Year or Day fraction retriever

This interface replaces ITenorConverter. It converts pillars, such as tenors, into durations expressed in either days or years, as needed.

The IYearOrDayFractionRetriever is the main portal to the objects implementing the conversion.

Process

There are two steps in converting a tenor into a number of days or a number of years:

1. Decoding: find out what the pillar means. This is done by the IMaturityParser interface.
2. Computing: convert the pillar and the asOfDate into a number of days or years, performed by the IYearFraction, IDayFraction, and IEndDate interfaces.

Retriever

The interface to inject the tenor converter bean into Atoti plugins is IYearOrDayFractionBuilderAware.

The provided retriever is:

interface IYearOrDayFractionRetriever {
    IDayFraction getDayFraction(String bucketType); // AsOfDate + Tenor to days
    IYearFraction getYearFraction(String bucketType); // AsOfDate + Tenor to years
    IMaturityParser getMaturityParser(String bucketType); // Tenor string to Tenor object
    IEndDate getEndDate(String bucketType); // AsOfDate + Tenor to end date
}

Builder

YearOrDayFractionRetriever.builder() is used to create the retriever.

By default, the builder will create a converter that will use the new way of counting the days, a day count convention A009, and the default cached maturity parser.

The builder can be used to set up each bucket type individually. A bucket is defined according to the default bucket definition and between the .build() statements.

For instance:

IYearOrDayFractionRetriever fractionBuilder = YearOrDayFractionRetriever
    .builder()
        .defaultValues()
            // This is the default bucket
        .build()
        .bucket("MyBucketType")
            // This is a specific bucket type
        .build()
    .build();

There are three types of buckets:

Legacy builder

The legacy builder can be customized like this:

IYearOrDayFractionRetriever fractionBuilder = YearOrDayFractionRetriever
    .builder()
        .bucket("LegacyBucket")
            .legacy()
                .dayCountConvention(dayCountConvention)
                .businessDayConvention(businessDayConvention)
                .calendar(calendar)
            .build()
        .build()
    .build();

Standard builder

The standard builder can be customized like this:

IYearOrDayFractionRetriever fractionBuilder = YearOrDayFractionRetriever
    .builder()
        .bucket("StandardBucket")
            .standard()
                .dayCountConvention(dayCountConvention)
            .build()
        .build()
    .build();

Specific builder

The specific builder can be defined like this:

IYearOrDayFractionRetriever fractionBuilder = YearOrDayFractionRetriever
    .builder()
        .bucket("LegacyBucket")
            .specific(yearFraction)
            .specific(dayFraction)
            .specific(endDate)
        .build()
    .build();

Maturity parser builder

The maturity parser can also be customized by bucket:

IYearOrDayFractionRetriever fractionBuilder = YearOrDayFractionRetriever
    .builder()
        .bucket("LegacyBucket")
            .cached(cached)
            .maturityParser(maturityParser)
        .build()
    .build();

Maturity parser

The interface IMaturityParser is responsible for decoding the tenors. The default implementation is MaturityParser. MaturityParserCached is an implementation that provides a cache of the results of the underlying implementation. As the pillars could be either durations or dates, as an intermediate value, we will use either a date or a duration held in a custom object Tenor, which can store Period, LocalDate, or year fraction.

If the default implementation can’t decode your pillars, override it and add the extra decoding elements.

Year Fraction

The IYearFraction interface to compute a year fraction from a tenor and an asOfDate. It extends IYearFractionFromTenorValue and IMaturityParser.

The IYearFractionFromTenorValue is the part that actually does the computation, it is implemented by:

• LegacyYearFraction: computes the fraction by using the calendar to find the target date, then computing the fraction between the asOfDate and the target date.
• YearFraction: computes the fraction from a duration where the day/month/year is converted by using the daysInYear/daysInMonth/yearsInYear from the IDayCountConvention.

Day Fraction

The IDayFraction interface to compute a day fraction from a tenor and an asOfDate. It extends IDayFractionFromTenorValue and IMaturityParser.

The IDayFractionFromTenorValue is the part that actually does the computation, it is implemented by:

• LegacyDayFraction: computes the fraction by using the calendar to find the target date, then computing the fraction between the asOfDate and the target date.
• DayFraction: computes the fraction from a duration where the day/month/year is converted by using the daysInYear/daysInMonth/yearsInYear from the IDayCountConvention.

End date

The IEndDate interface to compute an end date from a tenor and an asOfDate. It extends IEndDateFromTenorValue and IMaturityParser.

The IEndDateFromTenorValue is the part that actually does the computation, it is implemented by:

• LegacyEndDate: computes the target date by using the calendar to skip closed days.
• EndDate: computes the end date by simply adding the duration to the asOfDate.