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Date Conversion

The Atoti Market Risk relies on the date conversion services from the Common Library to convert pillar values into durations.

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:

Method Description
toYearFraction Converts a pillar into a 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.

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” Used to select a specific set of tenors.
maturity Object 6M The pillar to convert.
leafCoordinates List<Object> [] Additional data to help the conversion.

The default implementation provided is SimpleMaturityConverter.

Tenor converter

The tenor converter transforms a pillar and an as-of date into the target date. The default implementation SimpleTenorConverter handles several pillar types:

Type Containing Explanation Examples
LocalDate 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 A duration A duration. “3D”, “6M”, “2W”, “1Y6M”
String IMM date 3rd Wednesday of the month. “MAR24”, “SEP-2024”
String ISO date ISO 8601 date. “2035-03-12”

Day count convention

The IDayCountConvention converts a pair of dates into a duration expressed in days or years. Several implementations are provided:

Implementation Rule Description
DayCount30on360ISDA A001 All months have 30 days, year has 360 days.
DayCountA360 A004 Exact days, year is 360 days.
DayCountA365Fixed A005 Exact days, year is 365 days.
DayCountActualActualISDA A008 Exact days and years (366 or 365 depending on current year).
DayCountActualActual A009 Exact days and years (366 or 365 depending on last year).

Business day calendar and convention

The IBusinessDayCalendar tells if a day is open or closed. The IBusinessDayConvention finds the matching business day from a given date.

The common library provides: