Package org.jquantlib.daycounters

Examples of org.jquantlib.daycounters.Thirty360

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                2, // settlement days
                new CHFCurrency(),
                new Target(),
                new Period(1,TimeUnit.Years),
                BusinessDayConvention.ModifiedFollowing,
                new Thirty360(Thirty360.Convention.BondBasis),
                tenor.gt(new Period(1,TimeUnit.Years)) ? new CHFLibor(new Period(6,TimeUnit.Months), h):
                                      new CHFLibor(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 Euribor(new Period(6,TimeUnit.Months), h):
                                      new Euribor(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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        final DividendSchedule dividends = new DividendSchedule();
        final CallabilitySchedule callability = new CallabilitySchedule();

        final double[] coupons = new double[] { 1.0, 0.05 };

        final DayCounter bondDayCount = new Thirty360();

        // Call dates, years 2, 4
        final int[] callLength = { 2, 4 };
        // Put dates year 3
        final int[] putLength = { 3 };
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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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        final DayCounter business252China = new Business252(new China(China.Market.SSE));
        final DayCounter simpleDayCounter = new SimpleDayCounter();     
        final DayCounter actual360 = new Actual360();       
        final DayCounter actual365Fixed = new Actual365Fixed();       
        final DayCounter actualActual = new ActualActual();       
        final DayCounter thirty360 = new Thirty360();       
        final DayCounter thirty360_2 = new Thirty360();
       
        assertFalse(thirty360.equals(null));
        assertEquals(thirty360, thirty360);
        assertEquals(thirty360, thirty360_2);
       
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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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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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