List of evaluationDate() Examples

Examples of evaluationDate()

org.jquantlib.Settings.evaluationDate()
@return the value of field evaluationDate

Examples of org.jquantlib.Settings.evaluationDate()

        if (isInArrears())
            return index_.fixing(fixingDate());
        else {
            final Handle<YieldTermStructure> termStructure = index_.termStructure();
            QL.require(termStructure != null , NULL_TERM_STRUCTURE);  // QA:[RG]::verified
            final Date today = settings.evaluationDate();
            final Date fixing_date = fixingDate();
            final IndexManager indexManager = IndexManager.getInstance();
            if (fixing_date.lt(today)) {
                final double pastFixing = indexManager.get (index_.name()).get(fixing_date);
                QL.require(!Double.isNaN(pastFixing), "Missing fixing"); // TODO: message

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Examples of org.jquantlib.Settings.evaluationDate()

        if (isInArrears())
            return index_.fixing(fixingDate());
        else {
            final Handle<YieldTermStructure> termStructure = index_.termStructure();
            QL.require(termStructure != null , NULL_TERM_STRUCTURE);  // QA:[RG]::verified
            final Date today = settings.evaluationDate();
            final Date fixing_date = fixingDate();
            final IndexManager indexManager = IndexManager.getInstance();
            if (fixing_date.lt(today)) {
                final double pastFixing = indexManager.getHistory(index_.name()).get(fixing_date);
                QL.require(!Double.isNaN(pastFixing), "Missing fixing"); // TODO: message

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Examples of org.jquantlib.Settings.evaluationDate()

      exerciseDate_ = d;
      dc_ = dc;
      isFloating_ = referenceDate.isNull();
      if (isFloating_) {
        final Settings settings = new Settings();
        settings.evaluationDate().addObserver(this);
        reference_ = settings.evaluationDate();
      } else
            reference_ = referenceDate;
      initializeExerciseTime();
    }

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Examples of org.jquantlib.Settings.evaluationDate()

      dc_ = dc;
      isFloating_ = referenceDate.isNull();
      if (isFloating_) {
        final Settings settings = new Settings();
        settings.evaluationDate().addObserver(this);
        reference_ = settings.evaluationDate();
      } else
            reference_ = referenceDate;
      initializeExerciseTime();
    }

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Examples of org.jquantlib.Settings.evaluationDate()


    @Override
    public void update() {
        if (isFloating_) {
            final Settings settings = new Settings();
            reference_ = settings.evaluationDate();
            initializeExerciseTime();
        }


    }

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Examples of org.jquantlib.Settings.evaluationDate()

    }


    @Override
    public double theta() {
        final Settings settings = new Settings();
        final Date evalDate = settings.evaluationDate();
        // perturb date and get theta
        final Date yesterday = evalDate.sub(1);
        final Date tomorrow  = evalDate.add(1);
        final double dT = dc.yearFraction(yesterday, tomorrow);
        settings.setEvaluationDate(yesterday);

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