net.objectlab.kit.datecalc.common

Interface CurrencyDateCalculator<E>

Type Parameters:

E - a representation of a date, typically JDK: Date, Calendar; Joda:LocalDate, YearMonthDay; JDK8: LocalDate

All Known Implementing Classes:

AbstractCurrencyDateCalculator, CalendarCurrencyDateCalculator, DateCurrencyDateCalculator, LocalDateCurrencyDateCalculator, LocalDateCurrencyDateCalculator

public interface CurrencyDateCalculator<E>

A DateCalculator specialised for a currency pair. Implementations should be thread safe and immutable. 'E' will be parameterized to be a Date-like class, i.e. java.util.Date or java.util.Calendar (and LocalDate or YearMonthDay for Joda-time / JDK8).

Since:

1.4.0

Author:

Benoit Xhenseval

Method Summary

Modifier and Type	Method and Description
E	calculateSpotDate(E startDate) Calculate the Spot Date taking into account the working weeks, holidays and spot lag (T+1, T+2 etc), the calculator also takes into account special rules for Latin American Currencies or Arabic currencies.
E	calculateTenorDate(E startDate, Tenor tenor) Calculate the Tenor Date from Spot Date taking into account the working weeks, holidays and spot lag (T+1, T+2 etc).
List<E>	calculateTenorDates(E startDate, List<Tenor> tenors) Calculate a list of Tenor Dates from Spot Date taking into account the working weeks, holidays and spot lag (T+1, T+2 etc).
String	getCcy1()
ReadOnlyHolidayCalendar<E>	getCcy1Calendar()
WorkingWeek	getCcy1Week()
String	getCcy2()
ReadOnlyHolidayCalendar<E>	getCcy2Calendar()
WorkingWeek	getCcy2Week()
String	getCrossCcy() The cross currency used by this calculator.
ReadOnlyHolidayCalendar<E>	getCrossCcyCalendar() If enabled show the CrossCcy calendar that may be used on Spot or Tenor dates (in some cases, it is required that GBP/EUR AND USD [the crossCcy] have all a working day in common for the Spot/Tenor date).
WorkingWeek	getCrossCcyWeek()
String	getName()
SpotLag	getSpotLag()
boolean	isAdjustStartDateWithCurrencyPair()
boolean	isBrokenDateAllowed()
boolean	isUseCrossCcyOnT1ForCcy1()
boolean	isUseCrossCcyOnT1ForCcy2()

Method Detail

calculateSpotDate

E calculateSpotDate(E startDate)

Calculate the Spot Date taking into account the working weeks, holidays and spot lag (T+1, T+2 etc), the calculator also takes into account special rules for Latin American Currencies or Arabic currencies.

Parameters:

startDate - the start date which may be adjusted for the ccy pair if enabled.

Returns:

the Spot Date

calculateTenorDate

E calculateTenorDate(E startDate,
                     Tenor tenor)

Calculate the Tenor Date from Spot Date taking into account the working weeks, holidays and spot lag (T+1, T+2 etc).

Parameters:

startDate - the start date which may be adjusted for the ccy pair if enabled.

tenor - e.g. 1M

Returns:

the Tenor Date

calculateTenorDates

List<E> calculateTenorDates(E startDate,
                            List<Tenor> tenors)

Calculate a list of Tenor Dates from Spot Date taking into account the working weeks, holidays and spot lag (T+1, T+2 etc).

Parameters:

startDate - the start date which may be adjusted for the ccy pair if enabled.

tenors - the list of tenors ('chronological order is not mandatory)

Returns:

the Tenor Dates (same order as the list of Tenors)

getName

String getName()

getCcy1

String getCcy1()

getCcy1Calendar

ReadOnlyHolidayCalendar<E> getCcy1Calendar()

getCcy1Week

WorkingWeek getCcy1Week()

getCcy2

String getCcy2()

getCcy2Calendar

ReadOnlyHolidayCalendar<E> getCcy2Calendar()

getCcy2Week

WorkingWeek getCcy2Week()

getCrossCcyCalendar

ReadOnlyHolidayCalendar<E> getCrossCcyCalendar()

If enabled show the CrossCcy calendar that may be used on Spot or Tenor dates (in some cases, it is required that GBP/EUR AND USD [the crossCcy] have all a working day in common for the Spot/Tenor date). This is configurable CurrencyDateCalculatorBuilder.brokenDateAllowed(boolean).

getCrossCcy

String getCrossCcy()

The cross currency used by this calculator.

getCrossCcyWeek

WorkingWeek getCrossCcyWeek()

getSpotLag

SpotLag getSpotLag()

Returns:

the Spot Lag (0,1,2) used by this calculator.

isAdjustStartDateWithCurrencyPair

boolean isAdjustStartDateWithCurrencyPair()

Returns:

true if the calculator adjusts the start date based on the working week and holidays for the currency pair (not the crossCcy). CurrencyDateCalculatorBuilder.adjustStartDateWithCurrencyPair(boolean)

isBrokenDateAllowed

boolean isBrokenDateAllowed()

Returns:

true if the calculator allows a broken date (i.e. a Spot or Tenor date that can fall on a weekend or holiday for the crossCcy). CurrencyDateCalculatorBuilder.brokenDateAllowed(boolean)

isUseCrossCcyOnT1ForCcy1

boolean isUseCrossCcyOnT1ForCcy1()

Returns:

true if the calculator is using the CrossCcy holidays for T+1 for Ccy1. CurrencyCalculatorConfig.getCurrenciesSubjectToCrossCcyForT1(String)

isUseCrossCcyOnT1ForCcy2

boolean isUseCrossCcyOnT1ForCcy2()

Returns:

true if the calculator is using the CrossCcy holidays for T+1 for Ccy2. CurrencyCalculatorConfig.getCurrenciesSubjectToCrossCcyForT1(String)