Examples of DayCounter


        final Date paymentDate = cf.date();
        boolean firstCouponFound = false;
        /*@Real*/double nominal = Constants.NULL_REAL;
        /*@Time*/double accrualPeriod = Constants.NULL_REAL;
        DayCounter dc = null;


        /*@Rate*/double result = 0.0;


        // QL starts at the next cashflow and only continues to the one after to
        // check that it isn't the same date. Also stop at the penultimate flow. The last flow
        // is not a Coupon
        final int startIndex = cashflows_.indexOf(cf);
        for (final CashFlow flow : Iterables.unmodifiableIterable(cashflows_.listIterator(startIndex))) {
            if (flow.date().ne(paymentDate)) {
                break;
            }
            //TODO: code review: should the last element be excluded?
            final Coupon cp = (Coupon)flow;
            if (cp != null) {
                if (firstCouponFound) {
                    assert(nominal       == cp.nominal() &&
                            accrualPeriod == cp.accrualPeriod() &&
                            //FIXME: implement equals for dayCounters!
                            dc.getClass()            == cp.dayCounter().getClass()):
                                "cannot aggregate accrued amount of two " +
                                "different coupons on "+ paymentDate.toString();
                } else {
                    firstCouponFound = true;
                    nominal = cp.nominal();

        this.accrualEndTimes_ = new ArrayList<Double>(size_);
        this.accrualPeriod_ = new ArrayList<Double>(size_);
        this.m1 = new Array(size_);
        this.m2 = new Array(size_);


        final DayCounter dayCounter = index_.dayCounter();
        final List<CashFlow> flows = null /* cashFlows() */; // FIXME: translate cashFlows();


        QL.require(this.size_ == flows.size() , wrong_number_of_cashflows); // QA:[RG]::verified // TODO: message


        final Date settlement = index_.termStructure().currentLink().referenceDate();
        final Date startDate = ((IborCoupon) flows.get(0)).fixingDate();
        for (int i = 0; i < size_; ++i) {
            final IborCoupon coupon = (IborCoupon) flows.get(i);
            QL.require(coupon.date().eq(coupon.accrualEndDate()) , irregular_coupon_types); // QA:[RG]::verified // TODO: message


            initialValues_.set(i, coupon.rate());
            accrualPeriod_.set(i, coupon.accrualPeriod());


            fixingDates_.set(i, coupon.fixingDate());
            fixingTimes_.set(i, dayCounter.yearFraction(startDate, coupon.fixingDate()));
            accrualStartTimes_.set(i, dayCounter.yearFraction(settlement, coupon.accrualStartDate()));
            accrualEndTimes_.set(i, dayCounter.yearFraction(settlement, coupon.accrualEndDate()));
        }
    }

Examples of DayCounter

Examples of org.jquantlib.daycounters.DayCounter

Examples of org.jquantlib.daycounters.DayCounter