Examples of EURCurrency

Examples of org.jquantlib.currencies.Europe.EURCurrency

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    public EurLiborSwapIsdaFixA(final Period tenor, final Handle<YieldTermStructure> h) {
        super( "EurLiborSwapIsdaFixA",
                tenor,
                2, // settlement days
                new EURCurrency(),
                new Target(),
                new Period(1,TimeUnit.Years),
                BusinessDayConvention.ModifiedFollowing,
                new Thirty360(Thirty360.Convention.BondBasis),
                tenor.gt(new Period(1,TimeUnit.Years)) ? new EURLibor(new Period(6,TimeUnit.Months), h):
View Full Code Here

Examples of org.jquantlib.currencies.Europe.EURCurrency

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    public DailyTenorEURLibor(final int settlementDays, final Handle<YieldTermStructure> h) {
        super(  "EURLibor",
                new Period (1,TimeUnit.Days),
                settlementDays,
                new EURCurrency(),
                // http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1412 :
                // no o/n or s/n fixings (as the case may be) will take place
                // when the principal centre of the currency concerned is
                // closed but London is open on the fixing day.
                new Target(),
View Full Code Here

Examples of org.jquantlib.currencies.Europe.EURCurrency

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    public EuriborSwapIsdaFixA(final Period tenor, final Handle<YieldTermStructure> h) {
        super( "EuriborSwapIsdaFixA",
                tenor,
                2, // settlement days
                new EURCurrency(),
                new Target(),
                new Period(1,TimeUnit.Years),
                BusinessDayConvention.ModifiedFollowing,
                new Thirty360(Thirty360.Convention.BondBasis),
                tenor.gt(new Period(1,TimeUnit.Years)) ? new Euribor(new Period(6,TimeUnit.Months), h):
View Full Code Here

Examples of org.jquantlib.currencies.Europe.EURCurrency

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          liborConvention(new Period(1,TimeUnit.Days)),
          liborEOM(new Period(1,TimeUnit.Days)),
          dayCounter,
          h);
     
    QL.require(!currency.eq(new EURCurrency()), "for EUR Libor dedicated EurLibor constructor must be used");
   
  } 
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Examples of org.jquantlib.currencies.Europe.EURCurrency

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        financialCenterCalendar,
        JointCalendarRule.JoinHolidays);
    QL.require(this.tenor().units()!= TimeUnit.Days,
        "for daily tenors (" + this.tenor() + ") dedicated DailyTenor constructor must be used");

    QL.require(!currency.eq(new EURCurrency()), "for EUR Libor dedicated EurLibor constructor must be used");
  }
View Full Code Here

Examples of org.jquantlib.currencies.Europe.EURCurrency

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    public Euribor(final Period tenor, final Handle<YieldTermStructure> h) {
        super("Euribor",
                tenor,
                2, // settlement days
                new EURCurrency(),
                new Target(),
                euriborConvention(tenor),
                euriborEOM(tenor),
                new Actual360(),
                h);
View Full Code Here

Examples of org.jquantlib.currencies.Europe.EURCurrency

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    public EuriborSwapIfrFix(final Period tenor, final Handle<YieldTermStructure> h) {
        super( "EuriborSwapIfrFix",
                tenor,
                2, // settlement days
                new EURCurrency(),
                new Target(),
                new Period(1,TimeUnit.Years),
                BusinessDayConvention.ModifiedFollowing,
                new Thirty360(Thirty360.Convention.BondBasis),
                tenor.gt(new Period(1,TimeUnit.Years)) ? new Euribor(new Period(6,TimeUnit.Months), h):
View Full Code Here

Examples of org.jquantlib.currencies.Europe.EURCurrency

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    public EURLibor(final Period tenor, final Handle<YieldTermStructure> h) {
        super("EURLibor",
                tenor,
                2, // settlement days
                new EURCurrency(),
                new JointCalendar(new UnitedKingdom(Market.Exchange),
                          new Target(),
                          JointCalendarRule.JoinBusinessDays),
                eurliborConvention(tenor),
                eurliborEOM(tenor),
View Full Code Here

Examples of org.jquantlib.currencies.Europe.EURCurrency

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    public EurLiborSwapIfrFix(final Period tenor, final Handle<YieldTermStructure> h) {
        super( "EurLiborSwapIfrFix",
                tenor,
                2, // settlement days
                new EURCurrency(),
                new Target(),
                new Period(1,TimeUnit.Years),
                BusinessDayConvention.ModifiedFollowing,
                new Thirty360(Thirty360.Convention.BondBasis),
                tenor.gt(new Period(1,TimeUnit.Years)) ? new EURLibor(new Period(6,TimeUnit.Months), h):
View Full Code Here

Examples of org.jquantlib.currencies.Europe.EURCurrency

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    public EuriborSwapIsdaFixB(final Period tenor, final Handle<YieldTermStructure> h) {
        super( "EuriborSwapIsdaFixB",
                tenor,
                2, // settlement days
                new EURCurrency(),
                new Target(),
                new Period(1,TimeUnit.Years),
                BusinessDayConvention.ModifiedFollowing,
                new Thirty360(Thirty360.Convention.BondBasis),
                tenor.gt(new Period(1,TimeUnit.Years)) ? new Euribor(new Period(6,TimeUnit.Months), h):
View Full Code Here
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