Class SmileTenorConverter
- java.lang.Object
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- com.activeviam.risk.core.dates.impl.SmileTenorConverter
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- All Implemented Interfaces:
ITenorConverter
public class SmileTenorConverter extends Object implements ITenorConverter
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Constructor Summary
Constructors Constructor Description SmileTenorConverter(String tenorAndMaturityDefaultValue, String moneynessDefaultValue)
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description protected int
calculateNbDays(String tenor)
Transforms a tenor into a number of days.LocalDate
convert(com.qfs.store.IDatastoreVersion datastore, LocalDate asOfDate, BucketType bucketType, String tenorSet, String tenor, IBusinessDayConvention businessDayConvention, IBusinessDayCalendar calendar)
Given an as-of-date and a String representation of a tenor, returns the LocalDate representation of the tenor (after application of business day convention).LocalDate
convert(LocalDate asOfDate, String tenor, IBusinessDayConvention businessDayConvention, IBusinessDayCalendar calendar)
Implementation ofITenorConverter.convert(LocalDate, String, IBusinessDayConvention, IBusinessDayCalendar)
which first converts the tenor into a number of days usingcalculateNbDays(String)
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Method Detail
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convert
public LocalDate convert(com.qfs.store.IDatastoreVersion datastore, LocalDate asOfDate, BucketType bucketType, String tenorSet, String tenor, IBusinessDayConvention businessDayConvention, IBusinessDayCalendar calendar) throws ParseException
Description copied from interface:ITenorConverter
Given an as-of-date and a String representation of a tenor, returns the LocalDate representation of the tenor (after application of business day convention).- Specified by:
convert
in interfaceITenorConverter
- Parameters:
datastore
- The datastore version.asOfDate
- The initial as-of-date.bucketType
- The tenor store.tenorSet
- The tenor set.tenor
- The String representation of a tenor.businessDayConvention
- The business day convention to use.calendar
- the business day calendar.- Returns:
- The LocalDate represented by the input tenor or date, given the as-of-date.
- Throws:
ParseException
- the tenor is not recognized.
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convert
public LocalDate convert(LocalDate asOfDate, String tenor, IBusinessDayConvention businessDayConvention, IBusinessDayCalendar calendar) throws ParseException
Implementation ofITenorConverter.convert(LocalDate, String, IBusinessDayConvention, IBusinessDayCalendar)
which first converts the tenor into a number of days usingcalculateNbDays(String)
. No business day convention is applied.- Specified by:
convert
in interfaceITenorConverter
- Parameters:
asOfDate
- The initial as-of-date.tenor
- The String representation of a tenor.businessDayConvention
- The business day convention to use.calendar
- the business day calendar.- Returns:
- The LocalDate represented by the input tenor or date, given the as-of-date.
- Throws:
ParseException
- the tenor is not recognized.
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calculateNbDays
protected int calculateNbDays(String tenor)
Transforms a tenor into a number of days. Uses the 7/30/360 convention for number of dates in W/M/Y.- Parameters:
tenor
- The given tenor.- Returns:
- The numbers of days represented by the tenor.
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