Examples of Euribor3M


Examples of org.jquantlib.indexes.Euribor3M

                  new Date[0],
                                    1.0e-12,
                                    interpolator);
        curveHandle.linkTo(vars.termStructure);

        final IborIndex euribor3m = new Euribor3M(curveHandle);
        for (int i=0; i<vars.fras; i++) {
            final Date start = vars.calendar.advance(vars.settlement,
                                           fraData[i].n,
                                           fraData[i].units,
                                           euribor3m.businessDayConvention(),
                                           euribor3m.endOfMonth());
            final Date end = vars.calendar.advance(start, 3, TimeUnit.Months,
                                             euribor3m.businessDayConvention(),
                                             euribor3m.endOfMonth());

            final ForwardRateAgreement fra = new ForwardRateAgreement(start, end, Position.Long,
                                      fraData[i].rate/100, 100.0,
                                      euribor3m, curveHandle);
            /*@Rate*/ final double expectedRate  = fraData[i].rate/100;
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