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Documentation Index

Fetch the complete documentation index at: https://docs.activeviam.com/llms.txt

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

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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:
MethodDescription
toYearFractionConverts a pillar into a number of years.
toFractionConverts a pillar into a number of days.
toDateConverts a pillar into a future date relative to the as-of date.
Here are the parameters needed to make a conversion:
ParameterTypeExampleMeaning
pivotIActivePivotThe current cubeUsed to pass the current cube to the service.
databaseVersionIDatabaseVersionThe current databaseUsed to pass the current database to the service.
asOfDateLocalDate2023-02-27The current date used to find the right duration.
bucketTypeBucketTypeTENOR_INPUTThe kind of pillar, used to differentiate the tenor for the (underlying) maturity.
tenorSetString”Simple”Used to select a specific set of tenors.
maturityObject6MThe pillar to convert.
leafCoordinatesList<Object>[]Additional data to help the conversion.
The default implementation provided is SimpleMaturityConverter.

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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:
TypeContainingExplanationExamples
LocalDateDateThe tenor is a fixed date.2035-03-12
StringOvernightOne business day duration.”ON”, “O/N”
StringTwo nightsTwo business days duration.”TN”, “T/N”
DoubleYearsA year fraction.1.5
StringA durationA duration.”3D”, “6M”, “2W”, “1Y6M”
StringIMM date3rd Wednesday of the month.”MAR24”, “SEP-2024”
StringISO dateISO 8601 date.”2035-03-12”

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Day count convention

The IDayCountConvention converts a pair of dates into a duration expressed in days or years. Several implementations are provided:
ImplementationRuleDescription
DayCount30on360ISDAA001All months have 30 days, year has 360 days.
DayCountA360A004Exact days, year is 360 days.
DayCountA365FixedA005Exact days, year is 365 days.
DayCountActualActualISDAA008Exact days and years (366 or 365 depending on current year).
DayCountActualActualA009Exact days and years (366 or 365 depending on last year).

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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: