Examples of org.jquantlib.cashflow.Coupon

org.jquantlib.cashflow.Coupon
Coupon accruing over a fixed period
This class implements part of the CashFlow interface but it is still abstract and provides derived classes with methods for accrual period calculations. @author Ueli Hofstetter @author Daniel Kong

        for (final CashFlow flow : Iterables.unmodifiableIterable(cashflows_.listIterator(startIndex))) {
            if (flow.date().ne(paymentDate)) {
                break;
            }
            //TODO: code review: should the last element be excluded?
            final Coupon cp = (Coupon)flow;
            if (cp != null) {
                if (firstCouponFound) {
                    assert(nominal       == cp.nominal() &&
                            accrualPeriod == cp.accrualPeriod() &&
                            //FIXME: implement equals for dayCounters!
                            dc.getClass()            == cp.dayCounter().getClass()):
                                "cannot aggregate accrued amount of two " +
                                "different coupons on "+ paymentDate.toString();
                } else {
                    firstCouponFound = true;
                    nominal = cp.nominal();
                    accrualPeriod = cp.accrualPeriod();
                    dc = cp.dayCounter();
                }
                result += cp.accruedAmount(settlement);
            }


        }
        return result/notional(settlement)*100.0;
        //old implementation....

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        notionalSchedule_.clear();
        notionals_.clear();
        Date lastPaymentDate = new Date();
        notionalSchedule_.add(new Date());
        for (int i=0; i<cashflows_.size(); ++i) {
            final Coupon coupon = (Coupon)cashflows_.get(i);
            if (coupon==null){
                continue;
            }
            /*@Real*/final double notional = coupon.nominal();
            // we add the notional only if it is the first one...
            if (notionals_.isEmpty()) {
                notionals_.add(coupon.nominal());
                lastPaymentDate = coupon.date();
            } else if (!Closeness.isClose(notional, notionals_.get(notionals_.size() -1 ))) {
                // ...or if it has changed.
                assert(notional < notionals_.get(notionals_.size()-1)):("increasing coupon notionals");
                notionals_.add(coupon.nominal());
                // in this case, we also add the last valid date for
                // the previous one...
                notionalSchedule_.add(lastPaymentDate);
                // ...and store the candidate for this one.
                lastPaymentDate = coupon.date();
            } else {
                // otherwise, we just extend the valid range of dates
                // for the current notional.
                lastPaymentDate = coupon.date();
            }
        }
        assert!notionals_.isEmpty(): "no coupons provided";
        notionals_.add(0.0);
        notionalSchedule_.add(lastPaymentDate);

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        for (final CashFlow flow : Iterables.unmodifiableIterable(cashflows_.listIterator(startIndex))) {
            if (flow.date().ne(paymentDate)) {
                //TODO: Check with Richard, with break, code does not handle multiple CFs on paymentDate.
                continue; //break; 
            }
            final Coupon cp = Coupon.class.isAssignableFrom(flow.getClass()) ? (Coupon)flow : null;
            if (cp != null) {
                if (firstCouponFound) {
                    QL.require(nominal == cp.nominal() &&
                            accrualPeriod == cp.accrualPeriod() &&
                            dc.equals(cp.dayCounter()),
                                "cannot aggregate accrued amount of two " +
                                "different coupons on " + paymentDate.toString());
                } else {
                    firstCouponFound = true;
                    nominal = cp.nominal();
                    accrualPeriod = cp.accrualPeriod();
                    dc = cp.dayCounter();
                }
                result += cp.accruedAmount(settlement);
            }
        }
        return result/notional(settlement)*100.0;
    }

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        notionals_.clear();
        Date lastPaymentDate = new Date();
        notionalSchedule_.add(new Date());
        for (int i=0; i<cashflows_.size(); ++i) {
          final Object cfObj = cashflows_.get(i);
          final Coupon coupon = Coupon.class.isAssignableFrom(cfObj.getClass()) ? (Coupon)cfObj : null;
            if (coupon==null){
                continue;
            }
            final double notional = coupon.nominal();
            // we add the notional only if it is the first one...
            if (notionals_.isEmpty()) {
                notionals_.add(coupon.nominal());
                lastPaymentDate = coupon.date().clone();
            } else if (!Closeness.isClose(notional, notionals_.get(notionals_.size() -1 ))) {
                // ...or if it has changed.
                QL.require(notional < notionals_.get(notionals_.size()-1), "increasing coupon notionals");
                notionals_.add(coupon.nominal());
                // in this case, we also add the last valid date for
                // the previous one...
                notionalSchedule_.add(lastPaymentDate);
                // ...and store the candidate for this one.
                lastPaymentDate = coupon.date().clone();
            } else {
                // otherwise, we just extend the valid range of dates
                // for the current notional.
                lastPaymentDate = coupon.date().clone();
            }
        }
        QL.require(!notionals_.isEmpty(), "no coupons provided");
        notionals_.add(0.0);
        notionalSchedule_.add(lastPaymentDate);

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                // first not-expired coupon
                if (i > 0) {
                    lastDate = cashflows.get(i - 1).date().clone();
                } else {
                    final Object cpnObj = cashflows.get(i);
                  final Coupon coupon = Coupon.class.isAssignableFrom(cpnObj.getClass()) ? (Coupon)cpnObj : null;
                    if (coupon != null) {
                        lastDate = coupon.accrualStartDate().clone();
                    } else {
                        lastDate = couponDate.sub(new Period(1, TimeUnit.Years));
                    }
                }
                discount *= y.discountFactor(settlement, couponDate, lastDate, couponDate);

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Related Classes of org.jquantlib.cashflow.Coupon

org.jquantlib.instruments.Bond

org.jquantlib.time.Date

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