Time Module¶

QuantLib.jl’s Time sub-module provides calendars, day counters, tenor time periods, and other time related types and methods for pricing.

Misc. Time/Date methods¶

within_next_week(d1::Date, d2::Date)¶: Determines whether the second date is within the next week from the first date

within_next_week(t1::Float64, t2::Float64): Determines whether the second year fraction is within the next week from the first year fraction

within_previous_week(d1::Date, d2::Date)¶: Determines whether the second date is within the previous week from the first date

Business Calendars¶

QuantLib.jl has a number of calendars based on region and asset-type. Some of this functionality is based off of Ito.jl and BusinessDays.jl

All calendars inherit from the abstract type:

abstract BusinessCalendar

General Calendars¶

A Null calendar exists which has no holidays and is used simply for date movement

type NullCalendar <: BusinessCalendar end

Also, a Target Calendar is available which has only basic holidays: * Saturdays * Sundays * New Year’s Day (Jan 1) * Good Friday * Easter Monday * Labor Day (May 1) * Christmas (Dec 25) * Day of Goodwill (Dec 26)

type TargetCalendar <: BusinessCalendar end

A Joint Calendar construction exists that combines two calendars

type JointCalendar <: BusinessCalendar
  cal1::B
  cal2::C
end

Additional calendars are organized by geography and asset type

US Calendars¶

abstract UnitedStatesCalendar <: WesternCalendar

type USSettlementCalendar <: UnitedStatesCalendar; end
type USNYSECalendar <: UnitedStatesCalendar; end
type USNERCCalendar <: UnitedStatesCalendar; end
type USGovernmentBondCalendar <: UnitedStatesCalendar; end

USSettlementCalendar - General settlement calendar

USNYSECalendar - New York Stock Exchange calendar

USNERCCalendar - North American Energy Reliability Council calendar

USGovernmentBondCalendar - US government bond market

UK Calendars¶

abstract UnitedKingdomCalendar <: WesternCalendar

type UKSettlementCalendar <: UnitedKingdomCalendar end
type UKLSECalendar <: UnitedKingdomCalendar end
type UKLMECalendar <: UnitedKingdomCalendar end

UKSettlementCalendar - UK Settlement calendar

UKLSECalendar - London Stock Exchange calendar

UKLMECalendar - London Metals Exchange calendar

General Calendar methods¶

is_business_day(cal::BusinessCalendar, dt::Date)¶: Determines whether a given date is a business day, depending on the calendar used

easter_date(y::Int)¶: Returns the date of Easter Sunday based on year provided

is_holiday(::BusinessCalendar, dt::Date)¶: Determines whether a given date is a holiday, based on the calendar used

advance(days::Day, cal::BusinessCalendar, dt::Date, biz_conv::BusinessDayConvention = Following())¶: Advance a number of days from the provided date

advance(time_period::Union{Week, Month, Year}, cal::BusinessCalendar, dt::Date, biz_conv::BusinessDayConvention = Following()): Advance a number of weeks, months, or years from the provided date

adjust(cal::BusinessCalendar, d::Date)¶: Adjust a date based on a Following business day convention

adjust(cal::BusinessCalendar, ::BusinessDayConvention, d::Date): Adjust a date based on the provided business day convention

Business Day Conventions¶

These conventions specify the algorithm used to adjust a date in case it is not a valid business day.

abstract BusinessDayConvention

type Unadjusted <: BusinessDayConvention end
type ModifiedFollowing <: BusinessDayConvention end
type Following <: BusinessDayConvention end

Unadjusted - Do not adjust

Modified Following - Choose the first business day after the given holiday unless it belongs to a different month, in which case choose the first business day before the holiday.

Following - Choose the first business day after the given holiday.

Day Counters¶

These types provide methods for determining the length of a time period according to given market convention, both as a number of days and as a year fraction.

