Examples of IborLeg

Examples of org.jquantlib.cashflow.IborLeg

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      final double redemption) {
    super(exercise, conversionRatio, dividends, callability, creditSpread,
          issueDate, settlementDays, dayCounter, schedule, redemption);

        // notional forcibly set to 100
        this.cashflows_ = new IborLeg(schedule, index)
        .withPaymentDayCounter(dayCounter)
        .withNotionals(100.0)
        .withPaymentAdjustment(schedule.businessDayConvention())
        .withFixingDays(fixingDays)
        .withSpreads(new Array(spreads)).Leg();
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Examples of org.jquantlib.cashflow.IborLeg

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      final double redemption,
      final Date issueDate) {
    super(settlementDays, schedule.calendar(), issueDate);
    maturityDate_ = schedule.endDate();

    cashflows_ = new IborLeg(schedule, index)
    .withNotionals(faceAmount)
    .withPaymentDayCounter(paymentDayCounter)
    .withPaymentAdjustment(paymentConvention)
    .withFixingDays(fixingDays)
    .withGearings(gearings)
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Examples of org.jquantlib.cashflow.IborLeg

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    final Schedule schedule = new Schedule(startDate, maturityDate_, new Period(couponFrequency),
        calendar_, accrualConvention, accrualConvention,
        rule, endOfMonth,
        firstDate, nextToLastDate);

    cashflows_ = new IborLeg(schedule, index.currentLink())
    .withNotionals(faceAmount)
    .withPaymentDayCounter(accrualDayCounter)
    .withPaymentAdjustment(paymentConvention)
    .withFixingDays(fixingDays)
    .withGearings(gearings)
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Examples of org.jquantlib.cashflow.IborLeg

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        .withCouponRates(fixedRate)
        .withPaymentAdjustment(paymentConvention)
        .Leg();

        // JM where are gearings set they cannot be null for the floating leg.
        final Leg floatingLeg = new IborLeg(floatingSchedule, iborIndex)
        .withNotionals(nominal)
        .withPaymentDayCounter(floatingDayCount)
        .withPaymentAdjustment(paymentConvention)

        //FIXME:: .withFixingDays (fixingDays) // FIXME: slight deviation from quantlib, need to expose fixing days up the stack
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Examples of org.jquantlib.cashflow.IborLeg

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        this.liborFraction = liborFraction;
        this.liborSpread = liborSpread;

        final BusinessDayConvention convention = liborSchedule.businessDayConvention();
       
        final Leg iborLeg = new IborLeg(liborSchedule, liborIndex)
                      .withNotionals(nominal)
                      .withPaymentDayCounter(liborDayCount)
                      .withPaymentAdjustment(convention)
                      .withFixingDays(liborIndex.fixingDays())
                      .withGearings(liborFraction)
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Examples of org.jquantlib.cashflow.IborLeg

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      final double redemption) {
    super(exercise, conversionRatio, dividends, callability, creditSpread,
          issueDate, settlementDays, dayCounter, schedule, redemption);

        // notional forcibly set to 100
        this.cashflows_ = new IborLeg(schedule, index)
        .withPaymentDayCounter(dayCounter)
        .withNotionals(100.0)
        .withPaymentAdjustment(schedule.businessDayConvention())
        .withFixingDays(fixingDays)
        .withSpreads(new Array(spreads)).Leg();
View Full Code Here

Examples of org.jquantlib.cashflow.IborLeg

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      final Date issueDate) {

    super(settlementDays, schedule.calendar(), issueDate);
    maturityDate_ = schedule.endDate().clone();

    cashflows_ = new IborLeg(schedule, index)
            .withNotionals(faceAmount)
            .withPaymentDayCounter(paymentDayCounter)
            .withPaymentAdjustment(paymentConvention)
            .withFixingDays(fixingDays)
            .withGearings(gearings)
View Full Code Here

Examples of org.jquantlib.cashflow.IborLeg

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    Schedule schedule = new Schedule(startDate, maturityDate_, new Period(couponFrequency),
                calendar_, accrualConvention, accrualConvention,
                rule, endOfMonth, firstDate, nextToLastDate);

    cashflows_ = new IborLeg(schedule, index.currentLink())
            .withNotionals(faceAmount)
            .withPaymentDayCounter(accrualDayCounter)
            .withPaymentAdjustment(paymentConvention)
            .withFixingDays(fixingDays)
            .withGearings(gearings)
View Full Code Here

Examples of org.jquantlib.cashflow.IborLeg

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        .withCouponRates(fixedRate)
        .withPaymentAdjustment(paymentConvention)
        .Leg();

        // JM where are gearings set they cannot be null for the floating leg.
        final Leg floatingLeg = new IborLeg(floatingSchedule, iborIndex)
        .withNotionals(nominal)
        .withPaymentDayCounter(floatingDayCount)
        .withPaymentAdjustment(paymentConvention)

        //FIXME:: .withFixingDays (fixingDays) // FIXME: slight deviation from quantlib, need to expose fixing days up the stack
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