Package org.jquantlib.currencies.America

Examples of org.jquantlib.currencies.America.USDCurrency

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    public UsdLiborSwapIsdaFixPm(final Period tenor, final Handle<YieldTermStructure> h) {
        super( "UsdLiborSwapIsdaFixPm",
                tenor,
                2, // settlement days
                new USDCurrency(),
                new Target(),
                new Period(6,TimeUnit.Months),
                BusinessDayConvention.ModifiedFollowing,
                new Thirty360(Thirty360.Convention.BondBasis),
                new USDLibor(new Period(3,TimeUnit.Months), h)
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    public UsdLiborSwapIsdaFixAm(final Period tenor, final Handle<YieldTermStructure> h) {
        super( "UsdLiborSwapIsdaFixAm",
                tenor,
                2, // settlement days
                new USDCurrency(),
                new Target(),
                new Period(6,TimeUnit.Months),
                BusinessDayConvention.ModifiedFollowing,
                new Thirty360(Thirty360.Convention.BondBasis),
                new USDLibor(new Period(3,TimeUnit.Months), h)
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    public BMAIndex() {
      this(new Handle<YieldTermStructure>());
    }
    public BMAIndex(final Handle<YieldTermStructure> h) {
        super("BMA", new Period(1,TimeUnit.Weeks), 1, new USDCurrency(), new UnitedStates(UnitedStates.Market.NYSE), new ActualActual(ActualActual.Convention.ISDA));

        this.termStructure = h;
        if (termStructure != null) {
          termStructure.addObserver(this);
        }
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  }

  public USDLibor(final Period tenor,
      final Handle<YieldTermStructure> h) {
    super("USDLibor", tenor, 2,
        new USDCurrency(),
        new UnitedStates(UnitedStates.Market.SETTLEMENT),
        new Actual360(), h);
  }
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  }

  public DailyTenorUSDLibor(final int settlementDays,
      final Handle<YieldTermStructure> h) {
    super("USDLibor", settlementDays,
        new USDCurrency(),
        new UnitedStates(UnitedStates.Market.SETTLEMENT),
        new Actual360(), h);
  }
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    public void testBaseCurrency(){
        QL.info("Testing money arithmetic with conversion to base currency...");

        final Currency EUR = new EURCurrency();
        final Currency GBP = new GBPCurrency();
        final Currency USD = new USDCurrency();

        final Money m1 = Money.multiple(50000.0,GBP);
        final Money m2 = Money.multiple(100000.0 , EUR);
        final Money m3 = Money.multiple(500000.0 , USD);
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Related Classes of org.jquantlib.currencies.America.USDCurrency

  • org.jquantlib.indexes.BMAIndex
  • org.jquantlib.indexes.ibor.DailyTenorUSDLibor
  • org.jquantlib.indexes.ibor.USDLibor
  • org.jquantlib.indexes.UsdLiborSwapIsdaFixAm
  • org.jquantlib.indexes.UsdLiborSwapIsdaFixPm
  • org.jquantlib.testsuite.money.MoneyTest
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