Examples of org.jquantlib.termstructures.YieldTermStructure.forwardRate()

Class org.jquantlib.termstructures.YieldTermStructure

Examples of org.jquantlib.termstructures.YieldTermStructure.forwardRate()

org.jquantlib.termstructures.YieldTermStructure.forwardRate()
Returns the implied forward interest rate between two dates or times. In the former case, times are calculated as fractions of year from the reference date. The resulting interest rate has the required day-counting rule.
Dates are not adjusted for holidays @category forward rates

        /* @Diffusion */final double sigma = diffusion(t, x);
        // we could be more anticipatory if we know the right dt
        // for which the drift will be used
        /* @Time */final double t1 = t + 0.0001;
        final YieldTermStructure yts = riskFreeRate.currentLink();
        /* @Rate */final double r = yts.forwardRate(t, t1, Compounding.Continuous, Frequency.NoFrequency, true).rate();


        final YieldTermStructure divTs = dividendYield.currentLink();
        final double d = divTs.forwardRate(t, t1, Compounding.Continuous, Frequency.NoFrequency, true).rate();
        return r - d - 0.5 * sigma * sigma;
    }

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        /* @Time */final double t1 = t + 0.0001;
        final YieldTermStructure yts = riskFreeRate.currentLink();
        /* @Rate */final double r = yts.forwardRate(t, t1, Compounding.Continuous, Frequency.NoFrequency, true).rate();


        final YieldTermStructure divTs = dividendYield.currentLink();
        final double d = divTs.forwardRate(t, t1, Compounding.Continuous, Frequency.NoFrequency, true).rate();
        return r - d - 0.5 * sigma * sigma;
    }


    @Override
    public/* @Diffusion */double diffusion(

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        //Calculating discount factor
        System.out.println("The discount factor for the date 30 days from today is = "+flatforward.discount(date30.clone()));


        //Calculating forward rate
        System.out.println("The forward rate between the date 30 days from today to 50 days from today is = "+flatforward.forwardRate(date30.clone(), date50.clone(), new Actual365Fixed(), Compounding.Continuous).rate());


        //Calculating parRate for the dates as shown below-
        final Date[] dates = { date10.clone(), date20.clone(), date30.clone(), date40.clone(), date50.clone() };
        System.out.println("The par rate for the bond having coupon dates as shown above is = "+flatforward.parRate(dates, Frequency.Semiannual, false));

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