fraHelpers = new RateHelper[fras];
bondHelpers = new RateHelper[bonds];
schedules = new Schedule[bonds];
bmaHelpers = new RateHelper[bmas];
final IborIndex euribor6m = new Euribor(new Period(6, TimeUnit.Months), new Handle<YieldTermStructure>());
for (int i=0; i<deposits; i++) {
final Handle<Quote> r = new Handle<Quote>(rates[i]);
instruments[i] = new
DepositRateHelper(r, new Period(depositData[i].n,depositData[i].units),
euribor6m.fixingDays(), calendar,
euribor6m.businessDayConvention(),
euribor6m.endOfMonth(),
euribor6m.dayCounter());
}
for (int i=0; i<swaps; i++) {
final Handle<Quote> r = new Handle<Quote>(rates[i+deposits]);
instruments[i+deposits] = new
SwapRateHelper(r, new Period(swapData[i].n, swapData[i].units),
calendar,
fixedLegFrequency, fixedLegConvention,
fixedLegDayCounter, euribor6m);
}
final Euribor euribor3m = new Euribor(new Period(3, TimeUnit.Months), new Handle<YieldTermStructure>());
for (int i=0; i<fras; i++) {
final Handle<Quote> r = new Handle<Quote>(fraRates[i]);
fraHelpers[i] = new
FraRateHelper(r, fraData[i].n, fraData[i].n + 3,
euribor3m.fixingDays(),
euribor3m.fixingCalendar(),
euribor3m.businessDayConvention(),
euribor3m.endOfMonth(),
euribor3m.dayCounter());
}
for (int i=0; i<bonds; i++) {
final Handle<Quote> p = new Handle<Quote>(prices[i]);
final Date maturity = calendar.advance(today, bondData[i].n, bondData[i].units);