Package net.finmath.smartcontract.contract

Class SmartDerivativeContractScheduleGenerator

java.lang.Object

net.finmath.smartcontract.contract.SmartDerivativeContractScheduleGenerator

public class SmartDerivativeContractScheduleGenerator
extends Object

Generates schedules for smart derivative contracts. The schedule consists of settlement, account access and margin checks.

Author:

Christian Fries

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	SmartDerivativeContractScheduleGenerator.EventTimesImpl	Simple POJO implementation of SmartDerivativeContractSchedule.EventTimes.
static class	SmartDerivativeContractScheduleGenerator.SimpleSchedule	Simple list based implementation of SmartDerivativeContractSchedule.

Method Summary

Modifier and Type	Method	Description
static SmartDerivativeContractSchedule	getScheduleForBusinessDays(String calendar, LocalDate startDate, LocalDate maturity, LocalTime settlementTime, Duration accountAccessAllowedDuration)	Create a daily event schedule, where accountAccessStart is one minute after settlementTime, accountAccessEnd is accountAccessAllowedDuration after accountAccessStart, marginCheckTime is one minute after accountAccessEnd.
static SmartDerivativeContractSchedule	getScheduleForBusinessDays(String calendar, LocalDate startDate, LocalDate maturity, LocalTime settlementTime, LocalTime accountAccessAllowedStartTime, Duration accountAccessAllowedDuration, LocalTime marginCheckTime)

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Details

getScheduleForBusinessDays

public static SmartDerivativeContractSchedule getScheduleForBusinessDays(String calendar,
 LocalDate startDate,
 LocalDate maturity,
 LocalTime settlementTime,
 Duration accountAccessAllowedDuration)

Create a daily event schedule, where accountAccessStart is one minute after settlementTime, accountAccessEnd is accountAccessAllowedDuration after accountAccessStart, marginCheckTime is one minute after accountAccessEnd.

Parameters:

calendar - A businessday calendar (e.g.: TARGET2)

startDate - The start date.

maturity - The maturity date.

settlementTime - The settlement time.

accountAccessAllowedDuration - The duration for account adjustment after settlement.

Returns:

A new schedule corresponding to the given meta data.

getScheduleForBusinessDays

public static SmartDerivativeContractSchedule getScheduleForBusinessDays(String calendar,
 LocalDate startDate,
 LocalDate maturity,
 LocalTime settlementTime,
 LocalTime accountAccessAllowedStartTime,
 Duration accountAccessAllowedDuration,
 LocalTime marginCheckTime)