CurveDate
A CurveDate is used as the valuation date of a curve. It is a date with an expiry calendar
Construction
A CurveDate is constructed using a date and an expiry calendar as follows:
ondate = CurveDate(Date, ExpiryCalendar)
Here is an example of constructing a curve date:
eombus = ExpiryCalendar(BusinessCalendar())
eombus.addRule("go to the end of the previous month")
ondate = CurveDate(Date("2020-10-13"), eombus)
In the above example:
- We create a new ExpiryCalendar using a business calendar
- Add an expiry rule to go to the end of the previous month
- Create a CurveDate for a specific date and using the expiry calendar we used above
Properties
A CurveDate has the following properties:
| Name | Description | Type |
|---|---|---|
| dow | The name of the day of the week, e.g. Monday | Scalar(String) |
| day | The day of the month | Scalar(Integer) |
| month | The month of the year (1-12) | Scalar(Integer) |
| monthName | The name of the month, e.g. January | Scalar(String) |
| year | The year | Scalar(Integer) |
| hour | The hour of the day (0-23) | Scalar(Integer) |
| minute | The minute of the hour (0-59) | Scalar(Integer) |
| second | The second of the minute (0-59) | Scalar(Integer) |
| calendar | The expiry calendar associated with this curve date (readonly) | ExpiryCalendar |
Example usage of properties:
// Creates a new curve date variable
eombus = ExpiryCalendar(BusinessCalendar())
eombus.addRule("go to the end of the previous month")
ondate = CurveDate(Date("2020-10-13"), eombus)
print datetime.hour
print datetime.minute
print datetime.second
Methods
The date variable has the following methods:
| Name | Description | Returns |
|---|---|---|
| next() | Returns the next calendar day after this one | Date |
| next(Calendar) | Returns the next day after this one using the supplied calendar | Date |
| previous() | Returns the previous calendar day before this one | Date |
| previous(Calendar) | Returns the previous day before this one using the calendar | Date |
| isHoliday(Calendar) | Returns true is this date is a holiday in the supplied calendar | Scalar(Boolean) |
| getExpiry(Period) | Gets the expiry date for the supplied period code | Date |
Example using methods:
// Create a curve date for the 13th October 2020
eombus = ExpiryCalendar(BusinessCalendar())
eombus.addRule("go to the end of the previous month")
ondate = CurveDate(Date("2020-10-13"), eombus)
// Get the expiry date for the December 2020
print ondate.getExpiry("2020M12")