net.finmath.time.Tenor Maven / Gradle / Ivy

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/*
 * (c) Copyright Christian P. Fries, Germany. All rights reserved. Contact: [email protected].
 *
 * Created on 03.09.2013
 */

package net.finmath.time;

import java.util.Calendar;

import net.finmath.time.daycount.DayCountConventionInterface;
import net.finmath.time.daycount.DayCountConvention_ACT_365;

/**
 * Implements a time discretization based on dates using a reference
 * date and an daycount convention / year fraction.
 * 
 * The time as a double is represented as the year fraction from the reference date.
 * 
 * @author Christian Fries
 */
public class Tenor extends TimeDiscretization implements TenorInterface {

	private static final long serialVersionUID = 4027884423439197483L;

	private static	DayCountConventionInterface	internalDayCounting = new DayCountConvention_ACT_365();
	private			Calendar					referenceDate;

	private Calendar[]		dates;

	/**
	 * @param dates A set of dates.
	 * @param referenceDate The reference date, which defines t=0 with respect to the internal double representation.
	 */
	public Tenor(Calendar[] dates, Calendar referenceDate) {
		super(createTimeDiscretizationFromDates(dates, referenceDate));
		this.dates				= dates;
		this.referenceDate		= referenceDate;
	}

	/**
	 * @param dates
	 * @param referenceDate
	 * @return A time discretization corresponding to the given dates, relative to the reference date, using the internal day count fraction.
	 */
	private static double[] createTimeDiscretizationFromDates(Calendar[] dates, Calendar referenceDate) {

		double[] timeDiscretization = new double[dates.length];

		for(int timeIndex=0; timeIndex