Package org.jquantlib.time.calendars

Examples of org.jquantlib.time.calendars.Target$Impl

100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
        final int settlementDays = 3;
        final int length = 5;
        final double redemption = 100.0;
        final double conversionRatio = redemption/underlying;

        final Calendar calendar = new Target();
        //adjust today to the next business day...
        final Date today = calendar.adjust(Date.todaysDate());
        QL.info("Today's date is adjusted by the default business day convention is: " + today.shortDate());
        // set the evaluation date to the adjusted today's date
        new Settings().setEvaluationDate(today);
        QL.info("Set the global evaluation date to the adjusted today's date: " + today.shortDate());

        //Set up settlement, exercise and issue dates
        final Date settlementDate = calendar.advance(today, settlementDays, TimeUnit.Days);
        QL.info("SettlementDate is: " + settlementDate.shortDate());
        QL.info("Check that we haven't messed up with references --> today's date is still: " + today.shortDate());
        final Date exerciseDate = calendar.advance(settlementDate, length, TimeUnit.Years);
        QL.info("Excercise date is: " + exerciseDate.shortDate());
        final Date issueDate = calendar.advance(exerciseDate, -length, TimeUnit.Years);
        QL.info("Issue date is: " + issueDate.shortDate());

        //Fix business day convention and compounding?? frequency
        final BusinessDayConvention convention = BusinessDayConvention.ModifiedFollowing;
        final Frequency frequency = Frequency.Annual;
View Full Code Here
47
48
49
50
51
52
53
54
55
56
57
    public DailyTenorEuribor(final int settlementDays, final Handle<YieldTermStructure> h) {
        super("Euribor",
                new Period(1,TimeUnit.Days),
                settlementDays, // settlement days
                new EURCurrency(),
                new Target(),
                euriborConvention(new Period(1,TimeUnit.Days)),
                euriborEOM(new Period(1,TimeUnit.Days)),
                new Actual360(),
                h);
      }
View Full Code Here
46
47
48
49
50
51
52
53
54
55
56
    public DailyTenorEuribor365(final int settlementDays, final Handle<YieldTermStructure> h) {
        super("Euribor",
                new Period(1,TimeUnit.Days),
                settlementDays, // settlement days
                new EURCurrency(),
                new Target(),
                euriborConvention(new Period(1,TimeUnit.Days)),
                euriborEOM(new Period(1,TimeUnit.Days)),
                new Actual365Fixed(),
                h);
      }
View Full Code Here
71
72
73
74
75
76
77
78
79
80
81
        else throw new IllegalArgumentException("Invalid option type");

        Exercise europeanExercise = new EuropeanExercise(maturityDate);
        Payoff payoff = new PlainVanillaPayoff(type, strike);

        final Calendar calendar = new Target();
        Handle<Quote> underlyingH = new Handle<Quote>(new SimpleQuote(underlying));
        Handle<YieldTermStructure> flatDividendTS = new Handle<YieldTermStructure>(new FlatForward(settlementDate, dividendYield, dayCounter));
        Handle<YieldTermStructure> flatTermStructure = new Handle<YieldTermStructure>(new FlatForward(settlementDate, riskFreeRate, dayCounter));
        Handle<BlackVolTermStructure> flatVolTS = new Handle<BlackVolTermStructure>(new BlackConstantVol(settlementDate, calendar, volatility, dayCounter));
View Full Code Here
241
242
243
244
245
246
247
248
249
250
251
    //public IndexHistoryCleaner cleaner;

   
    public CommonVars() {
      // data
      calendar = new Target();
      settlementDays = 2;
     
      today = calendar.adjust(Date.todaysDate());
      new Settings().setEvaluationDate(today);
     
View Full Code Here
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
    @Test
    public void testEndOfMonth() {
        QL.info("Testing end-of-month calculation...");

        final Calendar c = new Target(); // any calendar would be OK

        Date eom;
        final Date counter = Date.minDate();
        final Date last = Date.maxDate().sub(new Period(2, TimeUnit.Months));

        while (counter.le(last)) {
            eom = c.endOfMonth(counter);
            // check that eom is eom
            if (!c.isEndOfMonth(eom)) {
                Assert.fail(String.format("%s %s %s is not the last business day in %s according to %s",
                        eom.weekday(), eom.dayOfMonth(), eom.month(), eom.year(), c.name() ));
            }
            // check that eom is in the same month as counter
            if (eom.month()!=counter.month()) {
                Assert.fail(String.format("%s is not the same month as %s", eom, counter ));
            }
View Full Code Here
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
    @Test
    public void testJointCalendars() {