Adopted from Ito.jl and InterestRates.jl

All Day Counters inherit from this abstract type:

abstract DayCount

SimpleDayCount - Simple day counter for reproducing theoretical calculations.

type SimpleDayCount <: DayCount end

Day Counter methods¶

day_count(c::DayCount, d_start::Date, d_end::Date)¶: Returns the number of days between the two dates based off of the day counter method

year_fraction(c::DayCount, d_start::Date, d_end::Date)¶: Returns the fraction of year between the two dates based off of the day counter method

General Day Counters¶

type Actual360 <:DayCount ; end
type Actual365 <: DayCount ; end

Actual360 - Actual / 360 day count convention

Actual365 - Actual/365 (Fixed) day count convention

30/360 Day Counters¶

abstract Thirty360 <:DayCount

type BondThirty360 <: Thirty360; end
type EuroBondThirty360 <: Thirty360; end
type ItalianThirty360 <: Thirty360; end

typealias USAThirty360 BondThirty360
typealias EuroThirty360 EuroBondThirty360

USAThirty360 - 30/360 (Bond Basis)

EuroThirty360 - 30E/360 (Eurobond basis)

ItalianThirty360 - 30/360 (Italian)

Actual-Actual Day Counters¶

abstract ActualActual <: DayCount

type ISMAActualActual <: ActualActual; end
type ISDAActualActual <: ActualActual; end
type AFBActualActual <: ActualActual; end

typealias ActualActualBond ISMAActualActual

ISMAActualActual - the ISMA and US Treasury convention, also known as “Actual/Actual (Bond)”

ISDAActualActual - the ISDA convention, also known as “Actual/Actual (Historical)”, “Actual/Actual”, “Act/Act”, and according to ISDA also “Actual/365”, “Act/365”, and “A/365”

AFBActualActual - the AFB convention, also known as “Actual/Actual (Euro)”

Frequency¶

Frequency of events

abstract Frequency

type NoFrequency <: Frequency end
type Once <: Frequency end
type Annual <: Frequency end
type Semiannual <: Frequency end
type EveryFourthMonth <: Frequency end
type Quarterly <: Frequency end
type Bimonthly <: Frequency end
type Monthly <: Frequency end
type EveryFourthWeek <: Frequency end
type Biweekly <: Frequency end
type Weekly <: Frequency end
type Daily <: Frequency end
type OtherFrequency <: Frequency end

value(::Frequency)¶: Returns the number of times the event will occur in one year (e.g. 1 for Annual, 2 for Semiannual, 3 for EveryFourthMonth, etc)

period(::Frequency)¶: Returns the underlying time period of the frequency (e.g. 1 Year for Annual, 6 Months for Semiannual, etc)

Schedule¶

Payment schedule data structure

type Schedule
  effectiveDate::Date
  terminationDate::Date
  tenor::TenorPeriod
  convention::BusinessDayConvention
  termDateConvention::BusinessDayConvention
  rule::DateGenerationRule
  endOfMonth::Bool
  dates::Vector{Date}
  cal::BusinessCalendar
end

Date Generation methods¶

These conventions specify the rule used to generate dates in a Schedule.

abstract DateGenerationRule

type DateGenerationBackwards <: DateGenerationRule end
type DateGenerationForwards <: DateGenerationRule end
type DateGenerationTwentieth <: DateGenerationRule end

DateGenerationBackwards - Backward from termination date to effective date.

DateGenerationForwards - Forward from effective date to termination date.

DateGenerationTwentieth - All dates but the effective date are taken to be the twentieth of their month (used for CDS schedules in emerging markets.) The termination date is also modified.

Tenor Period¶

Data structure for a time period with frequency

type TenorPeriod
  period::Dates.Period
  freq::Frequency
end

TenorPeriod(f::Frequency)¶: Constructor for a TenorPeriod given a Frequency

TenorPeriod(p::Dates.Period): Constructor for a TenorPeriod given a Julia Date Period

TimeGrid¶

A Time-Grid data structure

type TimeGrid
  times::Vector{Float64}
  dt::Vector{Float64}
  mandatoryTimes::Vector{Float64}
end

TimeGrid(times::Vector{Float64}, steps::Int)¶: Time Grid constructor given a vector of times and a number of steps

TimeGrid(endTime::Float64, steps::Int): Time Grid constructor given an end time and a number of steps

closest_time(tg::TimeGrid, t::Float64)¶: Returns the time on the grid closest to the given t

return_index(tg::TimeGrid, t::Float64)¶: Returns the index i such that grid[i] = t