Examples of Period


Examples of org.jquantlib.time.Period

      // actual market values from the evaluation date

      final Frequency freq = Frequency.Semiannual;
      final Schedule sch1 = new Schedule(new Date(31, Month.October, 2004),
                    new Date(31, Month.October, 2006), new Period(freq), bondCalendar,
                    BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted, DateGeneration.Rule.Backward, false);

      final FixedRateBond bond1 = new FixedRateBond(settlementDays, faceAmount, sch1,
                          new double[] {0.025},
                          bondDayCount, BusinessDayConvention.ModifiedFollowing,
                          100.0, new Date(1, Month.November, 2004));

    final PricingEngine bondEngine = new DiscountingBondEngine(discountCurve);

      bond1.setPricingEngine(bondEngine);

      final double marketPrice1 = 99.203125;
      final double marketYield1 = 0.02925;

      final Schedule sch2 = new Schedule(new Date(15, Month.November, 2004),
          new Date(15, Month.November, 2009), new Period(freq), bondCalendar,
          BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted, DateGeneration.Rule.Backward, false);

      final FixedRateBond bond2 = new FixedRateBond(settlementDays, faceAmount, sch2,
                          new double [] {0.035},
                          bondDayCount, BusinessDayConvention.ModifiedFollowing,
                          100.0, new Date(15, Month.November, 2004));

      bond2.setPricingEngine(bondEngine);

      final double marketPrice2 = 99.6875;
      final double marketYield2 = 0.03569;

      // calculated values

      final double cachedPrice1a = 99.204505, cachedPrice2a = 99.687192;
      final double cachedPrice1b = 98.943393, cachedPrice2b = 101.986794;
      final double cachedYield1a = 0.029257,  cachedYield2a = 0.035689;
      final double cachedYield1b = 0.029045,  cachedYield2b = 0.035375;
      final double cachedYield1c = 0.030423,  cachedYield2c = 0.030432;

      // check
      final double tolerance = 1.0e-6;
      double price, yield;

      price = bond1.cleanPrice(marketYield1,
                               bondDayCount, Compounding.Compounded, freq);
      if (Math.abs(price-cachedPrice1a) > tolerance) {
        fail("failed to reproduce cached price:"
                     + "\n    calculated: " + price
                     + "\n    expected:   " + cachedPrice1a
                     + "\n    tolerance:  " + tolerance
                     + "\n    error:      " + (price-cachedPrice1a));
      }

      price = bond1.getCleanPrice();
      if (Math.abs(price-cachedPrice1b) > tolerance) {
        fail("failed to reproduce cached price:"
                     + "\n    calculated: " + price
                     + "\n    expected:   " + cachedPrice1b
                     + "\n    tolerance:  " + tolerance
                     + "\n    error:      " + (price-cachedPrice1b));
      }

      yield = bond1.yield(marketPrice1, bondDayCount, Compounding.Compounded, freq);
      if (Math.abs(yield-cachedYield1a) > tolerance) {
        fail("failed to reproduce cached compounded yield:"
                     + "\n    calculated: " + yield
                     + "\n    expected:   " + cachedYield1a
                     + "\n    tolerance:  " + tolerance
                     + "\n    error:      " + (yield-cachedYield1a));
      }

      yield = bond1.yield(marketPrice1, bondDayCount, Compounding.Continuous, freq);
      if (Math.abs(yield-cachedYield1b) > tolerance) {
        fail("failed to reproduce cached continuous yield:"
                     + "\n    calculated: " + yield
                     + "\n    expected:   " + cachedYield1b
                     + "\n    tolerance:  " + tolerance
                     + "\n    error:      " + (yield-cachedYield1b));
      }

      yield = bond1.yield(bondDayCount, Compounding.Continuous, freq);
      if (Math.abs(yield-cachedYield1c) > tolerance) {
        fail("failed to reproduce cached continuous yield:"
                     + "\n    calculated: " + yield
                     + "\n    expected:   " + cachedYield1c
                     + "\n    tolerance:  " + tolerance
                     + "\n    error:      " + (yield-cachedYield1c));
      }


