Package org.jquantlib.cashflow

Examples of org.jquantlib.cashflow.FloatingRateCoupon

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        // Usually...
        this.latestDate = swap.maturityDate();

        // ...but due to adjustments, the last floating coupon might need a later date for fixing
        if (new Settings().isUseIndexedCoupon()) {
            final FloatingRateCoupon lastFloating = (FloatingRateCoupon) swap.floatingLeg().last();
            final Date fixingValueDate = iborIndex.valueDate(lastFloating.fixingDate());
            final Date endValueDate = iborIndex.maturityDate(fixingValueDate);
            latestDate = Date.max(latestDate, endValueDate);
        }
    }
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        return CashFlows.getInstance().maturityDate(floatingLeg_);
    }

    public Date lastFixingDate() {
        final CashFlow lastCoupon = floatingLeg_.get(floatingLeg_.size() - 1); // no linkedlist :-(
        final FloatingRateCoupon lastFloatingCoupon = (FloatingRateCoupon) lastCoupon;
        return lastFloatingCoupon.fixingDate();
    }
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        return CashFlows.getInstance().maturityDate(floatingLeg_);
    }

    public Date lastFixingDate() {
        final CashFlow lastCoupon = floatingLeg_.get(floatingLeg_.size() - 1); // no linkedlist :-(
        final FloatingRateCoupon lastFloatingCoupon = (FloatingRateCoupon) lastCoupon;
        return lastFloatingCoupon.fixingDate();
    }
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        // Usually...
        this.latestDate = swap.maturityDate();

        // ...but due to adjustments, the last floating coupon might need a later date for fixing
        if (new Settings().isUseIndexedCoupon()) {
            final FloatingRateCoupon lastFloating = (FloatingRateCoupon) this.swap.floatingLeg().last();
            final Date fixingValueDate = this.iborIndex.valueDate(lastFloating.fixingDate());
            final Date endValueDate = this.iborIndex.maturityDate(fixingValueDate);
            this.latestDate = Date.max(latestDate, endValueDate);
        }
    }
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Related Classes of org.jquantlib.cashflow.FloatingRateCoupon

  • org.jquantlib.instruments.CapFloor
  • org.jquantlib.Settings
  • org.jquantlib.termstructures.yieldcurves.SwapRateHelper
  • org.jquantlib.time.Date
  • org.jquantlib.time.Period
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