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Date Conversion

Atoti Common Library provides several services for converting a pillar value into a duration.

Maturity converter

The maturity converter service converts any pillar value into a duration, expressed in number of days, year fraction or a date relative to the current date. The interface of the bean is IMaturityConverter. It can be injected into any Atoti plugin that extends the IMaturityConverterAware interface.

The interface provides the following services:

  • toYearFraction converts a pillar into number of years.
  • toFraction converts a pillar into a number of days.
  • toDate converts a pillar into a future date relative to the as of date.
  • updateLeafCoordinatesFunction is a technical function that provides the extra leafs needed for the conversion.

Here are the parameters needed to make a conversion:

Parameter Type Example Meaning
pivot IActivePivot The current cube Used to pass the current cube to the service.
databaseVersion IDatabaseVersion The current database Used to pass the current database to the service.
asOfDate LocalDate 2023-02-27 The current date used to find the right duration.
bucketType BucketType TENOR_INPUT The kind of pillar, used to differentiate the tenor for the (underlying) maturity.
tenorSet String “Simple” Use to select a specific set of tenors.
maturity Object 6M The pillar to convert.
leafCoordinates List [] Additional data to help the conversion.

The default implementation provided is SimpleMaturityConverter that can be overridden to fit extra requirements.

By default, the maturity converter relies on several sub-services to perform the conversion:

  • IDayCountConvention defines the way of counting the number of days between two dates.
  • ITenorConverter transforms a tenor and an as of date into a new date.
  • IBusinessDayConventionFactory finds the business day that matches the specified date.
  • IBusinessDayCalendarFactory tells if the current day is a business day.

If a double held by a String or Double object is passed to the toYearFraction function, it is directly returned. To activate the day count logic, it has to be passed with the “Y” suffix. So “0.25” will return “0.25” and “0.25Y” will return “0.254…”

IDayCountConvention

This service converts an interval between two dates into a number of days by taking into account the convention used to define the number of days in a month and in a year. It provides two implementations, one to count the number of days and one to count the number of years. Several implementations are provided:

  • DayCountA365Fixed: the real number of days between the start and the end using the Gregorian calendar, a year has 365 days.
  • DayCountA360: the real number of days, where a year has 360 days.
  • DayCount30on360ISDA: Every month has 30 days and the year has 360 days. The 31st of a month is the same day as the 30th.
  • DayCountActualActualISDA: A008 rule. The days and years are exact. A year is 366 or 365 days, depending on whether the current year is leap.
  • DayCountActualActual: A009 rule. The days and years are exact. A year is 366 or 365 days, depending on whether the last year is leap.

ITenorConverter

This service is used to transform a Pillar and an as of date into the target date regardless of the day convention and the business dates. The default implementation SimpleTenorConverter handles several pillar types:

Type Containing Explanation Examples
LocalDate Date The tenor is a fixed date. 2035-03-12
String Date The tenor is a fixed date. “2035-03-12”
String Overnight One business day duration. “ON”, “O/N”
String Two nights Two business days duration. “TN”, “T/N”
Double Years A year fraction. 1.5
String Years A year fraction. “1.5”, “1.5Y”
Period A duration A duration following ISO8601. P1Y6M2D
String A duration A duration. “3D”, “6M”, “2W”, “1Y6M”

It is intended to be overridden in case of a specific pillar format. To do this you can either override the interface method ITenorConverter::convertand add your extra conversion first, or you can override the method SimpleTenorConverter::notConverted and do it at the end.

IBusinessDayConvention

From a LocalDate and an IBusinessDayCalendar this service finds the matching business day. The default implementation NextBusinessDayConvention returns the closest next day.

IBusinessDayCalendar

This service tells if a day is closed or open. Atoti Common Libraryprovides the Target calendar TargetBusinessDayConvention as an implementation that will give the open days on the target system based on the official calendar of the Target2 settlement system calendar. You can also find an implementation that relies on a database in the FRTB project.

TenorComparator

Plugin used to compare tenors together.