Package org.jquantlib.cashflow

Examples of org.jquantlib.cashflow.IborCoupon

94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
        QL.require(this.size_ == flows.size() , wrong_number_of_cashflows); // QA:[RG]::verified // TODO: message

        final Date settlement = index_.termStructure().currentLink().referenceDate();
        final Date startDate = ((IborCoupon) flows.get(0)).fixingDate();
        for (int i = 0; i < size_; ++i) {
            final IborCoupon coupon = (IborCoupon) flows.get(i);
            QL.require(coupon.date().eq(coupon.accrualEndDate()) , irregular_coupon_types); // QA:[RG]::verified // TODO: message

            initialValues_.set(i, coupon.rate());
            accrualPeriod_.set(i, coupon.accrualPeriod());

            fixingDates_.set(i, coupon.fixingDate());
            fixingTimes_.set(i, dayCounter.yearFraction(startDate, coupon.fixingDate()));
            accrualStartTimes_.set(i, dayCounter.yearFraction(settlement, coupon.accrualStartDate()));
            accrualEndTimes_.set(i, dayCounter.yearFraction(settlement, coupon.accrualEndDate()));
        }
    }
View Full Code Here
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
            a.floatingAccrualTimes = new ArrayList</*@Time*/ Double>(floatingCoupons.size());
            a.floatingSpreads = new ArrayList</*@Spread*/ Double>(floatingCoupons.size());
            a.floatingCoupons = new ArrayList</*@Real*/ Double>(floatingCoupons.size());
            for (int i=0; i<floatingCoupons.size(); ++i) {
                final IborCoupon coupon = (IborCoupon) floatingCoupons.get(i);

                a.floatingResetDates.set(i, coupon.accrualStartDate());
                a.floatingPayDates.set(i, coupon.date());

                a.floatingFixingDates.set(i, coupon.fixingDate());
                a.floatingAccrualTimes.set(i, coupon.accrualPeriod());
                a.floatingSpreads.set(i, coupon.spread());
                try {
                    a.floatingCoupons.set(i, coupon.amount());
                } catch (final Exception e) {
                    a.floatingCoupons.set(i, Constants.NULL_REAL);
                }
            }
        }
View Full Code Here
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
        QL.require(this.size_ == flows.size() , wrong_number_of_cashflows); // TODO: message

        final Date settlement = index_.termStructure().currentLink().referenceDate();
        final Date startDate = ((IborCoupon) flows.get(0)).fixingDate();
        for (int i = 0; i < size_; ++i) {
            final IborCoupon coupon = (IborCoupon) flows.get(i);
            QL.require(coupon.date().eq(coupon.accrualEndDate()) , irregular_coupon_types); // TODO: message

            initialValues_.set(i, coupon.rate());
            accrualPeriod_.set(i, coupon.accrualPeriod());

            fixingDates_.set(i, coupon.fixingDate());
            fixingTimes_.set(i, dayCounter.yearFraction(startDate, coupon.fixingDate()));
            accrualStartTimes_.set(i, dayCounter.yearFraction(settlement, coupon.accrualStartDate()));
            accrualEndTimes_.set(i, dayCounter.yearFraction(settlement, coupon.accrualEndDate()));
        }
    }
View Full Code Here
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
            a.floatingAccrualTimes = new ArrayList</*@Time*/ Double>(floatingCoupons.size());
            a.floatingSpreads = new ArrayList</*@Spread*/ Double>(floatingCoupons.size());
            a.floatingCoupons = new ArrayList</*@Real*/ Double>(floatingCoupons.size());
            for (int i=0; i<floatingCoupons.size(); ++i) {
                final IborCoupon coupon = (IborCoupon) floatingCoupons.get(i);

                a.floatingResetDates.set(i, coupon.accrualStartDate());
                a.floatingPayDates.set(i, coupon.date());

                a.floatingFixingDates.set(i, coupon.fixingDate());
                a.floatingAccrualTimes.set(i, coupon.accrualPeriod());
                a.floatingSpreads.set(i, coupon.spread());
                try {
                    a.floatingCoupons.set(i, coupon.amount());
                } catch (final Exception e) {
                    a.floatingCoupons.set(i, Constants.NULL_REAL);
                }
            }
        }
View Full Code Here
TOP

Related Classes of org.jquantlib.cashflow.IborCoupon

  • org.jquantlib.daycounters.DayCounter
  • org.jquantlib.indexes.IndexManager
  • org.jquantlib.instruments.VanillaSwap
  • org.jquantlib.processes.LiborForwardModelProcess
  • org.jquantlib.Settings
  • org.jquantlib.time.Date
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.