Package org.jquantlib.time.calendars

Examples of org.jquantlib.time.calendars.Target

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    public JpyLiborSwapIsdaFixAm(final Period tenor, final Handle<YieldTermStructure> h) {
        super( "JpyLiborSwapIsdaFixAm",
                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)
                   
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        super("EURLibor",
                tenor,
                2, // settlement days
                new EURCurrency(),
                new JointCalendar(new UnitedKingdom(Market.Exchange),
                          new Target(),
                          JointCalendarRule.JoinBusinessDays),
                eurliborConvention(tenor),
                eurliborEOM(tenor),
                new Actual360(),
                h);
        QL.require(tenor().units() != TimeUnit.Days , "for daily tenors dedicated DailyTenor constructor must be used");
       
        this.target = new Target();
    }
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    public EurLiborSwapIfrFix(final Period tenor, final Handle<YieldTermStructure> h) {
        super( "EurLiborSwapIfrFix",
                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 void compute(final int nTimeSteps, final int nSamples) {

        if (System.getProperty("EXPERIMENTAL") == null)
            throw new UnsupportedOperationException("Work in progress");

        final Calendar calendar = new Target();
        final Date today = Date.todaysDate();
        final DayCounter dayCount = new Actual365Fixed();
        final Handle<Quote> stateVariable = new Handle(new SimpleQuote(s0_.doubleValue()));
        final Handle<YieldTermStructure> riskFreeRate = new Handle(new FlatForward(today, r_.doubleValue(), dayCount));
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     * @param referenceDate
     * @param dc
     * @see YieldTermStructure#YieldTermStructure(Date, Calendar, DayCounter)
     */
    protected AbstractYieldTermStructure(final Date referenceDate, final DayCounter dc) {
        super(referenceDate, new Target(), dc);
    }
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     *
     * @param referenceDate
     * @see YieldTermStructure#YieldTermStructure(Date, Calendar, DayCounter)
     */
    protected AbstractYieldTermStructure(final Date referenceDate) {
        super(referenceDate, new Target(), new Actual365Fixed());
    }
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     * @param settlementDays
     * @param dc
     * @see YieldTermStructure#YieldTermStructure(int, Calendar, DayCounter)
     */
    protected AbstractYieldTermStructure(final int settlementDays, final DayCounter dc) {
        super(settlementDays, new Target(), dc);
    }
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     *
     * @param settlementDays
     * @see YieldTermStructure#YieldTermStructure(int, Calendar, DayCounter)
     */
    protected AbstractYieldTermStructure(final int settlementDays) {
        super(settlementDays, new Target(), new Actual365Fixed());
    }
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    public EuriborSwapIsdaFixB(final Period tenor, final Handle<YieldTermStructure> h) {
        super( "EuriborSwapIsdaFixB",
                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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    public Euribor365(final Period tenor, final Handle<YieldTermStructure> h) {
        super("Euribor365", tenor,
                2, // settlement days
                new EURCurrency(),
                new Target(),
                euriborConvention(tenor),
                euriborEOM(tenor),
                new Actual365Fixed(),
                h);
        QL.require(this.tenor().units() != TimeUnit.Days , "for daily tenors dedicated DailyTenor constructor must be used"); // TODO: message
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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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