Package com.activeviam.risk.core.dates.impl

Class AMaturityConverter

java.lang.Object

com.activeviam.risk.core.dates.impl.AMaturityConverter

All Implemented Interfaces:

IMaturityConverter

Direct Known Subclasses:

SimpleMaturityConverter

public abstract class AMaturityConverter
extends Object
implements IMaturityConverter

Field Summary

Fields

Modifier and Type	Field	Description
protected Pattern	NOT_DOUBLE	Want to interpret "2D" as two days and not 2.0

Constructor Summary

Constructors

Constructor	Description
AMaturityConverter()

Method Summary

Modifier and Type	Method	Description
protected LocalDate	convert(com.quartetfs.biz.pivot.IActivePivot pivot, LocalDate asOfDate, BucketType bucketType, String tenorSet, String tenor, List<Object> leafCoordinates)	Convert tenor to a LocalDate; with business day convention applied.
protected long	dayCount(com.quartetfs.biz.pivot.IActivePivot pivot, LocalDate start, LocalDate end, List<Object> leafCoordinates)	Given start and end dates, calculate the number of days between them.
protected abstract IBusinessDayCalendar	getBusinessDayCalendar(com.quartetfs.biz.pivot.IActivePivot pivot, List<Object> leafCoordinates)
protected abstract IBusinessDayConvention	getBusinessDayConvention(com.quartetfs.biz.pivot.IActivePivot pivot, List<Object> leafCoordinates)
protected abstract IDayCountConvention	getDayCountConvention(com.quartetfs.biz.pivot.IActivePivot pivot, List<Object> leafCoordinates)
protected com.quartetfs.biz.pivot.query.IQueryCache	getQueryCache(com.quartetfs.biz.pivot.IActivePivot pivot)	Return the query cache bound to the current query.
protected abstract ITenorConverter	getTenorConverter(com.quartetfs.biz.pivot.IActivePivot pivot, List<Object> leafCoordinates, BucketType bucketType)
LocalDate	toDate(com.quartetfs.biz.pivot.IActivePivot pivot, LocalDate asOfDate, BucketType bucketType, String tenorSet, String tenorOrDate, List<Object> leafCoordinates)	Convert tenorOrDate to a LocalDate.
double	toFraction(com.quartetfs.biz.pivot.IActivePivot pivot, LocalDate asOfDate, BucketType bucketType, String tenorSet, String tenorOrDate, List<Object> leafCoordinates)	Calculate a fraction between the asOfDate and the tenorOrDate.
protected LocalDate	tryParseAsDate(String tenorOrDate)	Try converting tenorOrDate directly to a date by parsing it as a date.
protected Double	tryParseAsDaysBetween(String tenorOrDate)	try converting tenorOrDate directly to the number of days by parsing it as a double.

Methods inherited from class java.lang.Object

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

Field Detail

NOT_DOUBLE

protected Pattern NOT_DOUBLE

Want to interpret "2D" as two days and not 2.0

Constructor Detail

AMaturityConverter

public AMaturityConverter()

Method Detail

getQueryCache

protected com.quartetfs.biz.pivot.query.IQueryCache getQueryCache(com.quartetfs.biz.pivot.IActivePivot pivot)

Return the query cache bound to the current query. This cache contains values that can be shared among post processors involved in a query. The values in this cache are never shared with other queries.

The query cache itself is thread-safe, actually implementing the concurrent map interface.

Parameters:

pivot - pivot

Returns:

current query cache, it is never null

toFraction

public double toFraction(com.quartetfs.biz.pivot.IActivePivot pivot,
                         LocalDate asOfDate,
                         BucketType bucketType,
                         String tenorSet,
                         String tenorOrDate,
                         List<Object> leafCoordinates)

Description copied from interface: IMaturityConverter

Calculate a fraction between the asOfDate and the tenorOrDate. That fraction is an implementation detail and can be: a number of days, a year fraction, a fraction between two double values (e.g. between two strike values) etc. Extra parameters are required for query-time conversion.

