Package org.jquantlib.termstructures.yieldcurves

Examples of org.jquantlib.termstructures.yieldcurves.FlatForward.discount()

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        final Date today = new Settings().evaluationDate();

        for (int i=0; i<days.length; i++) {
            final Date anotherDay = today.add(days[i]);
            expected[i] = localTermStructure.discount(anotherDay);
        }

        final Date nextMonth = today.add(30);
        new Settings().setEvaluationDate(nextMonth);
        /*@DiscountFactor*/ final double[] calculated = new /*@DiscountFactor*/ double[days.length];
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        new Settings().setEvaluationDate(nextMonth);
        /*@DiscountFactor*/ final double[] calculated = new /*@DiscountFactor*/ double[days.length];

        for (int i=0; i<days.length; i++) {
            final Date anotherDay = nextMonth.add(days[i]);
            calculated[i] = localTermStructure.discount(anotherDay);
        }

        for (int i=0; i<days.length; i++) {
            if (!Closeness.isClose(expected[i],calculated[i])) {
                fail("\n  Discount at " + days[i] + " days:\n"
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        final Date date40 = today.clone().addAssign(40);
        final Date date50 = today.clone().addAssign(50);


        //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-
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        final Date today = new Settings().evaluationDate();

        for (int i=0; i<days.length; i++) {
            final Date anotherDay = today.add(days[i]);
            expected[i] = localTermStructure.discount(anotherDay);
        }

        final Date nextMonth = today.add(30);
        new Settings().setEvaluationDate(nextMonth);
        /*@DiscountFactor*/ final double[] calculated = new /*@DiscountFactor*/ double[days.length];
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        new Settings().setEvaluationDate(nextMonth);
        /*@DiscountFactor*/ final double[] calculated = new /*@DiscountFactor*/ double[days.length];

        for (int i=0; i<days.length; i++) {
            final Date anotherDay = nextMonth.add(days[i]);
            calculated[i] = localTermStructure.discount(anotherDay);
        }

        for (int i=0; i<days.length; i++) {
            if (!Closeness.isClose(expected[i],calculated[i])) {
                fail("\n  Discount at " + days[i] + " days:\n"
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