Package org.jquantlib.time

Examples of org.jquantlib.time.Date.clone()

158
159
160
161
162
163
164
165
166
167
168
            }
        }

        moreArgs.creditSpread = creditSpread_;
        moreArgs.issueDate = issueDate_.clone();
        moreArgs.settlementDate = settlement.clone();
        moreArgs.settlementDays = settlementDays_;
        moreArgs.redemption = redemption_;
    }

View Full Code Here
199
200
201
202
203
204
205
206
207
208
209
        //Now let's get the same holiday list between dateToday and dateAdvanced using isBusinessDay API
        final List<Date> holidayListObtainedUsingCalAPI = new ArrayList<Date>();
        final Date start = dateToday.clone();
        for (; !start.eq(dateAdvanced); start.inc()) {
            if (jointCalendar.isHoliday(start)){
                holidayListObtainedUsingCalAPI.add(start.clone());
            }
        }

        //Essentially both the lists obtained above are same
        if(listOfHoliDays.equals(holidayListObtainedUsingCalAPI)){
View Full Code Here
84
85
86
87
88
89
90
91
92
93
94
        final RelinkableHandle<Quote>  handleToStockQuote = new RelinkableHandle<Quote>(stockQuote);

        //Creating black volatility term structure

        //Following is the time axis
        final Date[] dates = { date10.clone(), date15.clone(), date20.clone(), date25.clone(), date30.clone(), date40.clone() };

        //Following is the volatility axis
        final double[] volatilities = {0.1,0.2,0.3,0.4,0.5,0.6};

        //Following is the curve
View Full Code Here
62
63
64
65
66
67
68
69
70
71
72
        //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));
View Full Code Here
954
955
956
957
958
959
960
961
962
963
964
                }
                discount *= y.discountFactor(settlement, couponDate, lastDate, couponDate);
            } else {
                discount *= y.discountFactor(lastDate, couponDate);
            }
            lastDate = couponDate.clone();

            price += amount * discount;
        }
        return price / faceAmount * 100.0;
    }
View Full Code Here
65
66
67
68
69
70
71
72
73
74
75
        //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));

        //Calculating zero rate
        System.out.println("The zero rate for the bond having coupon date as 10 days from today = "+flatforward.zeroRate(date10.clone(), new Actual365Fixed(), Compounding.Continuous).rate());
View Full Code Here
83
84
85
86
87
88
89
90
91
92
93
        //Calculating discount factor.This termstructure adds the spread as specified by the spread quote and then calculates the discount.
        System.out.println("The discount factor for the date 30 days from today is = "+forwardSpreadedTermStructure.discount(date30.clone()));

        //Calculating forward rate.This termstructure adds the spread as specified by the spread quote and then calculates the discount.
        System.out.println("The forward rate between the date 30 days from today to 50 days from today is = "+forwardSpreadedTermStructure.forwardRate(date30.clone(), date50.clone(), new Actual365Fixed(), Compounding.Continuous).rate());

        //Calculating parRate for the dates(as used in the FlatForward case) as shown below-
        System.out.println("The par rate for the bond having coupon dates as shown above is = "+forwardSpreadedTermStructure.parRate(dates, Frequency.Semiannual, false));

        //Calculating zero rate.This termstructure adds the spread as specified by the spread quote and then calculates the discount.
View Full Code Here
131
132
133
134
135
136
137
138
139
140
141
        final List<Date> fixingDates = new ArrayList<Date>(futureFixings);
        final int dt = (int) (360.0 / (futureFixings) + 0.5);
        fixingDates.add(today.clone().addAssign(dt));
        for (int j = 1; j < futureFixings; j++) {
            final Date prevDate = fixingDates.get(j - 1);
            fixingDates.add(prevDate.clone().addAssign(dt));
        }

        QL.info("Average Dates:\n");
        for (final Date d : fixingDates) {
            QL.info(d.toString());
View Full Code Here
211
212
213
214
215
216
217
218
219
220
221
                    final Date d = today.clone();
                    final Period THREEMONTH = new Period(3, TimeUnit.Months);
                    d.addAssign(new Period(3, TimeUnit.Months));
                    for (d.addAssign(THREEMONTH); d.le(maturity.lastDate()); d.addAssign(THREEMONTH)) {
                        fixingDates.add(d.clone());
                    }

                    final PricingEngine engine = new AnalyticDiscreteGeometricAveragePriceAsianEngine(process);

                    final DiscreteAveragingAsianOption option = new DiscreteAveragingAsianOption(
View Full Code Here
TOP
Copyright © 2018 www.massapi.com. All rights reserved.
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.