Package net.finmath.time

Provides interfaces and classes for time discretizations, tenors and (swap) schedule generation.

See: Description

Interface Summary

Interface	Description
Schedule	Interface of a schedule of interest rate periods with a fixing and payment.
Tenor
TimeDiscretization

Class Summary

Class	Description
FloatingpointDate	This class provides the library wide conversion from a floating point number to a LocalDate.
Period	A period, i.e. a time interval suitable for securities with regular payment schedules.
RegularSchedule	Simple schedule generated from TimeDiscretization
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.).
ScheduleMetaData	Deprecated
SchedulePrototype	Class to store any relevant information to generate schedules, which have different period structure but otherwise follow the same conventions.
TenorFromArray	Implements a time discretization based on dates using a reference date and an daycount convention / year fraction.
TimeDiscretizationFromArray	This class represents a set of discrete points in time.

Enum Summary

Enum	Description
ScheduleGenerator.DaycountConvention	Possible day count conventions supported by ScheduleGenerator.DaycountConvention.
ScheduleGenerator.Frequency	Possible frequencies supported by ScheduleGenerator.
ScheduleGenerator.ShortPeriodConvention	Possible stub period conventions supported.
TimeDiscretizationFromArray.ShortPeriodLocation

Package net.finmath.time Description

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