Specified by:

toFraction in interface IMaturityConverter

Parameters:

pivot - The ActivePivot instance.

asOfDate - The initial as-of-date.

bucketType - The tenor store.

tenorSet - The tenor set.

tenorOrDate - The String representation of a tenor or date or number of days.

leafCoordinates - Leaf coordinates required for query-time conversion.

Returns:

a long representing a number of days

tryParseAsDaysBetween

protected Double tryParseAsDaysBetween(String tenorOrDate)

try converting tenorOrDate directly to the number of days by parsing it as a double.

Parameters:

tenorOrDate - the String representation of a tenor or date or number of days.

Returns:

the number of days if applicable, or null if tenorOrDate could not be parsed as a number of days.

dayCount

protected long dayCount(com.quartetfs.biz.pivot.IActivePivot pivot,
                        LocalDate start,
                        LocalDate end,
                        List<Object> leafCoordinates)

Given start and end dates, calculate the number of days between them.

This method uses the IDayCountConvention returned by getDayCountConvention(IActivePivot, List)

Parameters:

pivot - The ActivePivot instance.

start - The start date.

end - The end date.

leafCoordinates - Leaf coordinates required for query-time conversion.

Returns:

a long representing a number of days.

toDate

public LocalDate toDate(com.quartetfs.biz.pivot.IActivePivot pivot,
                        LocalDate asOfDate,
                        BucketType bucketType,
                        String tenorSet,
                        String tenorOrDate,
                        List<Object> leafCoordinates)

Description copied from interface: IMaturityConverter

Convert tenorOrDate to a LocalDate. Extra parameters are required for query-time conversion.

Specified by:

toDate in interface IMaturityConverter

Parameters:

pivot - The ActivePivot instance.

asOfDate - The initial as-of-date, for use with tenors.

bucketType - The tenor store.

tenorSet - The tenor set.

tenorOrDate - The String representation of a tenor or date.

leafCoordinates - Leaf coordinates required for query-time conversion.

Returns:

The LocalDate represented by tenorOrDate.

tryParseAsDate

protected LocalDate tryParseAsDate(String tenorOrDate)

Try converting tenorOrDate directly to a date by parsing it as a date.

Parameters:

tenorOrDate - the String representation of a tenor or date.

Returns:

the date if applicable, or null if tenorOrDate could not be parsed as a date.

convert

protected LocalDate convert(com.quartetfs.biz.pivot.IActivePivot pivot,
                            LocalDate asOfDate,
                            BucketType bucketType,
                            String tenorSet,
                            String tenor,
                            List<Object> leafCoordinates)
                     throws ParseException

Convert tenor to a LocalDate; with business day convention applied.

This method uses the implementations returned by getBusinessDayConvention(IActivePivot, List), and getBusinessDayCalendar(IActivePivot, List)

Parameters:

pivot - The ActivePivot instance.

asOfDate - The initial as-of-date.

bucketType - The tenor store.

tenorSet - The tenor set.

tenor - The String representation of the tenor.

leafCoordinates - Leaf coordinates required for query-time conversion.

Returns:

The LocalDate representing tenor added to asOfDate.

Throws:

ParseException - the tenor is not recognized

getDayCountConvention

protected abstract IDayCountConvention getDayCountConvention(com.quartetfs.biz.pivot.IActivePivot pivot,
                                                             List<Object> leafCoordinates)

getTenorConverter

protected abstract ITenorConverter getTenorConverter(com.quartetfs.biz.pivot.IActivePivot pivot,
                                                     List<Object> leafCoordinates,
                                                     BucketType bucketType)

getBusinessDayConvention

protected abstract IBusinessDayConvention getBusinessDayConvention(com.quartetfs.biz.pivot.IActivePivot pivot,
                                                                   List<Object> leafCoordinates)

getBusinessDayCalendar

protected abstract IBusinessDayCalendar getBusinessDayCalendar(com.quartetfs.biz.pivot.IActivePivot pivot,
                                                               List<Object> leafCoordinates)