Examples of org.jquantlib.Settings$DateProxy

org.jquantlib.Settings
Settings for the application.
This class aggregates mutable values which have life cycle of a certain operation or sequence of operations defined by the enclosing thread. @see ThreadLocal @author Richard Gomes

        (coupon_.accrualPeriod()*discount_);
    }


    public double optionletPrice(final Option.Type optionType, final double effStrike)  {
        final Date fixingDate = coupon_.fixingDate();
        if (fixingDate.le(new Settings().evaluationDate())) {
            // the amount is determined
            double a, b;
            if (optionType==Option.Type.Call) {
                a = coupon_.indexFixing();
                b = effStrike;

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                dayCounter, isInArrears);
    }


    @Override
    public double indexFixing() {
        final Settings settings = new Settings();
        if (settings.isUseIndexedCoupon())
            return index_.fixing(fixingDate());
        if (isInArrears())
            return index_.fixing(fixingDate());
        else {
            final Handle<YieldTermStructure> termStructure = index_.termStructure();
            QL.require(termStructure != null , NULL_TERM_STRUCTURE);  // QA:[RG]::verified
            final Date today = settings.evaluationDate();
            final Date fixing_date = fixingDate();
            final IndexManager indexManager = IndexManager.getInstance();
            if (fixing_date.lt(today)) {
                final double pastFixing = indexManager.get (index_.name()).get(fixing_date);
                QL.require(!Double.isNaN(pastFixing), "Missing fixing"); // TODO: message

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     */
    public double npv(final Leg cashflows, final InterestRate irr, final Date settlementDate) {


        Date date = settlementDate;
        if (date.isNull()) {
            date = new Settings().evaluationDate();
        }


        final YieldTermStructure flatRate = new FlatForward(date, irr.rate(), irr.dayCounter(), irr.compounding(), irr.frequency());
        return npv(cashflows, new Handle<YieldTermStructure>(flatRate), date, date, 0);
    }

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     */


    public double bps (final Leg cashflows, final Handle <YieldTermStructure> discountCurve)
    {
        // default variable of settlement date
        return bps (cashflows, discountCurve, new Settings().evaluationDate());
    }

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     * according to the given term structure.
     */
    public double bps(final Leg cashflows, final InterestRate irr, Date settlementDate){
        if (settlementDate.isNull())
        {
            settlementDate = new Settings().evaluationDate();
        }
        final YieldTermStructure flatRate = new FlatForward(settlementDate, irr.rate(),
                    irr.dayCounter(), irr.compounding(), irr.frequency());
        return bps(cashflows, new Handle<YieldTermStructure>(flatRate), settlementDate, settlementDate);
     }

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            final Frequency frequency, final Date settlementDate, final double tolerance, final int maxIterations,
            final double guess) {


        Date date = settlementDate;
        if (date.isNull()) {
            date = new Settings().evaluationDate();
        }


        // depending on the sign of the market price, check that cash
        // flows of the opposite sign have been specified (otherwise
        // IRR is nonsensical.)

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     */
    public double duration(final Leg leg, final InterestRate y, final Duration duration, final Date settlementDate) {


        Date date = settlementDate;
        if (date.isNull()) {
            date = new Settings().evaluationDate();
        }


        switch (duration) {
        case Simple:
            return simpleDuration(leg, y, date);

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     */
    public double convexity(final Leg cashFlows, final InterestRate rate, final Date settlementDate) {


        Date date = settlementDate;
        if (date.isNull()) {
            date = new Settings().evaluationDate();
        }


        final DayCounter dayCounter = rate.dayCounter();


        double P = 0.0;

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        return previousCashFlow(leg, new Date());
    }


    final public int previousCashFlow(final Leg leg, Date refDate) {
        if (refDate.isNull()) {
            refDate = new Settings().evaluationDate();
        }


        if (!(leg.get(0).hasOccurred(refDate)))
            return leg.size();

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     * @param settlement
     * @return
     */
    final public CashFlow nextCashFlow(final Leg cashFlows, Date settlement) {
        if (settlement.isNull()) {
            settlement = new Settings().evaluationDate();
        }
        for (int i = 0; i < cashFlows.size(); ++i) {
            // the first coupon paying after d is the one we're after
            if (!cashFlows.get(i).hasOccurred(settlement))
                return cashFlows.get(i);

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Related Classes of org.jquantlib.Settings$DateProxy

org.jquantlib.cashflow.BlackIborCouponPricer

org.jquantlib.cashflow.CashFlows

org.jquantlib.cashflow.Event

org.jquantlib.cashflow.FloatingRateCoupon

org.jquantlib.cashflow.IborCoupon

org.jquantlib.currencies.ExchangeRateManager

org.jquantlib.helpers.FDDividendOptionHelper

org.jquantlib.indexes.InflationIndex

org.jquantlib.indexes.InterestRateIndex

org.jquantlib.indexes.YoYInflationIndex

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