List of cleanPrice() Examples

Examples of cleanPrice()

Examples of org.jquantlib.instruments.bonds.FixedRateBond.cleanPrice()


          for (final double yield : yields) {


            rate.setValue(yield);


            final double price = bond.cleanPrice(yield, bondDayCount, Compounding.Continuous, frequency);
            final double calculatedPrice = bond.cleanPrice();


            if (Math.abs(price-calculatedPrice) > tolerance) {
              fail(
                  "price calculation failed:"

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Examples of org.jquantlib.instruments.bonds.FixedRateBond.cleanPrice()

          for (final double yield : yields) {


            rate.setValue(yield);


            final double price = bond.cleanPrice(yield, bondDayCount, Compounding.Continuous, frequency);
            final double calculatedPrice = bond.cleanPrice();


            if (Math.abs(price-calculatedPrice) > tolerance) {
              fail(
                  "price calculation failed:"
                  + "\n    issue:     " + issue

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Examples of org.jquantlib.instruments.bonds.FixedRateBond.cleanPrice()

                     + "\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

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Examples of org.jquantlib.instruments.bonds.FixedRateBond.cleanPrice()

                     + "\n    expected:   " + cachedPrice2a
                     + "\n    tolerance:  " + tolerance
                     + "\n    error:      " + (price-cachedPrice2a));
      }


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

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Examples of org.jquantlib.instruments.bonds.FixedRateBond.cleanPrice()

      final double marketYield3 = 0.02997;


      final Date settlementDate = new Date(30,Month.November,2004);
      final double cachedPrice3 = 99.764874;


      price = bond3.cleanPrice(marketYield3,
                               bondDayCount, Compounding.Compounded, freq, settlementDate);
      if (Math.abs(price-cachedPrice3) > tolerance) {
        fail("failed to reproduce cached price:"
                     + "\n    calculated: " + price + ""
                     + "\n    expected:   " + cachedPrice3 + ""

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Examples of org.jquantlib.instruments.bonds.FixedRateBond.cleanPrice()

      // this should give the same result since the issue date is the
      // earliest possible settlement date


      settings.setEvaluationDate(new Date(22,Month.November,2004));


      price = bond3.cleanPrice(marketYield3, bondDayCount, Compounding.Compounded, freq);
      if (Math.abs(price-cachedPrice3) > tolerance) {
        fail("failed to reproduce cached price:"
                     + "\n    calculated: " + price + ""
                     + "\n    expected:   " + cachedPrice3 + ""
                     + "\n    error:      " + (price-cachedPrice3));

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Examples of org.jquantlib.instruments.bonds.FixedRateBond.cleanPrice()

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


      final double cachedPrice1 = 99.298100;


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

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Examples of org.jquantlib.instruments.bonds.FixedRateBond.cleanPrice()


      bond2.setPricingEngine(bondEngine);


      final double cachedPrice2 = 100.334149;


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

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Examples of org.jquantlib.instruments.bonds.FixedRateBond.cleanPrice()


      bond3.setPricingEngine(bondEngine);


      final double cachedPrice3 = 100.382794;


      price = bond3.cleanPrice();
      if (Math.abs(price-cachedPrice3) > tolerance) {
          fail("failed to reproduce cached price:\n"
                     + "    calculated: " + price + "\n"
                     + "    expected:   " + cachedPrice3 + "\n"
                     + "    error:      " + (price-cachedPrice3));

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Examples of org.jquantlib.instruments.bonds.FloatingRateBond.cleanPrice()

               +  "  " + floatingRateBond.NPV());
                
        System.out.println("Clean Price      "
            + "  " +zeroCouponBond.cleanPrice()
            + "  " +fixedRateBond.cleanPrice()
            + "  " + floatingRateBond.cleanPrice()
            );
        
        System.out.println("Dirty price      "
              + " " + zeroCouponBond.dirtyPrice()
              + " " + fixedRateBond.dirtyPrice()

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