Examples of org.jquantlib.termstructures.yieldcurves.FraRateHelper


        final DayCounter fraDayCounter = euribor3m.currentLink().dayCounter();
        final BusinessDayConvention convention = euribor3m.currentLink().businessDayConvention();
        final boolean endOfMonth = euribor3m.currentLink().endOfMonth();


        final RateHelper fra1x4  = new FraRateHelper(h1x4,  1,  4, fixingDays, calendar, convention, endOfMonth, fraDayCounter);
        final RateHelper fra2x5  = new FraRateHelper(h2x5,  2,  5, fixingDays, calendar, convention, endOfMonth, fraDayCounter);
        final RateHelper fra3x6  = new FraRateHelper(h3x6,  3,  6, fixingDays, calendar, convention, endOfMonth, fraDayCounter);
        final RateHelper fra6x9  = new FraRateHelper(h6x9,  6,  9, fixingDays, calendar, convention, endOfMonth, fraDayCounter);
        final RateHelper fra9x12 = new FraRateHelper(h9x12, 9, 12, fixingDays, calendar, convention, endOfMonth, fraDayCounter);


        /*********************
         **  CURVE BUILDING **
         *********************/

            }


            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(),

Examples of org.jquantlib.termstructures.yieldcurves.FraRateHelper

Related Classes of org.jquantlib.termstructures.yieldcurves.FraRateHelper