Examples of IborIndex

com.opengamma.analytics.financial.instrument.index.IborIndex
Class describing an Ibor-like index.
org.jquantlib.indexes.IborIndex
Base class for Inter-Bank-Offered-Rate indexes (e.g. %Libor, etc.) @author Srinivas Hasti

Examples of com.opengamma.analytics.financial.instrument.index.IborIndex

      final DayCount dayCount = DayCountFactory.INSTANCE.getDayCount(message.getString(DAY_COUNT_FIELD));
      final BusinessDayConvention businessDayConvention = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention(message.getString(BUSINESS_DAY_CONVENTION_FIELD));
      final boolean isEOM = message.getBoolean(EOM_FIELD);
      final Period tenor = Period.parse(message.getString(TENOR_FIELD));
      final String name = message.getString(NAME_FIELD);
      return new IborIndex(currency, tenor, spotLag, dayCount, businessDayConvention, isEOM, name);
    }

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Examples of org.jquantlib.indexes.IborIndex

     */
    @Override
    //TODO: solve macros
    protected void initializeDates() {
        // dummy ibor index with curve/swap arguments
        final IborIndex clonedIborIndex = iborIndex.clone(this.termStructureHandle);


        // do not pass the spread here, as it might be a Quote i.e. it can dinamically change
        this.swap = new MakeVanillaSwap(tenor, clonedIborIndex, 0.0, fwdStart)
        .withFixedLegDayCount(fixedDayCount)
        .withFixedLegTenor(new Period(fixedFrequency))

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Examples of org.jquantlib.indexes.IborIndex


        QL.require(monthsToEnd > monthsToStart , "monthsToEnd must be greater than monthsToStart"); // QA:[RG]::verified // TODO: message
        this.quote = rate;
        this.monthsToStart = monthsToStart;
        //never take fixing into account
        iborIndex = new IborIndex("no-fix",
                new Period(monthsToEnd - monthsToStart, TimeUnit.Months),
                fixingDays,
                null,
                calendar,
                convention,

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Examples of org.jquantlib.indexes.IborIndex

        super(rate);
        QL.validateExperimentalMode();


        QL.require(monthsToEnd > monthsToStart , "monthsToEnd must be greater than monthsToStart");
        this.monthsToStart = monthsToStart;
        iborIndex = new IborIndex(
                "no-fix", // never take fixing into account
                new Period(monthsToEnd - monthsToStart, TimeUnit.Months),
                fixingDays,
                null,
                calendar,

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Examples of org.jquantlib.indexes.IborIndex

        super(rate);
        QL.validateExperimentalMode();


        this.quote = rate;
        this.monthsToStart = monthsToStart;
        iborIndex = new IborIndex(
                "no-fix", // never take fixing into account
                i.tenor(), i.fixingDays(), null, i.fixingCalendar(), i.businessDayConvention(),
                i.endOfMonth(), i.dayCounter(), termStructureHandle);
        initializeDates();

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Examples of org.jquantlib.indexes.IborIndex

                final boolean endOfMonth,
                final DayCounter dayCounter) {
        super(rate);
        QL.validateExperimentalMode();


        this.iborIndex = new IborIndex(
                      "no-fix", // never take fixing into account
                      tenor, fixingDays,
                      new Currency(), calendar, convention,
                      endOfMonth, dayCounter, termStructureHandle);
        initializeDates();

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Examples of org.jquantlib.indexes.IborIndex

                final boolean endOfMonth,
                final DayCounter dayCounter) {
        super(rate);
        QL.validateExperimentalMode();


        this.iborIndex = new IborIndex(
                      "no-fix", // never take fixing into account
                      tenor, fixingDays,
                      new Currency(), calendar, convention,
                      endOfMonth, dayCounter, termStructureHandle);
        initializeDates();

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Examples of org.jquantlib.indexes.IborIndex

                final Handle<Quote> rate,
                final IborIndex iborIndex) {
        super(rate);
        QL.validateExperimentalMode();


        this.iborIndex = new IborIndex(
                      "no-fix", // never take fixing into account
                      iborIndex.tenor(), iborIndex.fixingDays(), new Currency(),
                      iborIndex.fixingCalendar(), iborIndex.businessDayConvention(),
                      iborIndex.endOfMonth(), iborIndex.dayCounter(), termStructureHandle);
        initializeDates();

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Examples of org.jquantlib.indexes.IborIndex

                /*@Rate*/ final double  rate,
                final IborIndex i) {
        super(rate);
        QL.validateExperimentalMode();


        this.iborIndex = new IborIndex(
                      "no-fix", // never take fixing into account
                      i.tenor(), i.fixingDays(), new Currency(),
                      i.fixingCalendar(), i.businessDayConvention(),
                      i.endOfMonth(), i.dayCounter(), termStructureHandle);
        initializeDates();

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Examples of org.jquantlib.indexes.IborIndex

                final Calendar calendar,
                final BusinessDayConvention convention,
                final boolean endOfMonth,
                final DayCounter dayCounter) {
        super(rate);
        this.iborIndex = new IborIndex(
                      "no-fix", // never take fixing into account
                      tenor, fixingDays,
                      new Currency(), calendar, convention,
                      endOfMonth, dayCounter, termStructureHandle);
        initializeDates();

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