Package org.jquantlib.indexes

Examples of org.jquantlib.indexes.IborIndex.dayCounter()

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                                      .schedule();


            final BMASwap swap = new BMASwap(BMASwap.Type.Payer, 100.0,
                               liborSchedule, 0.75, 0.0,
                               libor3m, libor3m.dayCounter(),
                               bmaSchedule, bma, vars.bmaDayCounter);
            swap.setPricingEngine(new DiscountingSwapEngine(libor3m.termStructure()));

            /*@Real*/ final double expectedFraction = bmaData[i].rate/100;
            /*@Real*/ final double estimatedFraction = swap.fairLiborFraction();
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                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]);
                instruments[i+deposits] = new
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