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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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package net.finmath.time;

import java.io.Serializable;
import java.time.LocalDate;

import net.finmath.modelling.descriptor.ScheduleDescriptor;
import net.finmath.time.ScheduleGenerator.DaycountConvention;
import net.finmath.time.ScheduleGenerator.Frequency;
import net.finmath.time.ScheduleGenerator.ShortPeriodConvention;
import net.finmath.time.businessdaycalendar.BusinessdayCalendar;
import net.finmath.time.businessdaycalendar.BusinessdayCalendar.DateRollConvention;

/**
 * Class to store any relevant information to generate schedules, which have different period structure but otherwise follow the same conventions.
 *
 * @author Christian Fries
 * @author Roland Bachl
 */
public class ScheduleMetaData implements Serializable {

	private static final long serialVersionUID = 1547837440284116534L;

	/**
	 * Possible offset units to be used for schedule generation.
	 *
	 * @author Christian Fries
	 * @author Roland Bachl
	 *
	 */
	enum OffsetUnit {
		MONTHS,
		YEARS,
		DAYS,
		WEEKS
	}

	private final Frequency frequency;
	private final DaycountConvention daycountConvention;
	private final ShortPeriodConvention shortPeriodConvention;
	private final DateRollConvention dateRollConvention;
	private final BusinessdayCalendar businessdayCalendar;
	private final int	fixingOffsetDays;
	private final int	paymentOffsetDays;
	private final boolean isUseEndOfMonth;

	/**
	 * Determines the offset code of a forward contract from a schedule. Rounds the average period length to full months.
	 *
	 * @param schedule The schedule.
	 * @return The offset code as String
	 */
	public static String getOffsetCodeFromSchedule(Schedule schedule) {

		double doubleLength = 0;
		for(int i = 0; i < schedule.getNumberOfPeriods(); i ++) {
			doubleLength += schedule.getPeriodLength(i);
		}
		doubleLength /= schedule.getNumberOfPeriods();

		doubleLength *= 12;
		int periodLength = (int) Math.round(doubleLength);


		String offsetCode = periodLength + "M";
		return offsetCode;
	}

	/**
	 * Determines the offset code of a forward contract from the name of a forward curve.
	 * This method will extract a group of one or more digits together with the first letter behind them, if any.
	 * If there are multiple groups of digits in the name, this method will extract the last.
	 * If there is no number in the string, this method will return null.
	 *
	 * @param curveName The name of the curve.
	 * @return The offset code as String
	 */
	public static String getOffsetCodeFromCurveName(String curveName) {
		if(curveName == null || curveName.length() == 0) {
			return null;
		}
		String[] splits = curveName.split("(?<=\\D)(?=\\d)");
		String offsetCode = splits[splits.length-1];
		if(!Character.isDigit(offsetCode.charAt(0))) {
			return null;
		}

		offsetCode = offsetCode.split("(?<=[A-Za-z])(?=.)", 2)[0];
		offsetCode = offsetCode.replaceAll( "[\\W_]", "" );
		return offsetCode;
	}

	/**
	 * Construct the ScheduleMetaData.
	 *
	 * @param frequency The default frequency.
	 * @param daycountConvention The daycount convention.
	 * @param shortPeriodConvention If short period exists, have it first or last.
	 * @param dateRollConvention Adjustment to be applied to the all dates.
	 * @param businessdayCalendar Businessday calendar (holiday calendar) to be used for date roll adjustment.
	 * @param fixingOffsetDays Number of business days to be added to period start to get the fixing date.
	 * @param paymentOffsetDays Number of business days to be added to period end to get the payment date.
	 * @param isUseEndOfMonth If ShortPeriodConvention is LAST and startDate is an end of month date, all period will be adjusted to EOM. If ShortPeriodConvention is FIRST and maturityDate is an end of month date, all period will be adjusted to EOM.
	 */
	public ScheduleMetaData(Frequency frequency, DaycountConvention daycountConvention,
			ShortPeriodConvention shortPeriodConvention, DateRollConvention dateRollConvention,
			BusinessdayCalendar businessdayCalendar, int fixingOffsetDays, int paymentOffsetDays,
			boolean isUseEndOfMonth) {
		super();
		this.frequency = frequency;
		this.daycountConvention = daycountConvention;
		this.shortPeriodConvention = shortPeriodConvention;
		this.dateRollConvention = dateRollConvention;
		this.businessdayCalendar = businessdayCalendar;
		this.fixingOffsetDays = fixingOffsetDays;
		this.paymentOffsetDays = paymentOffsetDays;
		this.isUseEndOfMonth = isUseEndOfMonth;
	}

