net.finmath.time.businessdaycalendar

Class BusinessdayCalendar

java.lang.Object

net.finmath.time.businessdaycalendar.BusinessdayCalendar

All Implemented Interfaces:

BusinessdayCalendarInterface

Direct Known Subclasses:

BusinessdayCalendarAny, BusinessdayCalendarExcludingTARGETHolidays, BusinessdayCalendarExcludingWeekends

public abstract class BusinessdayCalendar
extends java.lang.Object
implements BusinessdayCalendarInterface

Base class for all business day calendars. Implements date rolling and date adjustment. For the supported date roll conventions see BusinessdayCalendarInterface.DateRollConvention.

Nested Class Summary

Nested classes/interfaces inherited from interface net.finmath.time.businessdaycalendar.BusinessdayCalendarInterface

BusinessdayCalendarInterface.DateRollConvention

Constructor Summary

Constructors

Constructor and Description
BusinessdayCalendar()

Method Summary

Modifier and Type	Method and Description
static java.util.Calendar	createDateFromDateAndOffsetCode(java.util.Calendar baseDate, java.lang.String dateOffsetCode) Create a new date by "adding" a year fraction to a given base date.
java.util.Calendar	getAdjustedDate(java.util.Calendar date, BusinessdayCalendarInterface.DateRollConvention dateRollConvention) Get an adjusted date for a given date.
java.util.Calendar	getAdjustedDate(java.util.Calendar baseDate, java.lang.String dateOffsetCode, BusinessdayCalendarInterface.DateRollConvention dateRollConvention) Get an adjusted date for a given date and offset code.
java.util.Date	getAdjustedDate(java.util.Date baseDate, java.lang.String dateOffsetCode, BusinessdayCalendarInterface.DateRollConvention dateRollConvention) Get an adjusted date for a given date and offset code.
java.util.Calendar	getRolledDate(java.util.Calendar baseDate, int businessDays) Find a new date by adding the given number of business days to a given base date.

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Methods inherited from interface net.finmath.time.businessdaycalendar.BusinessdayCalendarInterface

isBusinessday

Constructor Detail

BusinessdayCalendar

public BusinessdayCalendar()

Method Detail

getAdjustedDate

public java.util.Calendar getAdjustedDate(java.util.Calendar date,
                                          BusinessdayCalendarInterface.DateRollConvention dateRollConvention)

Description copied from interface: BusinessdayCalendarInterface

Get an adjusted date for a given date. Since java.util.Calendar is not immutable this method has to return a clone of date, even if the roll convention is not resulting in an adjustment.

Specified by:

getAdjustedDate in interface BusinessdayCalendarInterface

Parameters:

date - Given date to be adjusted.

dateRollConvention - The date roll convention to be used for the adjustment.

Returns:

The adjusted date applying dateRollConvention to the given date.

getAdjustedDate

public java.util.Calendar getAdjustedDate(java.util.Calendar baseDate,
                                          java.lang.String dateOffsetCode,
                                          BusinessdayCalendarInterface.DateRollConvention dateRollConvention)

Description copied from interface: BusinessdayCalendarInterface

Get an adjusted date for a given date and offset code. Since java.util.Calendar is not immutable this method has to return a clone of baseDate, even if the roll convention is not resulting in an adjustment. First we create a new date by "adding" an offset to the base date. The offset may be given by codes like 1D, 2D, 1W, 2W, 1M, 2M, 3M, 1Y, 2Y, etc., where the letters denote the units as follows: D denotes days, W denotes weeks, M denotes month Y denotes years. Next the result is adjusted according to the given dateRollConvention.

Specified by:

getAdjustedDate in interface BusinessdayCalendarInterface

Parameters:

baseDate - The start date.

dateOffsetCode - String containing date offset codes (like 2D, 1W, 3M, etc.) or combination of them separated by spaces.

dateRollConvention - The date roll convention to be used for the adjustment.

Returns:

The adjusted date applying dateRollConvention to the given date.

getRolledDate

public java.util.Calendar getRolledDate(java.util.Calendar baseDate,
                                        int businessDays)

Description copied from interface: BusinessdayCalendarInterface

Find a new date by adding the given number of business days to a given base date. Since java.util.Calendar is not immutable this method has to return a clone of baseDate, even if the roll convention is not resulting in an adjustment. If baseDate is not a business date and businessDays is zero, the method returns the next business day.

Specified by:

getRolledDate in interface BusinessdayCalendarInterface

Parameters:

baseDate - The starting date.

businessDays - The number of business days from the starting date (negative values are allowed).

Returns:

A date of a business day such that the number of business days between this one (including) and the start date (excluding) is businessDays.

getAdjustedDate

public java.util.Date getAdjustedDate(java.util.Date baseDate,
                                      java.lang.String dateOffsetCode,
                                      BusinessdayCalendarInterface.DateRollConvention dateRollConvention)

Get an adjusted date for a given date and offset code. First we create a new date by "adding" an offset to the base date. The offset may be given by codes like 1D, 2D, 1W, 2W, 1M, 2M, 3M, 1Y, 2Y, etc., where the letters denote the units as follows: D denotes days, W denotes weeks, M denotes month Y denotes years. Next the result is adjusted according to the given dateRollConvention.

Parameters:

baseDate - The start date.

dateOffsetCode - String containing date offset codes (like 2D, 1W, 3M, etc.) or combination of them separated by spaces.

dateRollConvention - The date roll convention to be used for the adjustment.

Returns:

The adjusted date applying dateRollConvention to the given date.

createDateFromDateAndOffsetCode

public static java.util.Calendar createDateFromDateAndOffsetCode(java.util.Calendar baseDate,
                                                                 java.lang.String dateOffsetCode)

Create a new date by "adding" a year fraction to a given base date.

The date offset may be given by codes like 1D, 2D, 1W, 2W, 1M, 2M, 3M, 1Y, 2Y, etc., where the letters denote the units as follows: D denotes days, W denotes weeks, M denotes month Y denotes years. If the date offset does not carry a letter code at the end, it will be interpreted as ACT/365 year fraction.

The function may be used to ease the creation of maturities in spreadsheets.

Parameters:

baseDate - The start date.

dateOffsetCode - String containing date offset codes (like 2D, 1W, 3M, etc.) or combination of them separated by spaces.

Returns:

A date corresponding the date adding the offset to the start date.