Package org.jquantlib.cashflow

Examples of org.jquantlib.cashflow.FixedRateLeg

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                            BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
                            DateGeneration.Rule.Backward, false);

          // fixed coupons
          final Leg cashflows =
              new FixedRateLeg(schedule, new Actual360())
              .withNotionals(faceAmount)
              .withCouponRates(couponRates)
              .withPaymentAdjustment(BusinessDayConvention.ModifiedFollowing).Leg();
          // redemption
          cashflows.add(new SimpleCashFlow(faceAmount, cashflows.last().date()));
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      final double redemption) {
    super(exercise, conversionRatio, dividends, callability, creditSpread,
          issueDate, settlementDays, dayCounter, schedule, redemption);

    // notional forcibly set to 100
        this.cashflows_ = new FixedRateLeg(schedule,dayCounter)
            .withNotionals(100.0)
            .withCouponRates(coupons)
            .withPaymentAdjustment(schedule.businessDayConvention());

        addRedemptionsToCashflows(new double[] { redemption });
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            final Date  issueDate){
        super(settlementDays, schedule.calendar(), issueDate);
        frequency_ = schedule.tenor().frequency();
        dayCounter_ = accrualDayCounter;
        //maturityDate_ = schedule.endDate();
        cashflows_ = new FixedRateLeg(schedule, accrualDayCounter)
        .withNotionals(faceAmount)
        .withCouponRates(coupons)
        .withPaymentAdjustment(paymentConvention).Leg();

        addRedemptionsToCashflows(new double[]{redemption});
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        final Schedule schedule = new Schedule(startDate, maturityDate_, tenor,
                calendar_, accrualConvention, accrualConvention,
                rule, endOfMonth,
                firstDate, nextToLastDate);

        cashflows_ = new FixedRateLeg(schedule, accrualDayCounter)
        .withNotionals(faceAmount)
        .withCouponRates(coupons)
        .withPaymentAdjustment(paymentConvention);

        addRedemptionsToCashflows(new double[]{redemption});
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        this.spread = spread;
        this.floatingDayCount = floatingDayCount;
        this.paymentConvention = paymentConvention;
        //FIXME this.fixingDays = fixingDays;

        final Leg fixedLeg = new FixedRateLeg(fixedSchedule, fixedDayCount)
        .withNotionals(nominal)
        .withCouponRates(fixedRate)
        .withPaymentAdjustment(paymentConvention)
        .Leg();
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      final double redemption) {
    super(exercise, conversionRatio, dividends, callability, creditSpread,
          issueDate, settlementDays, dayCounter, schedule, redemption);

    // notional forcibly set to 100
        this.cashflows_ = new FixedRateLeg(schedule,dayCounter)
            .withNotionals(100.0)
            .withCouponRates(coupons)
            .withPaymentAdjustment(schedule.businessDayConvention())
            .Leg();
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        frequency_ = schedule.tenor().frequency();
        dayCounter_ = accrualDayCounter;
        maturityDate_ = schedule.endDate().clone();
       
        cashflows_ = new FixedRateLeg(schedule, accrualDayCounter)
                .withNotionals(faceAmount)
                .withCouponRates(coupons)
                .withPaymentAdjustment(paymentConvention)
                .Leg();
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        final Schedule schedule = new Schedule(startDate, maturityDate_, tenor,
                calendar_, accrualConvention, accrualConvention,
                rule, endOfMonth,
                firstDate, nextToLastDate);

        cashflows_ = new FixedRateLeg(schedule, accrualDayCounter)
        .withNotionals(faceAmount)
        .withCouponRates(coupons)
        .withPaymentAdjustment(paymentConvention);

        addRedemptionsToCashflows(new double[]{redemption});
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        this.spread = spread;
        this.floatingDayCount = floatingDayCount;
        this.paymentConvention = paymentConvention;
        //FIXME this.fixingDays = fixingDays;

        final Leg fixedLeg = new FixedRateLeg(fixedSchedule, fixedDayCount)
        .withNotionals(nominal)
        .withCouponRates(fixedRate)
        .withPaymentAdjustment(paymentConvention)
        .Leg();
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                            BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
                            DateGeneration.Rule.Backward, false);

          // fixed coupons
          final Leg cashflows =
              new FixedRateLeg(schedule, new Actual360())
              .withNotionals(faceAmount)
              .withCouponRates(couponRates)
              .withPaymentAdjustment(BusinessDayConvention.ModifiedFollowing).Leg();
          // redemption
          cashflows.add(new SimpleCashFlow(faceAmount, cashflows.last().date()));
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Related Classes of org.jquantlib.cashflow.FixedRateLeg

  • org.jquantlib.daycounters.DayCounter
  • org.jquantlib.instruments.bonds.ConvertibleFixedCouponBond
  • org.jquantlib.instruments.bonds.FixedRateBond
  • org.jquantlib.instruments.ConvertibleFixedCouponBond
  • org.jquantlib.instruments.FixedRateBond
  • org.jquantlib.instruments.VanillaSwap
  • org.jquantlib.termstructures.InterestRate
  • org.jquantlib.testsuite.instruments.BondTest
  • org.jquantlib.time.Calendar
  • org.jquantlib.time.Date
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