com.syndloanhub.loansum.product.facility

Class Helper

java.lang.Object

com.syndloanhub.loansum.product.facility.Helper

public final class Helper
extends Object

A class containing basic static helper functions.

Field Summary

Fields

Modifier and Type	Field and Description
static double	EPSILON_1

Constructor Summary

Constructors

Constructor and Description
Helper()

Method Summary

Modifier and Type	Method and Description
static List<com.opengamma.strata.collect.tuple.Pair<java.time.LocalDate,java.time.LocalDate>>	accruals(com.opengamma.strata.collect.tuple.Pair<java.time.LocalDate,java.time.LocalDate> first, com.opengamma.strata.collect.tuple.Pair<java.time.LocalDate,java.time.LocalDate> second) Generate set of accruals given two intersecting intervals.
static Commitment	generateCommitment(FacilityType facilityType, java.time.LocalDate commitmentAmountStartDate, double commitmentAmount, List<LoanContract> contracts, List<FacilityEvent> events) Generate commitment schedule.
static List<Accrual>	generateCommitmentFeeAccrualSchedule(Facility loan, AccruingFee fee) Generate commitment fee accrual schedule for each change in unfunded amount.
static com.opengamma.strata.collect.timeseries.LocalDateDoubleTimeSeries	generateCommitmentSchedule(FacilityType facilityType, java.time.LocalDate commitmentAmountStartDate, double commitmentAmount, List<LoanContract> contracts, List<FacilityEvent> events) Utility function used to generate total commitment schedule based on a given total commitment amount as of a certain date, the type of facility, a set of non-prorated contracts, and a schedule of commitment events.
static List<Accrual>	generateContractAccrualSchedule(LoanContract contract) Given a single loan contract, generate an equivalent set of sub-accruals from the single contract accrual and repayment events.
static List<Accrual>	generateDefaultFeeAccrualSchedule(Facility loan, AccruingFee fee) Default generator for fee accrual schedule generation: just return given accrual.
static com.opengamma.strata.collect.tuple.Pair<java.time.LocalDate,java.time.LocalDate>	intersection(com.opengamma.strata.collect.tuple.Pair<java.time.LocalDate,java.time.LocalDate> i1, com.opengamma.strata.collect.tuple.Pair<java.time.LocalDate,java.time.LocalDate> i2) Return the intersection between two date intervals or null if there is no intersection.
static boolean	intersects(java.time.LocalDate date, com.opengamma.strata.collect.tuple.Pair<java.time.LocalDate,java.time.LocalDate> interval) Return true if date is within the interval exclusive of interval end date
static java.time.LocalDate	max(java.time.LocalDate d1, java.time.LocalDate d2) Return the larger of two dates
static java.time.LocalDate	min(java.time.LocalDate d1, java.time.LocalDate d2) Return the smaller of two dates
static double	tsget(com.opengamma.strata.collect.timeseries.LocalDateDoubleTimeSeries ts, java.time.LocalDate date) Get the value of a time-series as of date

Methods inherited from class java.lang.Object

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

Field Detail

EPSILON_1

public static final double EPSILON_1

See Also:

Constant Field Values

Constructor Detail

Helper

public Helper()

Method Detail

max

public static final java.time.LocalDate max(java.time.LocalDate d1,
                                            java.time.LocalDate d2)

Return the larger of two dates

Parameters:

d1 - first date

d2 - second date

Returns:

max of dates d1 and d2

min

public static final java.time.LocalDate min(java.time.LocalDate d1,
                                            java.time.LocalDate d2)

Return the smaller of two dates

Parameters:

d1 - first date

d2 - second date

Returns:

min of dates d1 and d2

intersection

public static final com.opengamma.strata.collect.tuple.Pair<java.time.LocalDate,java.time.LocalDate> intersection(com.opengamma.strata.collect.tuple.Pair<java.time.LocalDate,java.time.LocalDate> i1,
                                                                                                                  com.opengamma.strata.collect.tuple.Pair<java.time.LocalDate,java.time.LocalDate> i2)

Return the intersection between two date intervals or null if there is no intersection.

Parameters:

i1 - first interval

i2 - second interval

Returns:

intersection between two date intervals i1 and i2

intersects

public static final boolean intersects(java.time.LocalDate date,
                                       com.opengamma.strata.collect.tuple.Pair<java.time.LocalDate,java.time.LocalDate> interval)

Return true if date is within the interval exclusive of interval end date

Parameters:

date - date to check if within interval

interval - boundries of interval

Returns:

true if date intersects the interval else false

tsget

public static final double tsget(com.opengamma.strata.collect.timeseries.LocalDateDoubleTimeSeries ts,
                                 java.time.LocalDate date)

Get the value of a time-series as of date

Parameters:

ts - the time series

date - the date

Returns:

the value of the (sparse) time series as of date

accruals

public static final List<com.opengamma.strata.collect.tuple.Pair<java.time.LocalDate,java.time.LocalDate>> accruals(com.opengamma.strata.collect.tuple.Pair<java.time.LocalDate,java.time.LocalDate> first,
                                                                                                                    com.opengamma.strata.collect.tuple.Pair<java.time.LocalDate,java.time.LocalDate> second)

Generate set of accruals given two intersecting intervals.

Parameters:

first - first period

second - second period

Returns:

set of intervals formed from two intersecting intervals

generateContractAccrualSchedule

public static final List<Accrual> generateContractAccrualSchedule(LoanContract contract)

Given a single loan contract, generate an equivalent set of sub-accruals from the single contract accrual and repayment events.

Parameters:

contract - loan contract

Returns:

list of equivalent sub-accruals

generateDefaultFeeAccrualSchedule

public static final List<Accrual> generateDefaultFeeAccrualSchedule(Facility loan,
                                                                    AccruingFee fee)

Default generator for fee accrual schedule generation: just return given accrual.

Parameters:

loan - the facility

fee - some fee accrual

Returns:

list containing the given accrual

generateCommitmentFeeAccrualSchedule

public static final List<Accrual> generateCommitmentFeeAccrualSchedule(Facility loan,
                                                                       AccruingFee fee)

Generate commitment fee accrual schedule for each change in unfunded amount.

Parameters:

loan - the facility

fee - commitment fee accrual

Returns:

list of commitment fee accruals for each unfunded change

generateCommitmentSchedule

public static com.opengamma.strata.collect.timeseries.LocalDateDoubleTimeSeries generateCommitmentSchedule(FacilityType facilityType,
                                                                                                           java.time.LocalDate commitmentAmountStartDate,
                                                                                                           double commitmentAmount,
                                                                                                           List<LoanContract> contracts,
                                                                                                           List<FacilityEvent> events)

Utility function used to generate total commitment schedule based on a given total commitment amount as of a certain date, the type of facility, a set of non-prorated contracts, and a schedule of commitment events.

Parameters:

facilityType - type of facility

commitmentAmountStartDate - start date

commitmentAmount - amount on start date

contracts - list of contracts

events - list of facility events

Returns:

commitment schedule

generateCommitment

public static Commitment generateCommitment(FacilityType facilityType,
                                            java.time.LocalDate commitmentAmountStartDate,
                                            double commitmentAmount,
                                            List<LoanContract> contracts,
                                            List<FacilityEvent> events)

Generate commitment schedule.

Parameters:

facilityType - type of facility

commitmentAmountStartDate - commitment start date

commitmentAmount - amount as of start date

contracts - contract list

events - facility event list

Returns:

commitment schedule