Examples of org.jquantlib.termstructures.yieldcurves.SwapRateHelper

Package org.jquantlib.termstructures.yieldcurves

Examples of org.jquantlib.termstructures.yieldcurves.SwapRateHelper

org.jquantlib.termstructures.yieldcurves.SwapRateHelper
Rate helper for bootstrapping over swap rates @author Richard Gomes

//        final IborIndex swFloatingLegIndex = new Euribor6M(new Handle<YieldTermStructure>(nullYieldTermStructure));




        final Period forwardStart = new Period(1, TimeUnit.Days);
        
        final RateHelper s2y = new SwapRateHelper(
              new Handle<Quote>(s2yRate), 
              new Period(2, TimeUnit.Years),
              calendar, 
              swFixedLegFrequency,
              swFixedLegConvention, 
              swFixedLegDayCounter,
              swFloatingLegIndex, 
              new Handle<Quote>(),
              forwardStart);
         final RateHelper s3y = new SwapRateHelper(
                 new Handle<Quote>(s3yRate), 
                 new Period(3, TimeUnit.Years),
                 calendar, 
                 swFixedLegFrequency,
                 swFixedLegConvention, 
                 swFixedLegDayCounter,              
                 swFloatingLegIndex, 
                 new Handle<Quote>(),
                 forwardStart);
        final RateHelper  s5y = new SwapRateHelper(
                new Handle<Quote>(s5yRate), 
                new Period(5, TimeUnit.Years),
                calendar, 
                swFixedLegFrequency,
                swFixedLegConvention, 
                swFixedLegDayCounter,
                swFloatingLegIndex, 
                new Handle<Quote>(),
                forwardStart);
        final RateHelper s10y = new SwapRateHelper(
                new Handle<Quote>(s10yRate), 
                new Period(10, TimeUnit.Years),
                calendar, 
                swFixedLegFrequency,
                swFixedLegConvention, 
                swFixedLegDayCounter,
                swFloatingLegIndex, 
                new Handle<Quote>(),
                forwardStart);
        final RateHelper  s15y = new SwapRateHelper(
                new Handle<Quote>(s15yRate), 
                new Period(15, TimeUnit.Years),
                calendar, 
                swFixedLegFrequency,
                swFixedLegConvention,

View Full Code Here

      final RateHelper[] swapHelpers = new RateHelper[vars.swaps];
      final IborIndex euribor6m = new Euribor6M();


      for (int i=0; i<vars.swaps; i++) {
          final Handle<Quote> r = new Handle<Quote>(vars.rates[i+vars.deposits]);
          swapHelpers[i] = new SwapRateHelper(
                         r, new Period(swapData[i].n, swapData[i].units),
                             vars.calendar,
                             vars.fixedLegFrequency, vars.fixedLegConvention,
                             vars.fixedLegDayCounter, euribor6m);
      }

View Full Code Here

      vars.instruments = new RateHelper[vars.swaps];


      final IborIndex index = new JPYLibor(new Period(6, TimeUnit.Months));
      for (int i=0; i<vars.swaps; i++) {
          final Handle<Quote> r = new Handle<Quote>(vars.rates[i]);
          vars.instruments[i] = new SwapRateHelper(
                        r, new Period(swapData[i].n, swapData[i].units),
                        vars.calendar,                         // TODO: code review on this line!!!!
                        vars.fixedLegFrequency, vars.fixedLegConvention,
                                  vars.fixedLegDayCounter, index);
      }

View Full Code Here

                                      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);
            }

View Full Code Here

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

org.jquantlib.cashflow.FloatingRateCoupon

org.jquantlib.indexes.IborIndex

org.jquantlib.instruments.MakeVanillaSwap

org.jquantlib.samples.Bonds

org.jquantlib.Settings

org.jquantlib.testsuite.termstructures.yieldcurves.PiecewiseYieldCurveTest

org.jquantlib.testsuite.termstructures.yieldcurves.PiecewiseYieldCurveTest$CommonVars

org.jquantlib.time.Date

org.jquantlib.time.Period

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