Package org.jquantlib.cashflow

Examples of org.jquantlib.cashflow.IborCouponPricer

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                         BusinessDayConvention.ModifiedFollowing,
                         volatility,
                         new Actual365Fixed()));
       
         // Coupon pricers
         final IborCouponPricer pricer = new BlackIborCouponPricer(vol);
         PricerSetter.setCouponPricer(floatingRateBond.cashflows(),pricer);
       
         // Yield curve bootstrapping
         forecastingTermStructure.linkTo(depoSwapTermStructure);
         discountingTermStructure.linkTo(bondDiscountingTermStructur);
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    final IborIndex index = new USDLibor(new Period(6,TimeUnit.Months), riskFreeRate);
      final int fixingDays = 1;

      final double tolerance = 1.0e-6;

      final IborCouponPricer pricer = new BlackIborCouponPricer(new Handle<OptionletVolatilityStructure>());

      // plain

      final Schedule sch = new Schedule(new Date(30,Month.November,2004),
                    new Date(30,Month.November,2008),
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        vars.no_callability, vars.creditSpread, vars.issueDate,
        vars.settlementDays, index, fixingDays, spreads,
        vars.dayCounter, schedule, vars.redemption);
    amFloating.setPricingEngine(engine);

    final IborCouponPricer pricer = new BlackIborCouponPricer(
        new Handle<OptionletVolatilityStructure>());

    final Schedule floatSchedule = new Schedule(vars.issueDate,
        vars.maturityDate, new Period(vars.frequency), vars.calendar,
        BusinessDayConvention.Following,
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Related Classes of org.jquantlib.cashflow.IborCouponPricer

  • org.jquantlib.samples.Bonds
  • org.jquantlib.testsuite.instruments.BondTest
  • org.jquantlib.testsuite.instruments.ConvertibleBondTest
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