeriods generation with futureCodes (in the format DEC17).
Schedule	SchedulePrototype.generateSchedule(LocalDate referenceDate, int maturity, int termination) Generate a schedule with start / end date determined by an offset in months from the reference date.
Schedule	SchedulePrototype.generateSchedule(LocalDate referenceDate, int maturity, int termination, net.finmath.time.SchedulePrototype.OffsetUnit unit) Generate a schedule with start / end date determined by an offset from the reference date.
Schedule	SchedulePrototype.generateSchedule(LocalDate referenceDate, LocalDate startDate, LocalDate endDate) Generate a schedule for the given start and end date.

Methods in net.finmath.time with parameters of type Schedule

Modifier and Type	Method and Description
static String	SchedulePrototype.getOffsetCodeFromSchedule(Schedule schedule) Determines the offset code of a forward contract from a schedule.