Examples of endOfMonth()

Examples of org.jquantlib.indexes.Euribor.endOfMonth()

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                final Handle<Quote> r = new Handle<Quote>(rates[i]);
                instruments[i] = new
                    DepositRateHelper(r, new Period(depositData[i].n,depositData[i].units),
                                      euribor6m.fixingDays(), calendar,
                                      euribor6m.businessDayConvention(),
                                      euribor6m.endOfMonth(),
                                      euribor6m.dayCounter());
            }

            for (int i=0; i<swaps; i++) {
                final Handle<Quote> r = new Handle<Quote>(rates[i+deposits]);
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Examples of org.jquantlib.indexes.Euribor.endOfMonth()

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                fraHelpers[i] = new
                    FraRateHelper(r, fraData[i].n, fraData[i].n + 3,
                                  euribor3m.fixingDays(),
                                  euribor3m.fixingCalendar(),
                                  euribor3m.businessDayConvention(),
                                  euribor3m.endOfMonth(),
                                  euribor3m.dayCounter());
            }

            for (int i=0; i<bonds; i++) {
                final Handle<Quote> p = new Handle<Quote>(prices[i]);
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Examples of org.jquantlib.indexes.Euribor3M.endOfMonth()

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        for (int i=0; i<vars.fras; i++) {
            final Date start = vars.calendar.advance(vars.settlement,
                                           fraData[i].n,
                                           fraData[i].units,
                                           euribor3m.businessDayConvention(),
                                           euribor3m.endOfMonth());
            final Date end = vars.calendar.advance(start, 3, TimeUnit.Months,
                                             euribor3m.businessDayConvention(),
                                             euribor3m.endOfMonth());

            final ForwardRateAgreement fra = new ForwardRateAgreement(start, end, Position.Long,
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Examples of org.jquantlib.indexes.Euribor3M.endOfMonth()

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                                           fraData[i].units,
                                           euribor3m.businessDayConvention(),
                                           euribor3m.endOfMonth());
            final Date end = vars.calendar.advance(start, 3, TimeUnit.Months,
                                             euribor3m.businessDayConvention(),
                                             euribor3m.endOfMonth());

            final ForwardRateAgreement fra = new ForwardRateAgreement(start, end, Position.Long,
                                      fraData[i].rate/100, 100.0,
                                      euribor3m, curveHandle);
            /*@Rate*/ final double expectedRate  = fraData[i].rate/100;
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Examples of org.jquantlib.indexes.IborIndex.endOfMonth()

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        for (int i=0; i<vars.fras; i++) {
            final Date start = vars.calendar.advance(vars.settlement,
                                           fraData[i].n,
                                           fraData[i].units,
                                           euribor3m.businessDayConvention(),
                                           euribor3m.endOfMonth());
            final Date end = vars.calendar.advance(start, 3, TimeUnit.Months,
                                             euribor3m.businessDayConvention(),
                                             euribor3m.endOfMonth());

            final ForwardRateAgreement fra = new ForwardRateAgreement(start, end, Position.Long,
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Examples of org.jquantlib.indexes.IborIndex.endOfMonth()

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                                           fraData[i].units,
                                           euribor3m.businessDayConvention(),
                                           euribor3m.endOfMonth());
            final Date end = vars.calendar.advance(start, 3, TimeUnit.Months,
                                             euribor3m.businessDayConvention(),
                                             euribor3m.endOfMonth());

            final ForwardRateAgreement fra = new ForwardRateAgreement(start, end, Position.Long,
                                      fraData[i].rate/100, 100.0,
                                      euribor3m, curveHandle);
            /*@Rate*/ final double expectedRate  = fraData[i].rate/100;
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Examples of org.jquantlib.indexes.IborIndex.endOfMonth()

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            final Schedule liborSchedule = new MakeSchedule(vars.settlement,
                                                      vars.settlement.add(tenor),
                                                      libor3m.tenor(),
                                                      libor3m.fixingCalendar(),
                                                      libor3m.businessDayConvention())
                                      .endOfMonth(libor3m.endOfMonth())
                                      .backwards()
                                      .schedule();


            final BMASwap swap = new BMASwap(BMASwap.Type.Payer, 100.0,
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Examples of org.jquantlib.indexes.IborIndex.endOfMonth()

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                final Handle<Quote> r = new Handle<Quote>(rates[i]);
                instruments[i] = new
                    DepositRateHelper(r, new Period(depositData[i].n,depositData[i].units),
                                      euribor6m.fixingDays(), calendar,
                                      euribor6m.businessDayConvention(),
                                      euribor6m.endOfMonth(),
                                      euribor6m.dayCounter());
            }

            for (int i=0; i<swaps; i++) {
                final Handle<Quote> r = new Handle<Quote>(rates[i+deposits]);
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Examples of org.jquantlib.indexes.ibor.USDLibor.endOfMonth()

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            final Schedule liborSchedule = new MakeSchedule(vars.settlement,
                                                      vars.settlement.add(tenor),
                                                      libor3m.tenor(),
                                                      libor3m.fixingCalendar(),
                                                      libor3m.businessDayConvention())
                                      .endOfMonth(libor3m.endOfMonth())
                                      .backwards()
                                      .schedule();


            final BMASwap swap = new BMASwap(BMASwap.Type.Payer, 100.0,
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Examples of org.jquantlib.time.Calendar.endOfMonth()

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        Date eom;
        final Date counter = Date.minDate();
        final Date last = Date.maxDate().sub(new Period(2, TimeUnit.Months));

        while (counter.le(last)) {
            eom = c.endOfMonth(counter);
            // check that eom is eom
            if (!c.isEndOfMonth(eom)) {
                Assert.fail(String.format("%s %s %s is not the last business day in %s according to %s",
                        eom.weekday(), eom.dayOfMonth(), eom.month(), eom.year(), c.name() ));
            }
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