Package org.jquantlib.daycounters

Examples of org.jquantlib.daycounters.Thirty360

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    final int issueMonths[] = { -24, -18, -12, -6, 0, 6, 12, 18, 24 };
    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 Thirty360();
    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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      // The tolerance is high because Andima truncate yields
      final double tolerance = 1.0e-4;

      final InterestRate [] couponRates = new InterestRate[1];
      couponRates[0] = new InterestRate(0.1,new Thirty360(),Compounding.Compounded,Frequency.Annual);

      for (int bondIndex = 0; bondIndex < maturityDates.length; bondIndex++) {

          // plain
          final InterestRate yield = new InterestRate(yields[bondIndex],
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        //fixedFirstDate_ = Date.maxDate();
        //fixedNextToLastDate_ = Date.maxDate();
        //floatFirstDate_ = Date.maxDate();
        //floatNextToLastDate_ = Date.maxDate();
        floatSpread_ = (0.0);
        fixedDayCount_ = (new Thirty360());
        floatDayCount_ = (index.dayCounter());
        engine_ = new DiscountingSwapEngine(index.termStructure());
    }
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                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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                true, depositDayCounter);

        // setup swaps
        final Frequency swFixedLegFrequency = Frequency.Annual;
        final BusinessDayConvention swFixedLegConvention = BusinessDayConvention.Unadjusted;
        final DayCounter swFixedLegDayCounter = new Thirty360(Convention.European);
        final IborIndex  swFloatingLegIndex = new Euribor6M(new Handle<YieldTermStructure>());

        // TODO and FIXME: not sure whether the class stuff works properly
        // final IborIndex swFloatingLegIndex = Euribor.getEuribor6M(new Handle<YieldTermStructure>(YieldTermStructure.class)); //FIXME::RG::Handle
//        final YieldTermStructure nullYieldTermStructure = new AbstractYieldTermStructure() {
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                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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                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):
                                      new EURLibor(new Period(3,TimeUnit.Months), h)
                   
                );
        }
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                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):
                                      new EURLibor(new Period(3,TimeUnit.Months), h)
                   
                );
        }
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        this.fixedFirstDate        = new Date();
        this.fixedNextToLastDate   = new Date();
        this.floatFirstDate        = new Date();
        this.floatNextToLastDate   = new Date();
        this.floatSpread       = 0.0;
        this.fixedDayCount     = new Thirty360();
        this.floatDayCount     = index.dayCounter();
        this.engine         = new DiscountingSwapEngine(index.termStructure());
    }
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                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):
                                      new Euribor(new Period(3,TimeUnit.Months), h)
                   
                );
        }
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Related Classes of org.jquantlib.daycounters.Thirty360

  • org.jquantlib.indexes.ChfLiborSwapIsdaFix
  • org.jquantlib.indexes.EuriborSwapIfrFix
  • org.jquantlib.indexes.EuriborSwapIsdaFixA
  • org.jquantlib.indexes.EuriborSwapIsdaFixB
  • org.jquantlib.indexes.EurLiborSwapIfrFix
  • org.jquantlib.indexes.EurLiborSwapIsdaFixA
  • org.jquantlib.indexes.EurLiborSwapIsdaFixB
  • org.jquantlib.indexes.UsdLiborSwapIsdaFixAm
  • org.jquantlib.indexes.UsdLiborSwapIsdaFixPm
  • org.jquantlib.instruments.MakeVanillaSwap
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