	/**
	 * Generate a schedule descriptor for the given start and end date.
	 *
	 * @param startDate The start date.
	 * @param endDate The end date.
	 * @return The schedule descriptor
	 */
	public ScheduleDescriptor generateScheduleDescriptor(LocalDate startDate, LocalDate endDate) {
		return new ScheduleDescriptor(startDate, endDate, getFrequency(), getDaycountConvention(), getShortPeriodConvention(), getDateRollConvention(),
				getBusinessdayCalendar(), getFixingOffsetDays(), getPaymentOffsetDays(), isUseEndOfMonth());
	}

	/**
	 * Generate a schedule for the given start and end date.
	 *
	 * @param referenceDate The reference date (corresponds to \( t = 0 \).
	 * @param startDate The start date.
	 * @param endDate The end date.
	 * @return The schedule
	 */
	public Schedule generateSchedule(LocalDate referenceDate, LocalDate startDate, LocalDate endDate) {
		return ScheduleGenerator.createScheduleFromConventions(referenceDate, startDate, endDate, getFrequency(), getDaycountConvention(),
				getShortPeriodConvention(), getDateRollConvention(), getBusinessdayCalendar(), getFixingOffsetDays(), getPaymentOffsetDays(), isUseEndOfMonth());
	}

	/**
	 * Generate a schedule with start / end date determined by an offset in months from the reference date.
	 *
	 * @param referenceDate The reference date (corresponds to \( t = 0 \).
	 * @param maturity Offset of the start date to the reference date in months
	 * @param termination Offset of the end date to the start date
	 * @return The schedule
	 */
	public Schedule generateSchedule(LocalDate referenceDate, int maturity, int termination) {
		return generateSchedule(referenceDate, maturity, termination, OffsetUnit.MONTHS);
	}

	/**
	 * Generate a schedule with start / end date determined by an offset from the reference date.
	 *
	 * @param referenceDate The reference date (corresponds to \( t = 0 \).
	 * @param maturity Offset of the start date to the reference date
	 * @param termination Offset of the end date to the start date
	 * @param unit The convention to use for the offset
	 * @return The schedule
	 */
	public Schedule generateSchedule(LocalDate referenceDate, int maturity, int termination, OffsetUnit unit) {

		LocalDate startDate;
		LocalDate endDate;

		switch(unit) {
		case YEARS :	startDate = referenceDate.plusYears(maturity);		endDate = startDate.plusYears(termination); break;
		case MONTHS :	startDate = referenceDate.plusMonths(maturity);		endDate = startDate.plusMonths(termination); break;
		case DAYS :		startDate = referenceDate.plusDays(maturity);		endDate = startDate.plusDays(termination); break;
		case WEEKS :	startDate = referenceDate.plusDays(maturity *7);	endDate = startDate.plusDays(termination *7); break;
		default :		startDate = referenceDate.plusMonths(maturity);		endDate = startDate.plusMonths(termination); break;
		}

		return generateSchedule(referenceDate, startDate, endDate);
	}

	/**
	 * @return the frequency
	 */
	public Frequency getFrequency() {
		return frequency;
	}

	/**
	 * @return the daycountConvention
	 */
	public DaycountConvention getDaycountConvention() {
		return daycountConvention;
	}

	/**
	 * @return the shortPeriodConvention
	 */
	public ShortPeriodConvention getShortPeriodConvention() {
		return shortPeriodConvention;
	}

	/**
	 * @return the dateRollConvention
	 */
	public DateRollConvention getDateRollConvention() {
		return dateRollConvention;
	}

	/**
	 * @return the businessdayCalendar
	 */
	public BusinessdayCalendar getBusinessdayCalendar() {
		return businessdayCalendar;
	}

	/**
	 * @return the fixingOffsetDays
	 */
	public int getFixingOffsetDays() {
		return fixingOffsetDays;
	}

	/**
	 * @return the paymentOffsetDays
	 */
	public int getPaymentOffsetDays() {
		return paymentOffsetDays;
	}

	/**
	 * @return the isUseEndOfMonth
	 */
	public boolean isUseEndOfMonth() {
		return isUseEndOfMonth;
	}
}