Package org.jquantlib.time

Examples of org.jquantlib.time.Period

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    public Euribor9M() {
      this(new Handle<YieldTermStructure>());
    }
    public Euribor9M(final Handle<YieldTermStructure> h) {
        super(new Period(9, TimeUnit.Months), h);
    }
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          rule + " DateGeneration::Rule");
      default:
      QL.error("unknown DateGeneration::Rule (" + rule + ")");
    }

    Schedule schedule = new Schedule(startDate, maturityDate_, new Period(couponFrequency),
                calendar_, accrualConvention, accrualConvention,
                rule, endOfMonth, firstDate, nextToLastDate);

    cashflows_ = new IborLeg(schedule, index.currentLink())
            .withNotionals(faceAmount)
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    public EURLibor2M() {
      this(new Handle<YieldTermStructure>());
    }
    public EURLibor2M(final Handle<YieldTermStructure> h) {
        super(new Period(2, TimeUnit.Months), h);
    }
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              new EURegion(),
              revised,
              interpolated,
              false,
              frequency,
              new Period(3, TimeUnit.Months),
              new EURCurrency(),
              termStructure);
     
    }   
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        (fixingDate.eq(todayMinusLag) && !forecastTodaysFixing)) {
       
        @Real double pastFixing = IndexManager.getInstance().getHistory(name()).get(fixingDate);
        QL.require(!(Double.isNaN(pastFixing)) , "Missing " + name() + " fixing for " + fixingDate);
       
        Date previousDate = fixingDate.sub(new Period(1,TimeUnit.Years));
        @Rate double previousFixing = IndexManager.getInstance().getHistory(name()).get(previousDate);
        QL.require(!(Double.isNaN(pastFixing)) , "Missing " + name() + " fixing for " + previousFixing);

        return pastFixing/previousFixing - 1.0;
       
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              new UKRegion(),
              revised,
              interpolated,
              true,
              frequency,
              new Period(2, TimeUnit.Months),
              new GBPCurrency(),
              termStructure);
     
    }   
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    public Euribor2M() {
      this(new Handle<YieldTermStructure>());
    }
    public Euribor2M(final Handle<YieldTermStructure> h) {
        super(new Period(2, TimeUnit.Months), h);
    }
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              new UKRegion(),
              revised,
              interpolated,
              false,
              frequency,
              new Period(2, TimeUnit.Months),
              new GBPCurrency(),
              termStructure);
     
    }   
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    public Euribor8M() {
      this(new Handle<YieldTermStructure>());
    }
    public Euribor8M(final Handle<YieldTermStructure> h) {
        super(new Period(8, TimeUnit.Months), h);
    }
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      super("HICP",
              new EURegion(),
              revised,
              interpolated,
              frequency,
              new Period(3, TimeUnit.Months),
              new EURCurrency(),
              termStructure);
     
    }
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Related Classes of org.jquantlib.time.Period

  • org.jquantlib.cashflow.AverageBMACoupon
  • org.jquantlib.cashflow.FloatingRateCoupon
  • org.jquantlib.daycounters.ActualActual$ImplISMA
  • org.jquantlib.indexes.BMAIndex
  • org.jquantlib.indexes.Euribor
  • org.jquantlib.indexes.Euribor365
  • org.jquantlib.instruments.Bond
  • org.jquantlib.instruments.FloatingRateBond
  • org.jquantlib.instruments.MakeVanillaSwap
  • org.jquantlib.model.shortrate.calibrationhelpers.CapHelper
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