Package org.jquantlib.instruments

Examples of org.jquantlib.instruments.FixedRateBond.yield()

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                      sch,
                  new double[] { coupons[k] }, bondDayCount, paymentConvention, redemption, issue);

              for (int m = 0; m < (yields).length; m++) {
                final double price = bond.cleanPrice(yields[m], bondDayCount, compounding[n], frequencies[l]);
                final double calculated = bond.yield(
                        price,
                        bondDayCount,
                        compounding[n],
                        frequencies[l],
                        new Date(),
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                  + "\n    expected:    " + price
                  + "\n    calculated': " + calculatedPrice
                  + "\n    error':      " + (price-calculatedPrice));
            }

            final double calculatedYield = bond.yield(
                bondDayCount, Compounding.Continuous, frequency,
                tolerance, maxEvaluations);
            if (Math.abs(yield-calculatedYield) > tolerance) {
                            fail(
                  "yield calculation failed:"
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                     + "\n    expected:   " + cachedPrice2b
                     + "\n    tolerance:  " + tolerance
                     + "\n    error:      " + (price-cachedPrice2b));
      }

      yield = bond2.yield(marketPrice2, bondDayCount, Compounding.Compounded, freq);
      if (Math.abs(yield-cachedYield2a) > tolerance) {
        fail("failed to reproduce cached compounded yield:"
                     + "\n    calculated: " + yield
                     + "\n    expected:   " + cachedYield2a
                     + "\n    tolerance:  " + tolerance
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                     + "\n    expected:   " + cachedYield2a
                     + "\n    tolerance:  " + tolerance
                     + "\n    error:      " + (yield-cachedYield2a));
      }

      yield = bond2.yield(marketPrice2, bondDayCount, Compounding.Continuous, freq);
      if (Math.abs(yield-cachedYield2b) > tolerance) {
        fail("failed to reproduce cached continuous yield:"
                     + "\n    calculated: " + yield
                     + "\n    expected:   " + cachedYield2b
                     + "\n    tolerance:  " + tolerance
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                     + "\n    expected:   " + cachedYield2b
                     + "\n    tolerance:  " + tolerance
                     + "\n    error:      " + (yield-cachedYield2b));
      }

      yield = bond2.yield(bondDayCount, Compounding.Continuous, freq);
      if (Math.abs(yield-cachedYield2c) > tolerance) {
        fail("failed to reproduce cached continuous yield:"
                     + "\n    calculated: " + yield
                     + "\n    expected:   " + cachedYield2c
                     + "\n    tolerance:  " + tolerance
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