com.opengamma.strata.basics.date

Class BusinessDayConventions

java.lang.Object

com.opengamma.strata.basics.date.BusinessDayConventions

public final class BusinessDayConventions
extends Object

Constants and implementations for standard business day conventions.

The purpose of each convention is to define how to handle non-business days. When processing dates in finance, it is typically intended that non-business days, such as weekends and holidays, are converted to a nearby valid business day. The convention, in conjunction with a holiday calendar, defines exactly how the adjustment should be made.

Field Summary

Fields

Modifier and Type	Field and Description
static BusinessDayConvention	FOLLOWING The 'Following' convention which adjusts to the next business day.
static BusinessDayConvention	MODIFIED_FOLLOWING The 'ModifiedFollowing' convention which adjusts to the next business day without crossing month end.
static BusinessDayConvention	MODIFIED_FOLLOWING_BI_MONTHLY The 'ModifiedFollowingBiMonthly' convention which adjusts to the next business day without crossing mid-month or month end.
static BusinessDayConvention	MODIFIED_PRECEDING The 'ModifiedPreceding' convention which adjusts to the previous business day without crossing month start.
static BusinessDayConvention	NEAREST The 'Nearest' convention which adjusts Sunday and Monday forward, and other days backward.
static BusinessDayConvention	NO_ADJUST The 'NoAdjust' convention which makes no adjustment.
static BusinessDayConvention	PRECEDING The 'Preceding' convention which adjusts to the previous business day.

Method Summary

Methods inherited from class java.lang.Object

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

Field Detail

NO_ADJUST

public static final BusinessDayConvention NO_ADJUST

The 'NoAdjust' convention which makes no adjustment.

The input date will not be adjusted even if it is not a business day.

FOLLOWING

public static final BusinessDayConvention FOLLOWING

The 'Following' convention which adjusts to the next business day.

If the input date is not a business day then the date is adjusted. The adjusted date is the next business day.

MODIFIED_FOLLOWING

public static final BusinessDayConvention MODIFIED_FOLLOWING

The 'ModifiedFollowing' convention which adjusts to the next business day without crossing month end.

If the input date is not a business day then the date is adjusted. The adjusted date is the next business day unless that day is in a different calendar month, in which case the previous business day is returned.

MODIFIED_FOLLOWING_BI_MONTHLY

public static final BusinessDayConvention MODIFIED_FOLLOWING_BI_MONTHLY

The 'ModifiedFollowingBiMonthly' convention which adjusts to the next business day without crossing mid-month or month end.

If the input date is not a business day then the date is adjusted. The month is divided into two parts, the first half, the 1st to 15th and the 16th onwards. The adjusted date is the next business day unless that day is in a different half-month, in which case the previous business day is returned.

PRECEDING

public static final BusinessDayConvention PRECEDING

The 'Preceding' convention which adjusts to the previous business day.

If the input date is not a business day then the date is adjusted. The adjusted date is the previous business day.

MODIFIED_PRECEDING

public static final BusinessDayConvention MODIFIED_PRECEDING

The 'ModifiedPreceding' convention which adjusts to the previous business day without crossing month start.

If the input date is not a business day then the date is adjusted. The adjusted date is the previous business day unless that day is in a different calendar month, in which case the next business day is returned.

NEAREST

public static final BusinessDayConvention NEAREST

The 'Nearest' convention which adjusts Sunday and Monday forward, and other days backward.

If the input date is not a business day then the date is adjusted. If the input is Sunday or Monday then the next business day is returned. Otherwise the previous business day is returned.

Note that despite the name, the algorithm may not return the business day that is actually nearest.