Package org.jquantlib.currencies.Europe

Examples of org.jquantlib.currencies.Europe.EURCurrency

51
52
53
54
55
56
57
58
59
60
61
 
    public EurLiborSwapIsdaFixA(final Period tenor, final Handle<YieldTermStructure> h) {
        super( "EurLiborSwapIsdaFixA",
                tenor,
                2, // settlement days
                new EURCurrency(),
                new Target(),
                new Period(1,TimeUnit.Years),
                BusinessDayConvention.ModifiedFollowing,
                new Thirty360(Thirty360.Convention.BondBasis),
                tenor.gt(new Period(1,TimeUnit.Years)) ? new EURLibor(new Period(6,TimeUnit.Months), h):
View Full Code Here
54
55
56
57
58
59
60
61
62
63
64
 
    public DailyTenorEURLibor(final int settlementDays, final Handle<YieldTermStructure> h) {
        super(  "EURLibor",
                new Period (1,TimeUnit.Days),
                settlementDays,
                new EURCurrency(),
                // http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1412 :
                // no o/n or s/n fixings (as the case may be) will take place
                // when the principal centre of the currency concerned is
                // closed but London is open on the fixing day.
                new Target(),
View Full Code Here
50
51
52
53
54
55
56
57
58
59
60
 
    public EuriborSwapIsdaFixA(final Period tenor, final Handle<YieldTermStructure> h) {
        super( "EuriborSwapIsdaFixA",
                tenor,
                2, // settlement days
                new EURCurrency(),
                new Target(),
                new Period(1,TimeUnit.Years),
                BusinessDayConvention.ModifiedFollowing,
                new Thirty360(Thirty360.Convention.BondBasis),
                tenor.gt(new Period(1,TimeUnit.Years)) ? new Euribor(new Period(6,TimeUnit.Months), h):
View Full Code Here
80
81
82
83
84
85
86
87
          liborConvention(new Period(1,TimeUnit.Days)),
          liborEOM(new Period(1,TimeUnit.Days)),
          dayCounter,
          h);
     
    QL.require(!currency.eq(new EURCurrency()), "for EUR Libor dedicated EurLibor constructor must be used");
   
  } 
View Full Code Here
104
105
106
107
108
109
110
        financialCenterCalendar,
        JointCalendarRule.JoinHolidays);
    QL.require(this.tenor().units()!= TimeUnit.Days,
        "for daily tenors (" + this.tenor() + ") dedicated DailyTenor constructor must be used");

    QL.require(!currency.eq(new EURCurrency()), "for EUR Libor dedicated EurLibor constructor must be used");
  }
View Full Code Here
47
48
49
50
51
52
53
54
55
56
57
 
    public Euribor(final Period tenor, final Handle<YieldTermStructure> h) {
        super("Euribor",
                tenor,
                2, // settlement days
                new EURCurrency(),
                new Target(),
                euriborConvention(tenor),
                euriborEOM(tenor),
                new Actual360(),
                h);
View Full Code Here
48
49
50
51
52
53
54
55
56
57
58
 
    public EuriborSwapIfrFix(final Period tenor, final Handle<YieldTermStructure> h) {
        super( "EuriborSwapIfrFix",
                tenor,
                2, // settlement days
                new EURCurrency(),
                new Target(),
                new Period(1,TimeUnit.Years),
                BusinessDayConvention.ModifiedFollowing,
                new Thirty360(Thirty360.Convention.BondBasis),
                tenor.gt(new Period(1,TimeUnit.Years)) ? new Euribor(new Period(6,TimeUnit.Months), h):
View Full Code Here
61
62
63
64
65
66
67
68
69
70
71
 
    public EURLibor(final Period tenor, final Handle<YieldTermStructure> h) {
        super("EURLibor",
                tenor,
                2, // settlement days
                new EURCurrency(),
                new JointCalendar(new UnitedKingdom(Market.Exchange),
                          new Target(),
                          JointCalendarRule.JoinBusinessDays),
                eurliborConvention(tenor),
                eurliborEOM(tenor),
View Full Code Here
48
49
50
51
52
53
54
55
56
57
58
 
    public EurLiborSwapIfrFix(final Period tenor, final Handle<YieldTermStructure> h) {
        super( "EurLiborSwapIfrFix",
                tenor,
                2, // settlement days
                new EURCurrency(),
                new Target(),
                new Period(1,TimeUnit.Years),
                BusinessDayConvention.ModifiedFollowing,
                new Thirty360(Thirty360.Convention.BondBasis),
                tenor.gt(new Period(1,TimeUnit.Years)) ? new EURLibor(new Period(6,TimeUnit.Months), h):
View Full Code Here
50
51
52
53
54
55
56
57
58
59
60
 
    public EuriborSwapIsdaFixB(final Period tenor, final Handle<YieldTermStructure> h) {
        super( "EuriborSwapIsdaFixB",
                tenor,
                2, // settlement days
                new EURCurrency(),
                new Target(),
                new Period(1,TimeUnit.Years),
                BusinessDayConvention.ModifiedFollowing,
                new Thirty360(Thirty360.Convention.BondBasis),
                tenor.gt(new Period(1,TimeUnit.Years)) ? new Euribor(new Period(6,TimeUnit.Months), h):
View Full Code Here
TOP

Related Classes of org.jquantlib.currencies.Europe.EURCurrency

  • org.jquantlib.currencies.ExchangeRateManager
  • org.jquantlib.indexes.DailyTenorEuribor
  • org.jquantlib.indexes.DailyTenorEuribor365
  • org.jquantlib.indexes.DailyTenorEURLibor
  • org.jquantlib.indexes.Euribor
  • org.jquantlib.indexes.Euribor365
  • org.jquantlib.indexes.EuriborSwapIfrFix
  • org.jquantlib.indexes.EuriborSwapIsdaFixA
  • org.jquantlib.indexes.EuriborSwapIsdaFixB
  • org.jquantlib.indexes.EURLibor
    • 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.