Package org.jquantlib.time

Examples of org.jquantlib.time.IMM

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            final DayCounter dayCounter,
            final Handle<Quote> convAdj) {
        super(price);
        QL.validateExperimentalMode();

        QL.require(new IMM().isIMMdate(immDate, false) , "not a valid IMM date"); // QA:[RG]::verified // TODO: message
        earliestDate = immDate;
        latestDate = calendar.advance(
                immDate,
                new Period(nMonths, TimeUnit.Months),
                convention,
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            final DayCounter dayCounter,
            final double conv) {
        super(price);
        QL.validateExperimentalMode();

        QL.require(new IMM().isIMMdate(immDate, false) , "not a valid IMM date"); // QA:[RG]::verified // TODO: message
        convAdj = new Handle<Quote>(new SimpleQuote(conv));
        earliestDate = immDate;
        latestDate = calendar.advance(
                immDate,
                new Period(nMonths, TimeUnit.Months),
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            final IborIndex i,
            final double conv) {
        super(price);
        QL.validateExperimentalMode();

        QL.require(new IMM().isIMMdate(immDate, false) , "not a valid IMM date"); // QA:[RG]::verified // TODO: message
        convAdj = new Handle<Quote>(new SimpleQuote(conv));
        earliestDate = immDate;
        final Calendar cal = i.fixingCalendar();
        latestDate = cal.advance(immDate, i.tenor(), i.businessDayConvention());
        yearFraction = i.dayCounter().yearFraction(earliestDate, latestDate);
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                        final DayCounter dayCounter,
                        final Handle<Quote> convAdj) {
    super(price);
    this.convAdj = convAdj;

    QL.require(new IMM().isIMMdate(immDate, false), NOT_A_VALID_IMM_DATE);

    earliestDate = immDate;
    latestDate = calendar.advance(immDate, new Period(lengthInMonths,
        TimeUnit.Months), convention, endOfMonth);
    yearFraction = dayCounter.yearFraction(earliestDate, latestDate);
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                        final DayCounter dayCounter,
                        final/* Rate */double convAdj) {
    super(price);
    this.convAdj = new Handle<Quote>(new SimpleQuote(convAdj));

    QL.require(new IMM().isIMMdate(immDate, false), NOT_A_VALID_IMM_DATE);

    earliestDate = immDate;
    latestDate = calendar.advance(immDate, new Period(lengthInMonths,
        TimeUnit.Months), convention, endOfMonth);
    yearFraction = dayCounter.yearFraction(earliestDate, latestDate);
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                          final Handle<Quote> convAdj) {

    super(price);
    this.convAdj = convAdj;

    QL.require(new IMM().isIMMdate(immDate, false), NOT_A_VALID_IMM_DATE);

    this.earliestDate = immDate;
    this.latestDate = i.fixingCalendar().advance(immDate, i.tenor(),
        i.businessDayConvention());
    this.yearFraction = i.dayCounter().yearFraction(this.earliestDate,
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                              final IborIndex i,
                              final /* Rate */ double convAdj) {
        super(price);  
        this.convAdj = new Handle<Quote>(new SimpleQuote(convAdj));
       
        QL.require(new IMM().isIMMdate(immDate, false) , NOT_A_VALID_IMM_DATE);
       
        earliestDate = immDate;
        final Calendar cal = i.fixingCalendar();
        latestDate = cal.advance(immDate, i.tenor(), i.businessDayConvention());
        yearFraction = i.dayCounter().yearFraction(earliestDate, latestDate);
View Full Code Here
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Related Classes of org.jquantlib.time.IMM

  • org.jquantlib.Settings
  • org.jquantlib.termstructures.yieldcurves.FuturesRateHelper
  • org.jquantlib.util.Date
  • org.jquantlib.util.Month
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