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finmath lib is a Mathematical Finance Library in Java.
It provides algorithms and methodologies related to mathematical finance.
/*
* (c) Copyright Christian P. Fries, Germany. Contact: [email protected].
*
* Created on 16.05.2017
*/
package net.finmath.time;
import java.time.Duration;
import java.time.LocalDate;
import java.time.LocalDateTime;
import net.finmath.time.daycount.DayCountConvention;
import net.finmath.time.daycount.DayCountConvention_ACT_365;
/**
* This class provides the library wide conversion from a floating point number to a LocalDate.
*
* While in practical applications a date or time should always be represented with a proper
* date class, e.g. LocalDate or LocalDateTime. In financial applications the measurement
* of time distances has to be based on a solid definition, e.g., daycount conventions to calculate
* daycount fractions.
*
* However, many mathematical models described in text books rely on time being modeled as some
* real value \( t \).
*
* To allow for both approaches to co-exists this class fixes the interpretation of a floating
* point number representing time, unless otherwise specified.
*
* So it still possible that models use their own "conversion".
*
* Examples where the specification of this contract is important:
* - the way of measuring time in an NSS curve determines the interpretation of the NSS parameters.
* - in the textbook Black-Scholes models, multiplying volatility by W(t), changing from an ACT/365 to ACT/360 would represent a re-scaling of the volatilities.
*
* The specification of this internal time representation is to some extend just a convention which defines the unit of internal model parameters.
* A constant volatility measured against a floating point time ACT/365 corresponds 1:1: to a constant volatility measure again a floating point time ACT/360
* with a conversion factor of 360/365. However, the situation is not always trivial, since a constant volatility measured against a floating point time ACT/365
* would correspond to a weakly time-dependent volatility volatility measured against ACT/ACT.
*
* Such nuances represent differences in the model, a model calibration will ensure that the parameters are choosen such that the model matches observed quantities
* independent from the convention used to express internal model parameters.
*
* @author Christian Fries
* @version 1.1
*/
public class FloatingpointDate {
private static final long SECONDS_PER_DAY = 365*24*60*60;
private static DayCountConvention internalDayCounting = new DayCountConvention_ACT_365();
private FloatingpointDate() {
}
/**
* Convert a floating point date to a LocalDateTime.
*
* Note: This method currently performs a rounding to the next second.
*
* If referenceDate is null, the method returns null.
*
* @param referenceDate The reference date associated with \( t=0 \).
* @param floatingPointDate The value to the time offset \( t \).
* @return The date resulting from adding Math.round(fixingTime*SECONDS_PER_DAY) seconds to referenceDate, where one day has SECONDS_PER_DAY seconds and SECONDS_PER_DAY is a constant 365*24*60*60
*/
public static LocalDateTime getDateFromFloatingPointDate(final LocalDateTime referenceDate, final double floatingPointDate) {
if(referenceDate == null) {
return null;
}
final Duration duration = Duration.ofSeconds(Math.round(floatingPointDate * SECONDS_PER_DAY));
return referenceDate.plus(duration);
}
/**
* Convert a given date to a floating point date using a given reference date.
*
* @param referenceDate The reference date associated with \( t=0 \).
* @param date The given date to be associated with the return value \( T \).
* @return The value T measuring the distance of reference date and date by ACT/365 with SECONDS_PER_DAY seconds used as the smallest time unit and SECONDS_PER_DAY is a constant 365*24*60*60.
*/
public static double getFloatingPointDateFromDate(final LocalDateTime referenceDate, final LocalDateTime date) {
final Duration duration = Duration.between(referenceDate, date);
return ((double)duration.getSeconds()) / SECONDS_PER_DAY;
}
/**
* Convert a floating point date to a LocalDate.
*
* Note: This method currently performs a rounding to the next day.
* In a future extension intra-day time offsets may be considered.
*
* If referenceDate is null, the method returns null.
*
* @param referenceDate The reference date associated with \( t=0 \).
* @param floatingPointDate The value to the time offset \( t \).
* @return The date resulting from adding Math.round(fixingTime*365.0) days to referenceDate.
*/
public static LocalDate getDateFromFloatingPointDate(final LocalDate referenceDate, final double floatingPointDate) {
if(referenceDate == null) {
return null;
}
return referenceDate.plusDays((int)Math.round(floatingPointDate*365.0));
}
/**
* Convert a given date to a floating point date using a given reference date.
*
* @param referenceDate The reference date associated with \( t=0 \).
* @param date The given daten to be associated with the return value \( T \).
* @return The value T measuring the distance of reference date and date by ACT/365.
*/
public static double getFloatingPointDateFromDate(final LocalDate referenceDate, final LocalDate date) {
return internalDayCounting.getDaycountFraction(referenceDate, date);
}
}