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

Class SmileTenorConverter

java.lang.Object

com.activeviam.risk.core.dates.impl.SmileTenorConverter

All Implemented Interfaces:

ITenorConverter

public class SmileTenorConverter
extends Object
implements ITenorConverter

Constructor Summary

Constructors

Constructor	Description
SmileTenorConverter(String tenorAndMaturityDefaultValue, String moneynessDefaultValue)

Method Summary

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 of ITenorConverter.convert(LocalDate, String, IBusinessDayConvention, IBusinessDayCalendar) which first converts the tenor into a number of days using calculateNbDays(String).

Methods inherited from class java.lang.Object

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

Constructor Detail

SmileTenorConverter

public SmileTenorConverter(String tenorAndMaturityDefaultValue,
                           String moneynessDefaultValue)

Method Detail

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 interface ITenorConverter

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.

convert

public LocalDate convert(LocalDate asOfDate,
                         String tenor,
                         IBusinessDayConvention businessDayConvention,
                         IBusinessDayCalendar calendar)
                  throws ParseException

Implementation of ITenorConverter.convert(LocalDate, String, IBusinessDayConvention, IBusinessDayCalendar) which first converts the tenor into a number of days using calculateNbDays(String). No business day convention is applied.

Specified by:

convert in interface ITenorConverter

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.

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.