Examples of org.jquantlib.time.Calendar.adjust()

org.jquantlib.time.Calendar.adjust()
Adjusts a non-business day to the appropriate near business day with respect to the given convention.
Assumes convention BusinessDayConvention.Following @note The input date is not modified


            if (i == 0 && !schedule.isRegular(i + 1)) {
                refStart = calendar.adjust(end.sub(schedule.tenor()), paymentAdj);
            }
            if (i == n - 1 && !schedule.isRegular(i + 1)) {
                refEnd = calendar.adjust(start.add(schedule.tenor()), paymentAdj);
            }
            if (Detail.get(gearings, i, 1.0) == 0.0) {
                add(new FixedRateCoupon(
                        Detail.get(nominals, i, 1.0),
                        paymentDate,

View Full Code Here

        // the following is not always correct
        final Calendar calendar = schedule_.calendar();


        // first period might be short or long
        Date start = schedule_.date(0), end = schedule_.date(1);
        Date paymentDate = calendar.adjust(end, paymentAdjustment_);
        InterestRate rate = couponRates_[0];
        /*@Real*/ double nominal = notionals_[0];
        if (schedule_.isRegular(1)) {
            // TODO: code review :: please verify against QL/C++ code
            QL.require(firstPeriodDayCounter_==null || !firstPeriodDayCounter_.equals(paymentDayCounter_) , "regular first coupon does not allow a first-period day count"); // QA:[RG]::verified // TODO: message

View Full Code Here

            // TODO: code review :: please verify against QL/C++ code
            QL.require(firstPeriodDayCounter_==null || !firstPeriodDayCounter_.equals(paymentDayCounter_) , "regular first coupon does not allow a first-period day count"); // QA:[RG]::verified // TODO: message
            leg.add(new FixedRateCoupon(nominal, paymentDate, rate, paymentDayCounter_, start, end, start, end));
        } else {
            Date ref = end.sub(schedule_.tenor());
            ref = calendar.adjust(ref, schedule_.businessDayConvention());
            // FIXME: empty() method on dayCounter missing --> substituted by == null (probably incorrect)
            final DayCounter dc = (firstPeriodDayCounter_ == null) ? paymentDayCounter_ : firstPeriodDayCounter_;
            leg.add(new FixedRateCoupon(nominal, paymentDate, rate, dc, start, end, ref, end));
        }
        // regular periods

View Full Code Here

        }
        // regular periods
        for (int i = 2; i < schedule_.size() - 1; ++i) {
            start = end;
            end = schedule_.date(i);
            paymentDate = calendar.adjust(end, paymentAdjustment_);
            if ((i - 1) < couponRates_.length) {
                rate = couponRates_[i - 1];
            } else {
                rate = couponRates_[couponRates_.length - 1];
            }

View Full Code Here

        if (schedule_.size() > 2) {
            // last period might be short or long
            final int N = schedule_.size();
            start = end;
            end = schedule_.date(N - 1);
            paymentDate = calendar.adjust(end, paymentAdjustment_);
            if ((N - 2) < couponRates_.length) {
                rate = couponRates_[N - 2];
            } else {
                rate = couponRates_[couponRates_.length - 1];
            }

View Full Code Here

            }
            if (schedule_.isRegular(N - 1)) {
                leg.add(new FixedRateCoupon(nominal, paymentDate, rate, paymentDayCounter_, start, end, start, end));
            } else {
                Date ref = start.add(schedule_.tenor());
                ref = calendar.adjust(ref, schedule_.businessDayConvention());
                leg.add(new FixedRateCoupon(nominal, paymentDate, rate, paymentDayCounter_, start, end, start, ref));
            }
        }
        return leg;
    }

View Full Code Here


        for (int i=0; i<n; ++i) {
            refStart = start = schedule.date(i);
            refEnd   =   end = schedule.date(i+1);
            final Date paymentDate =
                isZero ? lastPaymentDate : calendar.adjust(end, paymentAdj);
            if (i==0   && !schedule.isRegular(i+1)) {
                final BusinessDayConvention bdc = schedule.businessDayConvention();
                refStart = calendar.adjust(end.sub(schedule.tenor()), bdc);
            }
            if (i==n-1 && !schedule.isRegular(i+1)) {

View Full Code Here

            refEnd   =   end = schedule.date(i+1);
            final Date paymentDate =
                isZero ? lastPaymentDate : calendar.adjust(end, paymentAdj);
            if (i==0   && !schedule.isRegular(i+1)) {
                final BusinessDayConvention bdc = schedule.businessDayConvention();
                refStart = calendar.adjust(end.sub(schedule.tenor()), bdc);
            }
            if (i==n-1 && !schedule.isRegular(i+1)) {
                final BusinessDayConvention bdc = schedule.businessDayConvention();
                refEnd = calendar.adjust(start.add(schedule.tenor()), bdc);
            }

View Full Code Here

                final BusinessDayConvention bdc = schedule.businessDayConvention();
                refStart = calendar.adjust(end.sub(schedule.tenor()), bdc);
            }
            if (i==n-1 && !schedule.isRegular(i+1)) {
                final BusinessDayConvention bdc = schedule.businessDayConvention();
                refEnd = calendar.adjust(start.add(schedule.tenor()), bdc);
            }
            if (get(gearings, i, 1.0) == 0.0) { // fixed coupon
                add(new FixedRateCoupon(get(nominals, i, 1.0),
                                    paymentDate,
                                    effectiveFixedRate(spreads,caps,floors,i),

View Full Code Here

          refStart = schedule.date(i);
          start = schedule.date(i);
          
          refEnd = schedule.date(i+1);
          end = schedule.date(i+1);
          paymentDate = calendar.adjust(end, paymentAdjustment);
          
          if (i == 0 && !schedule.isRegular(i+1)) {
            refStart = calendar.adjust(end.sub(schedule.tenor()),
                                   paymentAdjustment);
          }

View Full Code Here

0 1 2 3 4

TOP

All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.