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finmath lib is a Mathematical Finance Library in Java. It provides algorithms and methodologies related to mathematical finance.

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/*
 * (c) Copyright Christian P. Fries, Germany. All rights reserved. Contact: [email protected].
 *
 * Created on 20.04.2008
 */
package net.finmath.time;

import java.io.Serializable;
import java.util.ArrayList;
import java.util.Arrays;
import java.util.Iterator;

/**
 * This class represents a set of discrete points in time.
 * 

 * It handles the mapping from time indices to time points and back.
 * It uses a time tick size ("quantum") of 1.0 / (365.0 * 24.0) (which corresponds to one hour if 1.0 is a non-leap-year):
 * Times are rounded to the nearest multiple of 1.0 / (365.0 * 24.0).
 * 
 * Objects of this class are immutable.
 * 
 * @author Christian Fries
 * @version 1.5
 */
public class TimeDiscretization implements Serializable, TimeDiscretizationInterface {

	private static final long serialVersionUID = 6880668325019167781L;

	private final double[]	timeDiscretization;
	private final double	timeTickSize = 1.0 / (365.0 * 24.0);

	public enum ShortPeriodLocation {
		SHORT_PERIOD_AT_START,
		SHORT_PERIOD_AT_END
	}

	/**
	 * Constructs a time discretization from a given set of doubles.
	 * 
	 * @param times Given array or arguments list of discretization points.
	 */
	public TimeDiscretization(double... times) {
		super();
		this.timeDiscretization = times.clone();
		java.util.Arrays.sort(this.timeDiscretization);
	}

	/**
	 * Constructs a time discretization from a given set of Doubles.
	 * 
	 * @param times Given array or arguments list of discretization points
	 */
	public TimeDiscretization(Double[] times) {
		super();
		this.timeDiscretization = new double[times.length];
		for(int timeIndex=0; timeIndex timeDiscretization) {
		super();
		this.timeDiscretization = new double[timeDiscretization.size()];
		for(int timeIndex=0; timeIndexfor(i=0; i ≤ timeSteps; i++) timeDiscretization[i] = initial + i * deltaT;
	 * 
	 * @param initial First discretization point.
	 * @param numberOfTimeSteps Number of time steps.
	 * @param deltaT Time step size.
	 */
	public TimeDiscretization(double initial, int numberOfTimeSteps, double deltaT) {
		super();
		timeDiscretization = new double[numberOfTimeSteps+1];
		for(int timeIndex=0; timeIndex getAsArrayList() {
		ArrayList	times = new ArrayList(timeDiscretization.length);
		for (double aTimeDiscretization : timeDiscretization) times.add(aTimeDiscretization);
		return times;
	}

	@Override
	public TimeDiscretizationInterface getTimeShiftedTimeDiscretization(double timeShift) {
		double[] newTimeDiscretization = new double[timeDiscretization.length];
		for(int timeIndex=0; timeIndex iterator() {
		return this.getAsArrayList().iterator();
	}

	@Override
	public String toString() {
		return "TimeDiscretization [timeDiscretization="
				+ Arrays.toString(timeDiscretization) + ", timeTickSize="
				+ timeTickSize + "]";
	}

	private double roundToTimeTickSize(double time) {
		return Math.rint(time/timeTickSize)*timeTickSize;
	}
}