Date conversion - Atoti Hub

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:

TargetBusinessDayConvention: open days based on the Target2 settlement system calendar.
NextBusinessDayConvention: returns the closest next open day.

​Maturity converter

​Tenor converter

​Day count convention

​Business day calendar and convention

Maturity converter

Tenor converter

Day count convention

Business day calendar and convention