      price = bond2.cleanPrice(marketYield2, bondDayCount, Compounding.Compounded, freq);
      if (Math.abs(price-cachedPrice2a) > tolerance) {
        fail("failed to reproduce cached price:"
                     + "\n    calculated: " + price
                     + "\n    expected:   " + cachedPrice2a
                     + "\n    tolerance:  " + tolerance
                     + "\n    error:      " + (price-cachedPrice2a));
      }

      price = bond2.getCleanPrice();
      if (Math.abs(price-cachedPrice2b) > tolerance) {
        fail("failed to reproduce cached price:"
                     + "\n    calculated: " + price
                     + "\n    expected:   " + cachedPrice2b
                     + "\n    tolerance:  " + tolerance
                     + "\n    error:      " + (price-cachedPrice2b));
      }

      yield = bond2.yield(marketPrice2, bondDayCount, Compounding.Compounded, freq);
      if (Math.abs(yield-cachedYield2a) > tolerance) {
        fail("failed to reproduce cached compounded yield:"
                     + "\n    calculated: " + yield
                     + "\n    expected:   " + cachedYield2a
                     + "\n    tolerance:  " + tolerance
                     + "\n    error:      " + (yield-cachedYield2a));
      }

      yield = bond2.yield(marketPrice2, bondDayCount, Compounding.Continuous, freq);
      if (Math.abs(yield-cachedYield2b) > tolerance) {
        fail("failed to reproduce cached continuous yield:"
                     + "\n    calculated: " + yield
                     + "\n    expected:   " + cachedYield2b
                     + "\n    tolerance:  " + tolerance
                     + "\n    error:      " + (yield-cachedYield2b));
      }

      yield = bond2.yield(bondDayCount, Compounding.Continuous, freq);
      if (Math.abs(yield-cachedYield2c) > tolerance) {
        fail("failed to reproduce cached continuous yield:"
                     + "\n    calculated: " + yield
                     + "\n    expected:   " + cachedYield2c
                     + "\n    tolerance:  " + tolerance
                     + "\n    error:      " + (yield-cachedYield2c));
      }

      // with explicit settlement date:

      final Schedule sch3 = new Schedule(new Date(30,Month.November,2004),
                    new Date(30,Month.November,2006), new Period(freq),
                    new UnitedStates(UnitedStates.Market.GOVERNMENTBOND),
                    BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted, DateGeneration.Rule.Backward, false);

      final FixedRateBond bond3 = new FixedRateBond(settlementDays, faceAmount, sch3,
                          new double[] {0.02875},
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Examples of org.jquantlib.time.Period

      final double tolerance = 1.0e-6;

      // plain

      final Schedule sch = new Schedule(new Date(30,Month.November,2004),
                   new Date(30,Month.November,2008), new Period(Frequency.Semiannual),
                   new UnitedStates(UnitedStates.Market.GOVERNMENTBOND),
                   BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted, DateGeneration.Rule.Backward, false);

      final FixedRateBond bond1 = new FixedRateBond(settlementDays, faceAmount, sch,
                          new double [] { 0.02875 },
                          new ActualActual(ActualActual.Convention.ISMA),
                          BusinessDayConvention.ModifiedFollowing,
                          100.0, new Date(30,Month.November,2004));

      final PricingEngine bondEngine = new DiscountingBondEngine(discountCurve);
      bond1.setPricingEngine(bondEngine);

      final double cachedPrice1 = 99.298100;

      double price = bond1.getCleanPrice();
      if (Math.abs(price-cachedPrice1) > tolerance) {
          fail("failed to reproduce cached price:\n"
                     + "    calculated: " + price + "\n"
                     + "    expected:   " + cachedPrice1 + "\n"
                     + "    error:      " + (price-cachedPrice1));
      }

