Examples of PiecewiseYieldCurve

org.jquantlib.termstructures.yieldcurves.PiecewiseYieldCurve

Piecewise yield term structure

This term structure is bootstrapped on a number of interest rate instruments which are passed as a vector of handles to RateHelper instances. Their maturities mark the boundaries of the interpolated segments.

Each segment is determined sequentially starting from the earliest period to the latest and is chosen so that the instrument whose maturity marks the end of such segment is correctly repriced on the curve. @note The bootstrapping algorithm will raise an exception if any two instruments have the same maturity date. @category yieldtermstructures @author Richard Gomes


      QL.info("Testing observability of piecewise yield curve...");


      final CommonVars vars = new CommonVars();


      vars.termStructure = new PiecewiseYieldCurve(
                      Discount.class, LogLinear.class, IterativeBootstrap.class,
                      vars.settlementDays,
                      vars.calendar,
                          vars.instruments,
                          new Actual360());

                             vars.calendar,
                             vars.fixedLegFrequency, vars.fixedLegConvention,
                             vars.fixedLegDayCounter, euribor6m);
      }


      vars.termStructure = new PiecewiseYieldCurve(
                  Discount.class, LogLinear.class, IterativeBootstrap.class, 
                  vars.settlement, 
                  swapHelpers, 
                          new Actual360());

                        vars.calendar,                         // TODO: code review on this line!!!!
                        vars.fixedLegFrequency, vars.fixedLegConvention,
                                  vars.fixedLegDayCounter, index);
      }
      
      vars.termStructure = new PiecewiseYieldCurve(
                      Discount.class, LogLinear.class, IterativeBootstrap.class, 
                                      vars.settlement, vars.instruments,
                                      new Actual360(),
                    new Handle/*<Quote>*/[0],
                    new Date[0],

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Examples of PiecewiseYieldCurve

Examples of org.jquantlib.termstructures.yieldcurves.PiecewiseYieldCurve

Examples of org.jquantlib.termstructures.yieldcurves.PiecewiseYieldCurve

Examples of org.jquantlib.termstructures.yieldcurves.PiecewiseYieldCurve