Value Adjustments

Once a schedule of dates has been determined, a key task is associating a value with the schedule. For example, a fixed interest rate may increase by 0.1% every 6 months.

To manage a value that can change over time with the schedule, a value schedule is used.

Value Schedule

The strata-basics project includes a value schedule handles values that change over time. The key class is ValueSchedule.

The ValueSchedule class contains two items:

  • initialValue, the initial value.
  • steps, the list of steps indicating how the value changes.

While the ValueSchedule class is not directly linked to a Schedule, it is closely related. A convenient method is provided to allow the value schedule to be resolved against an actual schedule.

Value Step

A value step consists of two parts:

  • when the step occurs
  • what the step change is

The “when” part can be specified using an exact date, or by specifying the index of the change within the schedule.

The “what” part is defined using a ValueAdjustment. This provides four different ways to express the change in value that occurs:

  • ‘Replace’, defines a new value that will replace the existing value
  • ‘DeltaAmount’, defines an amount to be added to the previous amount
  • ‘DeltaMultiplier’, defines a multiplication factor applied and then added to the previous amount
  • ‘Multiplier’, defines a multiplication factor applied to the previous amount

For example, a value schedule might be as follows:

  • initial value = 200
  • first value step, delta amount of +20, new value = 200 + 20 = 220
  • second value step, delta multiplier of +0.1 (+10%), new value = 220 + (220 * 0.1) = 242

In combination, the schedule builder and value schedules allow many complex financial instrument calculations to be abstracted.