      System.out.println("Testing joint calendars...");

        Calendar c1 = new Target(),
                 c2 = new UnitedKingdom(),
                 c3 = new UnitedStates(UnitedStates.Market.NYSE),
                 c4 = new Japan();

        Calendar c12h = new JointCalendar(c1,c2,JointCalendarRule.JoinHolidays),
                 c12b = new JointCalendar(c1,c2,JointCalendarRule.JoinBusinessDays),
                 c123h = new JointCalendar(c1,c2,c3,JointCalendarRule.JoinHolidays),
                 c123b = new JointCalendar(c1,c2,c3,JointCalendarRule.JoinBusinessDays),
                 c1234h = new JointCalendar(c1,c2,c3,c4,JointCalendarRule.JoinHolidays),
                 c1234b = new JointCalendar(c1,c2,c3,c4,JointCalendarRule.JoinBusinessDays);

        // test one year, starting today
        Date firstDate = Date.todaysDate(),
             endDate = firstDate.add(new Period(1, TimeUnit.Years));

        for (Date d = firstDate; d.lt(endDate); d.inc()) {

            boolean b1 = c1.isBusinessDay(d),
                 b2 = c2.isBusinessDay(d),
                 b3 = c3.isBusinessDay(d),
                 b4 = c4.isBusinessDay(d);

            if ((b1 && b2) != c12h.isBusinessDay(d))
View Full Code Here
73
74
75
76
77
78
79
80
81
82
83

    public TermStructuresTest() {
        QL.info("::::: "+this.getClass().getSimpleName()+" :::::");

        this.calendar = new Target();
        this.settlementDays = 2;
        this.termStructure = null;
        this.dummyTermStructure = null;

        //FIXME: remove comments when PiecewiseYieldCurve becomes available
View Full Code Here
217
218
219
220
221
222
223
224
225
226
227
    public void testImpliedObs() {
        QL.info("Testing observability of implied term structure...");

        final Date today = new Settings().evaluationDate();
        final Date newToday = today.add(Period.ONE_YEAR_FORWARD.mul(3));
        final Date newSettlement = new Target().advance(newToday, settlementDays, TimeUnit.Days);

        //FIXME:: Fix RelinkableHandle. The initialization of "h" should be:
        //
        //        final RelinkableHandle<YieldTermStructure> h = new RelinkableHandle<YieldTermStructure>(YieldTermStructure.class);
        //
View Full Code Here
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
    }


    @Test
    public void testSchedule() {
        final Calendar calendar = new Target();
        final Period maturity = new Period(30, TimeUnit.Years);
        final Date maturityDate = startDate.add(maturity);
        final Period accPeriodTenor = new Period(6, TimeUnit.Months);
        final BusinessDayConvention modFollow = BusinessDayConvention.ModifiedFollowing;
        final DateGeneration.Rule dateRule = DateGeneration.Rule.Backward;

        final Schedule firstConstrSchedule = new Schedule(
                startDate, maturityDate, accPeriodTenor,
                calendar, modFollow, modFollow,
                dateRule, false, null, null);

        final List<Date> dates = new ArrayList<Date>();
        dates.add(startDate);
        dates.add(calendar.advance(startDate, new Period(10, TimeUnit.Weeks),modFollow));

        final Schedule secondConstrSchedule = new Schedule(dates, calendar, modFollow);

        testDateAfter(firstConstrSchedule);
        testDateAfter(secondConstrSchedule);
View Full Code Here
TOP

Related Classes of org.jquantlib.time.calendars.Target$Impl

  • com.google.gwt.dom.client.Element
  • com.google.gwt.dom.client.TableElement
  • com.google.gwt.dom.client.TableRowElement
  • com.google.gwt.dom.client.TableSectionElement
  • com.google.gwt.user.client.Command
  • com.google.gwt.user.client.Element
  • com.google.gwt.user.client.ui.MultiWordSuggestOracle
  • com.hp.hpl.jena.datatypes.xsd.XSDDateTime
  • com.hp.hpl.jena.graph.impl.LiteralLabel
  • com.opengamma.engine.value.ValueProperties
    • 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.