Examples of org.jquantlib.cashflow.Leg

org.jquantlib.cashflow.Leg
@author Ueli Hofstetter

                            new Brazil(Brazil.Market.SETTLEMENT),
                            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()));


          final Bond bond = new Bond(settlementDays, new Brazil(Brazil.Market.SETTLEMENT),
                    faceAmount, cashflows.last().date(),
                    new Date(1,Month.January,2007), cashflows);


          final double cachedPrice = prices[bondIndex];


          final double price = faceAmount*bond.dirtyPrice(yield.rate(),

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        // QL.require(Bond.Results.class.isAssignableFrom(results.getClass()), ReflectConstants.WRONG_ARGUMENT_TYPE); // QA:[RG]::verified


        final Bond.ArgumentsImpl a = (Bond.ArgumentsImpl)arguments;
        final Bond.ResultsImpl   r = (Bond.ResultsImpl)results;


      final Leg cashflows = a.cashflows;
      final Date settlementDate = a.settlementDate;
      final Date valuationDate = discountCurve.currentLink().referenceDate();
        QL.require(! discountCurve.empty() , "no discounting term structure set"); //// TODO: message


        r.value           = CashFlows.getInstance().npv(cashflows, discountCurve, valuationDate,  valuationDate);

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        this.calendar_ = (calendar);
        this.cashflows_ = (coupons);
        this.issueDate_ = (issueDate);
        this.notionals_ = new ArrayList<Double>();
        this.notionalSchedule_ = new ArrayList<Date>();
        this.redemptions_ = new Leg();


        if (!coupons.isEmpty()) {
            Collections.sort(cashflows_, new EarlierThanCashFlowComparator());
            maturityDate_ = coupons.get(coupons.size() - 1).date();
            addRedemptionsToCashflows();

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    }


    protected Bond(
            final /* @Natural */int settlementDays,
            final Calendar calendar) {
        this(settlementDays, calendar, new Date(), new Leg());
    }

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    protected Bond(
            final /* @Natural */int settlementDays,
            final Calendar calendar,
            final Date issueDate) {
        this(settlementDays, calendar, issueDate, new Leg());
    }

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        this.cashflows_ = (cashflows);
        this.maturityDate_ = (maturityDate);
        this.issueDate_ = (issueDate);
        this.notionalSchedule_ = new ArrayList<Date>();
        this.notionals_ = new ArrayList<Double>();
        this.redemptions_ = new Leg();


        if (!cashflows.isEmpty()) {
            notionalSchedule_.add(new Date());
            notionals_.add(faceAmount);

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    protected Bond(
            final /* @Natural */int settlementDays,
            final Calendar calendar,
            final /* @Real */double faceAmount,
            final Date maturityDate) {
        this(settlementDays, calendar, faceAmount, maturityDate, new Date(), new Leg());
    }

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            final /* @Natural */int settlementDays,
            final Calendar calendar,
            final /* @Real */double faceAmount,
            final Date maturityDate,
            final Date issueDate) {
        this(settlementDays, calendar, faceAmount, maturityDate, issueDate, new Leg());
    }

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        this.discountCurve = discountCurve;
        this.frequency = Frequency.NoFrequency;


        this.notionals_ = new ArrayList<Double>();
        this.notionalSchedule_ = new ArrayList<Date>();
        this.redemptions_ = new Leg();


        final Date evaluationDate = new Settings().evaluationDate();


        evaluationDate.addObserver(this);
        this.discountCurve.addObserver(this);

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      final Schedule schedule,
      final double redemption){
    super(exercise, conversionRatio, dividends, callability, creditSpread,
            issueDate, settlementDays, dayCounter, schedule, redemption);


    cashflows_ = new Leg();


        // notional forcibly set to 100
        setSingleRedemption(100.0, redemption, maturityDate_);


        this.option = new ConvertibleBondOption(this, exercise, conversionRatio,

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Related Classes of org.jquantlib.cashflow.Leg

org.jquantlib.instruments.BMASwap

org.jquantlib.instruments.Bond

org.jquantlib.instruments.bonds.ConvertibleBondOption

org.jquantlib.instruments.bonds.ConvertibleZeroCouponBond

org.jquantlib.instruments.ConvertibleZeroCouponBond

org.jquantlib.instruments.VanillaSwap

org.jquantlib.pricingengines.bond.DiscountingBondEngine

org.jquantlib.testsuite.instruments.BondTest

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