Examples of org.jquantlib.instruments.BMASwap

                                      .endOfMonth(libor3m.endOfMonth())
                                      .backwards()
                                      .schedule();




            final BMASwap swap = new BMASwap(BMASwap.Type.Payer, 100.0,
                               liborSchedule, 0.75, 0.0,
                               libor3m, libor3m.dayCounter(),
                               bmaSchedule, bma, vars.bmaDayCounter);
            swap.setPricingEngine(new DiscountingSwapEngine(libor3m.termStructure()));


            /*@Real*/ final double expectedFraction = bmaData[i].rate/100;
            /*@Real*/ final double estimatedFraction = swap.fairLiborFraction();
            /*@Real*/ final double error = Math.abs(expectedFraction-estimatedFraction);
            if (error > tolerance) {
              throw new RuntimeException(
                  String.format("%d %s %s %f %s %f %s %f %s %f",
                            bmaData[i].n, " year(s) BMA swap:\n",

                                  iborIndex.fixingCalendar(),
                                  iborIndex.businessDayConvention())
                    .endOfMonth(iborIndex.endOfMonth())
                    .schedule();


      this.swap = new BMASwap(BMASwap.Type.Payer,
                  100.0,
                  liborSchedule,
                  0.75, //arbitary
                  0.0,
                  iborIndex,

Related Classes of org.jquantlib.instruments.BMASwap

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