Package org.jquantlib.indexes

Examples of org.jquantlib.indexes.InterestRateIndex

55
56
57
58
59
60
61
62
63
64
65
66
    public void initialize( final FloatingRateCoupon coupon) {
        coupon_ =  (IborCoupon)coupon;
        gearing_ = coupon_.gearing();
        spread_ = coupon_.spread();
        final Date paymentDate = coupon_.date();
        final InterestRateIndex index = coupon_.index();
        final Handle<YieldTermStructure> rateCurve = index.termStructure();

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

        if(paymentDate.gt(today))
            discount_ = rateCurve.currentLink().discount(paymentDate);
View Full Code Here
55
56
57
58
59
60
61
62
63
64
65
66
    public void initialize( final FloatingRateCoupon coupon) {
        coupon_ =  (IborCoupon)coupon;
        gearing_ = coupon_.gearing();
        spread_ = coupon_.spread();
        final Date paymentDate = coupon_.date();
        final InterestRateIndex index = coupon_.index();
        final Handle<YieldTermStructure> rateCurve = index.termStructure();

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

        if(paymentDate.gt(today))
            discount_ = rateCurve.currentLink().discount(paymentDate);
View Full Code Here
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
  @Override
  public /* @Real */ double swapletRate() {

    List<Date> fixingDates = coupon.fixingDates();
    InterestRateIndex index = coupon.index();
   
    @Natural int cutoffDays = 0; // to be verified
    Date startDate = coupon.accrualStartDate().sub(cutoffDays);
    Date endDate = coupon.accrualEndDate().sub(cutoffDays);
    Date d1 = new Date(startDate.serialNumber());
    Date d2 = new Date(startDate.serialNumber());

    QL.require(fixingDates.size() > 0, "fixing date list empty");
    QL.require(index.valueDate(fixingDates.get(0)).le(startDate), "first fixing date valid after period start");
    QL.require(index.valueDate(fixingDates.get((fixingDates.size()-1))).ge(startDate), "last fixing date valid before period end");
   
    @Rate double avgBMA = 0.0;
    int days = 0;
   
    for (int i=0;i<(fixingDates.size()-1);i++) {
      Date valueDate = index.valueDate(fixingDates.get(i));
      Date nextValueDate = index.valueDate(fixingDates.get(i+1));
     
      if (fixingDates.get(i).ge(endDate) || valueDate.ge(valueDate)) {
        break;
      }
     
      if (fixingDates.get(i+1).lt(startDate) || nextValueDate.le(startDate)) {
        continue;
      }
     
      d2 = Date.min(nextValueDate, endDate);
      avgBMA += (index.fixing(fixingDates.get(i))) * (d2.sub(d1));
      days += d2.sub(d1);
     
      d1 = d2;
    }
   
View Full Code Here
TOP

Related Classes of org.jquantlib.indexes.InterestRateIndex

  • org.jquantlib.cashflow.AverageBMACouponPricer
  • org.jquantlib.cashflow.BlackIborCouponPricer
  • org.jquantlib.Settings
  • org.jquantlib.time.Date
  • org.jquantlib.time.Period
  • org.jquantlib.lang.exceptions.LibraryException
    • 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.