Package org.jquantlib.instruments

Examples of org.jquantlib.instruments.Bond$Arguments

844
845
846
847
848
849
850
851
852
853
854
855
856
857
858
859
860
              .withCouponRates(couponRates)
              .withPaymentAdjustment(BusinessDayConvention.ModifiedFollowing).Leg();
          // redemption
          cashflows.add(new SimpleCashFlow(faceAmount, cashflows.last().date()));

          final Bond bond = new Bond(settlementDays, new Brazil(Brazil.Market.SETTLEMENT),
                    faceAmount, cashflows.last().date(),
                    new Date(1,Month.January,2007), cashflows);

          final double cachedPrice = prices[bondIndex];

          final double price = faceAmount*bond.dirtyPrice(yield.rate(),
                                                       yield.dayCounter(),
                                                       yield.compounding(),
                                                       yield.frequency(),
                                                       today)/100;
          if (Math.abs(price-cachedPrice) > tolerance) {
View Full Code Here
855
856
857
858
859
860
861
862
863
864
865
866
867
868
869
870
871
              .withCouponRates(couponRates)
              .withPaymentAdjustment(BusinessDayConvention.ModifiedFollowing).Leg();
          // redemption
          cashflows.add(new SimpleCashFlow(faceAmount, cashflows.last().date()));

          final Bond bond = new Bond(settlementDays, new Brazil(Brazil.Market.SETTLEMENT),
                    faceAmount, cashflows.last().date(),
                    new Date(1,Month.January,2007), cashflows);

          final double cachedPrice = prices[bondIndex];

          final double price = faceAmount*bond.dirtyPrice(yield.rate(),
                                                       yield.dayCounter(),
                                                       yield.compounding(),
                                                       yield.frequency(),
                                                       today)/100;
          if (Math.abs(price-cachedPrice) > tolerance) {
View Full Code Here
TOP

Related Classes of org.jquantlib.instruments.Bond$Arguments

  • com.android.dx.dex.cf.CfOptions
  • org.apache.hadoop.fs.Path
  • org.jquantlib.cashflow.CashFlow
  • org.jquantlib.cashflow.Coupon
  • org.jquantlib.cashflow.Leg
  • org.jquantlib.cashflow.SimpleCashFlow
  • org.jquantlib.daycounters.DayCounter
  • org.jquantlib.math.solvers1D.Brent
  • org.jquantlib.pricingengines.bond.DiscountingBondEngine
  • org.jquantlib.quotes.SimpleQuote
    • 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.