Package org.jquantlib.daycounters

Examples of org.jquantlib.daycounters.Actual360

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    final int lengths[] = { 3, 5, 10, 15, 20 };
    final int settlementDays = 3;
    final double coupons[] = { 0.02, 0.05, 0.08 };
    final Frequency frequencies[] = { Frequency.Semiannual, Frequency.Annual };
    final DayCounter bondDayCount = new Actual360();
    final BusinessDayConvention accrualConvention = BusinessDayConvention.Unadjusted;
    final BusinessDayConvention paymentConvention = BusinessDayConvention.ModifiedFollowing;
    final double redemption = 100.0;

    final double yields[] = { 0.03, 0.04, 0.05, 0.06, 0.07 };
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      final Calendar bondCalendar = new NullCalendar();
      final DayCounter bondDayCount = new ActualActual(ActualActual.Convention.ISMA);
      final int settlementDays = 1;

    final Handle<YieldTermStructure> discountCurve = new Handle<YieldTermStructure>(Utilities.flatRate(today, 0.03, new Actual360()));

      // actual market values from the evaluation date

      final Frequency freq = Frequency.Semiannual;
      final Schedule sch1 = new Schedule(new Date(31, Month.October, 2004),
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        final double faceAmount = 1000000.0;

      final int settlementDays = 1;

    final Handle<YieldTermStructure> discountCurve = new Handle<YieldTermStructure>(Utilities.flatRate(today, 0.03, new Actual360()));

      final double tolerance = 1.0e-6;

      // plain
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        final double faceAmount = 1000000.0;

      final int settlementDays = 1;

    final Handle<YieldTermStructure> discountCurve = new Handle<YieldTermStructure>(Utilities.flatRate(today, 0.03, new Actual360()));

      final double tolerance = 1.0e-6;

      // plain
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                            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()));
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        /* @Real */final double underlyings[] = { 100.0 };
        /* @Rate */final double qRates[] = { 0.00, 0.05 };
        /* @Rate */final double rRates[] = { 0.01, 0.05, 0.15 };
        /* @Volatility */final double vols[] = { 0.11, 0.50, 1.20 };

        final DayCounter dc = new Actual360();
        final Date today = Date.todaysDate();

        final SimpleQuote spot = new SimpleQuote(0.0);
        final SimpleQuote vol = new SimpleQuote(0.0);
        final BlackVolTermStructure volTS = Utilities.flatVol(today, vol, dc);
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    @Test
    public void testReferenceChange() {
        QL.info("Testing term structure against evaluation date change...");

        final YieldTermStructure localTermStructure = new FlatForward(settlementDays, new NullCalendar(), 0.03, new Actual360());

        final int days[] = { 10, 30, 60, 120, 360, 720 };
        /*@DiscountFactor*/ final double[] expected = new /*@DiscountFactor*/ double[days.length];

        final Date today = new Settings().evaluationDate();
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        // FIXME: This code was added instead. Please remove when PiecewiseYieldCurve becomes ready
        //
        final Quote quote = new SimpleQuote(100.0);
        final Flag anotherFlag = new Flag();
        quote.addObserver(anotherFlag);
        h.linkTo(new FlatForward(today, new Handle<Quote>(quote), new Actual360()));
        if (!anotherFlag.isUp()) {
            fail("Observer was not notified of term structure change");
        }

        if (!flag.isUp()) {
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                new EuropeanOptionData( Option.Type.Call,  40.00,  42.00, 0.08, 0.04, 0.75, 0.35,  5.0975, 1.0e-4)
        };

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

        final DayCounter dc = new Actual360();

        final SimpleQuote           spot  = new SimpleQuote(0.0);
        final SimpleQuote           qRate = new SimpleQuote(0.0);
        final YieldTermStructure    qTS   = Utilities.flatRate(today, qRate, dc);
        final SimpleQuote           rRate = new SimpleQuote(0.0);
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        final double tolerance = 1e-4;


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

        final DayCounter         dc    = new Actual360();
        final SimpleQuote        spot  = new SimpleQuote(0.0);
        final SimpleQuote        qRate = new SimpleQuote(0.0);
        final YieldTermStructure qTS   = Utilities.flatRate(today, qRate, dc);

        final SimpleQuote           rRate = new SimpleQuote(0.0);
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Related Classes of org.jquantlib.daycounters.Actual360

  • org.jquantlib.helpers.CRRDividendOptionHelper
  • org.jquantlib.helpers.FDDividendOptionHelper
  • org.jquantlib.indexes.DailyTenorEuribor
  • org.jquantlib.indexes.DailyTenorEURLibor
  • org.jquantlib.indexes.Euribor
  • org.jquantlib.indexes.EURLibor
  • org.jquantlib.indexes.ibor.AUDLibor
  • org.jquantlib.indexes.ibor.CADLibor
  • org.jquantlib.indexes.ibor.CADLiborON
  • org.jquantlib.indexes.ibor.Cdor
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