      // varying coupons

      final double [] couponRates = new double[] { 0.02875, 0.03, 0.03125, 0.0325 };

      final FixedRateBond bond2 = new FixedRateBond(settlementDays, faceAmount, sch,
                            couponRates,
                            new ActualActual(ActualActual.Convention.ISMA),
                            BusinessDayConvention.ModifiedFollowing,
                            100.0, new Date(30,Month.November,2004));

      bond2.setPricingEngine(bondEngine);

      final double cachedPrice2 = 100.334149;

      price = bond2.getCleanPrice();
      if (Math.abs(price-cachedPrice2) > tolerance) {
          fail("failed to reproduce cached price:\n"
                     + "    calculated: " + price + "\n"
                     + "    expected:   " + cachedPrice2 + "\n"
                     + "    error:      " + (price-cachedPrice2));
      }

      // stub date

      final Schedule sch3 = new Schedule(new Date(30,Month.November,2004),
                    new Date(30,Month.March,2009), new Period(Frequency.Semiannual),
                    new UnitedStates(UnitedStates.Market.GOVERNMENTBOND),
                    BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
                    DateGeneration.Rule.Backward, false,
                    new Date(), new Date(30,Month.November,2008));
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Examples of org.jquantlib.time.Period

          final InterestRate yield = new InterestRate(yields[bondIndex],
                             new Business252(new Brazil()),
                             Compounding.Compounded, Frequency.Annual);

          final Schedule schedule = new Schedule(new Date(1,Month.January,2007),
                            maturityDates[bondIndex], new Period(Frequency.Semiannual),
                            new Brazil(Brazil.Market.SETTLEMENT),
                            BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
                            DateGeneration.Rule.Backward, false);

          // fixed coupons
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Examples of org.jquantlib.time.Period

        QL.require(monthsToEnd > monthsToStart , "monthsToEnd must be greater than monthsToStart"); // QA:[RG]::verified // TODO: message
        this.quote = rate;
        this.monthsToStart = monthsToStart;
        //never take fixing into account
        iborIndex = new IborIndex("no-fix",
                new Period(monthsToEnd - monthsToStart, TimeUnit.Months),
                fixingDays,
                null,
                calendar,
                convention,
                endOfMonth,
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Examples of org.jquantlib.time.Period

        QL.require(monthsToEnd > monthsToStart , "monthsToEnd must be greater than monthsToStart");
        this.monthsToStart = monthsToStart;
        iborIndex = new IborIndex(
                "no-fix", // never take fixing into account
                new Period(monthsToEnd - monthsToStart, TimeUnit.Months),
                fixingDays,
                null,
                calendar,
                convention,
                endOfMonth,
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Examples of org.jquantlib.time.Period

    @Override
    protected void initializeDates() {

        final Date settlement = iborIndex.fixingCalendar().advance(evaluationDate,
           new Period(iborIndex.fixingDays(),TimeUnit.Days), BusinessDayConvention.Following, false);
        earliestDate = iborIndex.fixingCalendar().advance(
                settlement,
                new Period(monthsToStart,TimeUnit.Months),
                iborIndex.businessDayConvention(),
                iborIndex.endOfMonth());
        latestDate = iborIndex.maturityDate(earliestDate);
        fixingDate = iborIndex.fixingDate(earliestDate);
    }
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Examples of org.jquantlib.time.Period

        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,
                endOfMonth);
        yearFraction = dayCounter.yearFraction(earliestDate, latestDate);

        // registerWith(convAdj_);
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Examples of org.jquantlib.time.Period

        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),
                convention,
                endOfMonth);
        yearFraction = dayCounter.yearFraction(earliestDate, latestDate);
    }
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Examples of org.jquantlib.time.Period

    @Override
    public /*@Rate*/ double parRate(final int tenor, final Date startDate, final Frequency freq, final boolean extrapolate) {
        final Date[] dates = new Date[tenor + 1];
        dates[0] = startDate;
        for (int i = 1; i <= tenor; i++) {
            dates[i] = startDate.add(new Period(i, TimeUnit.Years));
        }
        return parRate(dates, freq, extrapolate);
    }
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Examples of org.jquantlib.time.Period

    public static Euribor getEuribor8M(final Handle<YieldTermStructure> h) {
        return new Euribor(new Period(8, TimeUnit.Months), h);
    }

    public static Euribor getEuribor9M(final Handle<YieldTermStructure> h) {
        return new Euribor(new Period(9, TimeUnit.Months), h);
    }
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