Package org.jquantlib.time.calendars

Examples of org.jquantlib.time.calendars.Target

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    public EurLiborSwapIsdaFixB(final Period tenor, final Handle<YieldTermStructure> h) {
        super( "EurLiborSwapIsdaFixB",
                tenor,
                2, // settlement days
                new EURCurrency(),
                new Target(),
                new Period(1,TimeUnit.Years),
                BusinessDayConvention.ModifiedFollowing,
                new Thirty360(Thirty360.Convention.BondBasis),
                tenor.gt(new Period(1,TimeUnit.Years)) ? new EURLibor(new Period(6,TimeUnit.Months), h):
                                      new EURLibor(new Period(3,TimeUnit.Months), h)
View Full Code Here
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    public JpyLiborSwapIsdaFixPm(final Period tenor, final Handle<YieldTermStructure> h) {
        super( "JpyLiborSwapIsdaFixPm",
                tenor,
                2, // settlement days
                new JPYCurrency(),
                new Target(),
                new Period(6,TimeUnit.Months),
                BusinessDayConvention.ModifiedFollowing,
                new ActualActual(ActualActual.Convention.ISDA),
                new JPYLibor(new Period(6,TimeUnit.Months), h)
                   
View Full Code Here
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    public EurLiborSwapIsdaFixA(final Period tenor, final Handle<YieldTermStructure> h) {
        super( "EurLiborSwapIsdaFixA",
                tenor,
                2, // settlement days
                new EURCurrency(),
                new Target(),
                new Period(1,TimeUnit.Years),
                BusinessDayConvention.ModifiedFollowing,
                new Thirty360(Thirty360.Convention.BondBasis),
                tenor.gt(new Period(1,TimeUnit.Years)) ? new EURLibor(new Period(6,TimeUnit.Months), h):
                                      new EURLibor(new Period(3,TimeUnit.Months), h)
View Full Code Here
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                new EURCurrency(),
                // http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1412 :
                // no o/n or s/n fixings (as the case may be) will take place
                // when the principal centre of the currency concerned is
                // closed but London is open on the fixing day.
                new Target(),
                eurliborConvention(new Period (1,TimeUnit.Days)),
                eurliborEOM(new Period (1,TimeUnit.Days)),
                new Actual360(),
                h);
    }
View Full Code Here
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        final StopClock clock = new StopClock();
        clock.startClock();

        // set up dates
        final Calendar calendar = new Target();
        final Date todaysDate = new Date(15, Month.May, 1998);
        final Date settlementDate = new Date(17, Month.May, 1998);
        new Settings().setEvaluationDate(todaysDate);

        // our options
View Full Code Here
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    public EuriborSwapIsdaFixA(final Period tenor, final Handle<YieldTermStructure> h) {
        super( "EuriborSwapIsdaFixA",
                tenor,
                2, // settlement days
                new EURCurrency(),
                new Target(),
                new Period(1,TimeUnit.Years),
                BusinessDayConvention.ModifiedFollowing,
                new Thirty360(Thirty360.Convention.BondBasis),
                tenor.gt(new Period(1,TimeUnit.Years)) ? new Euribor(new Period(6,TimeUnit.Months), h):
                                      new Euribor(new Period(3,TimeUnit.Months), h)
View Full Code Here
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      super(familyName,
          new Period(1,TimeUnit.Days),
          settlementDays,
          currency,
              new JointCalendar(new UnitedKingdom(Market.Exchange),
              new Target(),
              JointCalendarRule.JoinBusinessDays),
          liborConvention(new Period(1,TimeUnit.Days)),
          liborEOM(new Period(1,TimeUnit.Days)),
          dayCounter,
          h);
View Full Code Here
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    public ChfLiborSwapIsdaFix(final Period tenor, final Handle<YieldTermStructure> h) {
        super( "ChfLiborSwapIsdaFix",
                tenor,
                2, // settlement days
                new CHFCurrency(),
                new Target(),
                new Period(1,TimeUnit.Years),
                BusinessDayConvention.ModifiedFollowing,
                new Thirty360(Thirty360.Convention.BondBasis),
                tenor.gt(new Period(1,TimeUnit.Years)) ? new CHFLibor(new Period(6,TimeUnit.Months), h):
                                      new CHFLibor(new Period(3,TimeUnit.Months), h)
View Full Code Here
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    public Euribor(final Period tenor, final Handle<YieldTermStructure> h) {
        super("Euribor",
                tenor,
                2, // settlement days
                new EURCurrency(),
                new Target(),
                euriborConvention(tenor),
                euriborEOM(tenor),
                new Actual360(),
                h);
        QL.require(tenor().units() != TimeUnit.Days , "for daily tenors dedicated DailyTenor constructor must be used");
View Full Code Here
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    public EuriborSwapIfrFix(final Period tenor, final Handle<YieldTermStructure> h) {
        super( "EuriborSwapIfrFix",
                tenor,
                2, // settlement days
                new EURCurrency(),
                new Target(),
                new Period(1,TimeUnit.Years),
                BusinessDayConvention.ModifiedFollowing,
                new Thirty360(Thirty360.Convention.BondBasis),
                tenor.gt(new Period(1,TimeUnit.Years)) ? new Euribor(new Period(6,TimeUnit.Months), h):
                                      new Euribor(new Period(3,TimeUnit.Months), h)
View Full Code Here
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Related Classes of org.jquantlib.time.calendars.Target

  • org.jquantlib.indexes.ChfLiborSwapIsdaFix
  • org.jquantlib.indexes.DailyTenorEuribor
  • org.jquantlib.indexes.DailyTenorEuribor365
  • org.jquantlib.indexes.DailyTenorEURLibor
  • org.jquantlib.indexes.Euribor
  • org.jquantlib.indexes.Euribor365
  • org.jquantlib.indexes.EuriborSwapIfrFix
  • org.jquantlib.indexes.EuriborSwapIsdaFixA
  • org.jquantlib.indexes.EuriborSwapIsdaFixB
  • org.jquantlib.indexes.EURLibor
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